Credit Derivatives in an Affine Framework [PDF]
We develop a general and efficient method for valuating credit derivatives based on multiple entities in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of multiple firms.
Damir Filipovic, Li Chen
core
The effectiveness and usefulness for commodity-dependent countries of new tools in commodity markets: risk management and collateralized finance [PDF]
This paper describes the experiences of developing country enterprises, farmers and governments with commodity price risk management and various forms of structured finance.
Lamon Rutten
core
ASSESSMENT OF TAX RISKS WHEN SELECTING COUNTERPARTIES [PDF]
Yu.N. Shol +2 more
openalex +1 more source
METHODOLOGICAL AND PRACTICE-ORIENTED ASPECTS OF RISK ASSESSMENT OF AN ORGANIZATION’S WORK WITH A POTENTIAL COUNTERPARTY [PDF]
V.S. Plekhanova +2 more
openalex +1 more source
Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk
, 2020 Derek Singh, Shuzhong Zhang
openalex +2 more sources
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model [PDF]
, 2009 Damiano Brigo, Marco Tarenghi
openalex +1 more source
Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps
, 2015 Laura Ballotta +2 more
openalex +1 more source
Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting
, 2016 Zhenyu Cui, Qi Feng, Ruimeng Hu, Bin Zou
openalex +1 more source
Central Counterparty Clearing: Constructing a Framework for Evaluation of Risks and Benefits
, 2004 Kirsi Ripatti
openalex +1 more source