Results 91 to 100 of about 31,402 (210)
Model-free bounds on bilateral counterparty valuation [PDF]
In the last years, counterparty default risk has experienced an increased interest both by academics as well as practitioners. This was especially motivated by the market turbulences and the financial crises over the past years which have highlighted the
Haase, Joerdis +2 more
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The Economic History Review, Volume 79, Issue 1, Page 89-132, February 2026.Abstract Did democratization reduce the likelihood of politically connected bank bailouts in the past? What role did private central banks play as independent lenders of last resort? To answer these questions, this article provides new detailed archival evidence on the causes of bank failures in Spain in July 1931.
Enrique Jorge‐Sotelo
wiley +1 more source
Intermediation and Voluntary Exposure to Counterparty Risk
, 2021 Maryam Farboodi
openalex +1 more source
CDS Pricing with Counterparty Risk
, 2010 This thesis focuses on the impact of counterparty-risk in CDS (Credit Default Swap) pricing. The exponential growth of the Credit Derivatives Market in the last decade demands an upsurge in the fair valuation of various credit derivatives such as the ...
Ruan, Zheng, Ruan, Zheng
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A Legal Look at the Function, Nature and Structure of the Settlement Guarantee Fund in the Stock and Securities Market [PDF]
تحقیقات مالی اسلامی (پیوسته), 2019 The clearing and settlement operations of securities transactions are subject to numerous risks. Some of these risks can be controlled by tools such as the "Margin" (initial guarantee) by the clearing house, but after all these tools have been ...
Sayyed Ali Hosini +2 more
doaj
Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time
International Journal of Applied Mathematics and Computer Science, 2017 In recent years, the counterparty credit risk measure, namely the default risk in over-the-counter (OTC) derivatives contracts, has received great attention by banking regulators, specifically within the frameworks of Basel II and Basel III.
Bonollo Michele +3 more
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Repo markets, counterparty risk and the 2007/2008 liquidity crisis [PDF]
A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral assets, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework.
Ewerhart, Christian, Tapking, Jens
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Risk Factors in Derivatives Markets
Entrepreneurial Business and Economics Review, 2015 The objective of the article is to analyse and present the classification of risks actual to derivative securities. The analysis is based on classical and modern literature findings and analysis of newest statistical data. The analysis led to the ...
Raimonda Martinkutė-Kaulienė
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Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities
Journal of Applied Mathematics, 2011 We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the
Anjiao Wang, Zhongxing Ye
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Contracting innovations and the evolution of clearing and settlement methods at futures exchanges [PDF]
Defining futures contracts as substitutes for associated cash transactions enables a discussion of the evolution of controls over contract nonperformance risk. These controls are incorporated into exchange methods for clearing contracts.
James T. Moser
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