Results 1 to 10 of about 449 (118)
The Network of Counterparty Risk: Analysing Correlations in OTC Derivatives. [PDF]
PLoS ONE, 2015 Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds.
Vahan Nanumyan +2 more
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Innovative methods of evaluating the counterparty during the organization internal control
Вестник университета, 2023 The article discusses the key issues of internal control measures when choosing a counterparty during the formation of an innovative economy. The purpose of the study is to develop indicators characterizing the counterparty, as well as an innovative risk
E. A. Kirova, T. V. Perminova
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Current and prospective estimate of counterparty risk through dynamic neural networks [PDF]
Risk Management Magazine, 2022 The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties.
Alessio Agnese +2 more
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Bank Risk Determinants in Latin America
Risks, 2020 Systemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system.
Mariña Martínez-Malvar +1 more
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Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes
Fractal and Fractional, 2023 Counterparty credit risk (CCR) is a significant risk factor that financial institutions have to consider in today’s context, and the COVID-19 pandemic and military conflicts worldwide have heightened concerns about potential default risk.
Fengyan Wu +4 more
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Mathematical Model for Choosing Counterparty When Assessing Information Security Risks
Risks, 2021 The need to assess the risks of the trustworthiness of counterparties is increasing every year. The identification of increasing cases of unfair behavior among counterparties only confirms the relevance of this topic.
Andrey Koltays +2 more
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Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk
Discrete Dynamics in Nature and Society, 2020 In the present paper, we derive analytical formulas for barrier and lookback options with underlying assets exposed to multiple defaults risks which include exogenous counterparty default risk and endogenous default risk.
Taoshun He
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AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT
Journal of Financial Management, Markets and Institutions, 2018 In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold.
KAZUHIRO TAKINO
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Double-Layer Network Model of Bank-Enterprise Counterparty Credit Risk Contagion
Complexity, 2020 Banks and enterprises constitute a multilayered, multiattribute, multicriteria credit-related super network due to financial transaction behaviors, such as credit, wealth management, savings, and derivatives.
Tingqiang Chen +3 more
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Mathematics, 2023 In this paper, we propose an enhanced model for pricing vulnerable options. Specifically, our model assumes that parameters such as interest rates, jump intensity, and asset value volatility are governed by an observable continuous-time finite-state ...
Xiangdong Liu, Zanbin Zhang
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