Results 101 to 110 of about 31,402 (210)

Optimal Central Counterparty Risk Management [PDF]

In order to protect themselves against the potential losses in case of a participant's default and to contain systemic risk, central counterparties (CCPs) need to maintain sufficient financial resources.
Andy Sturm, Philipp Haene
core  

Counterparty credit risk management in industrial corporates [PDF]

Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned.
Langkamp, Christian
core   +1 more source

Liquidity hoarding and interbank market spreads: the role of counterparty risk [PDF]

We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets.
Heider, Florian, Hoerova, Marie, Holthausen, Cornelia   +2 more
core  

Pricing vulnerable options when debts have performance- sensitivity provisions

International Review of Economics & Finance
The objective of this article is to build a new model and use it to investigate the influence of the trading counterparty's PSD obligations on the valuation of vulnerable options.
Yu-Hong Liu, I-Ming Jiang, Mao-Wei Hung
doaj   +1 more source

Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility

Discrete Dynamics in Nature and Society, 2018
This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility
Chaoqun Ma, Shengjie Yue, Yishuai Ren
doaj   +1 more source

On the effectiveness of the Federal Reserve's new liquidity facilities [PDF]

This paper examines the effectiveness of the new liquidity facilities that the Federal Reserve established in response to the recent financial crisis.
Tao Wu
core  

Analytical valuation of vulnerable options under a stochastic volatility model with a stochastic long-term mean

AIMS Mathematics
We derive the explicit pricing formulas for vulnerable options under a stochastic volatility model with stochastic long-term mean. We extend the He and Chen model to incorporate counterparty default risk and derive explicit solutions for option prices ...
So-Yoon Cho, Geonwoo Kim
doaj   +1 more source

A network of business relations to model counterparty risk [PDF]

This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model.
Antonella Basso, Diana Barro
core  

Identification of threats and risks to the financial security of commercial banks in the context of the development of non-cash payments

Економіка, управління та адміністрування
The article is devoted to the study of the issue of identifying threats and risks to the financial security of commercial banks. The purpose of the study is to classify and assess threats and risks to the financial security of banking institutions caused
O.G. Popov
doaj   +1 more source

The use of derivatives in Slovenian non-financial firms: is financial risk already well managed? [PDF]

Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2006
Recent research about the financial behaviour of Slovenian firms has documented enterprise risk management as being one of its weakest areas. The goal of this article is to present insights into financial risk management, i.e.
Aleš Berk
doaj