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Capital constraints, counterparty risk, and deviations from covered interest rate parity [PDF]
, 2009 Niall Coffey +2 more
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Stablecoins and Tokenized Assets: Impact on Deriva9ve Counterparty Credit Risk 1
Sridhar Iyer
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Journal of Risk, 2019
We address the problem of minimizing the risk of an exposure (e.g., cash holdings) to a small number of defaultable counterparties based on spectral risk measures, in particular the expected shortfall. The resulting risk-minimal allocation turns out to be economically implausible in a number of ways: When the loss distribution is discrete, only corner ...
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We address the problem of minimizing the risk of an exposure (e.g., cash holdings) to a small number of defaultable counterparties based on spectral risk measures, in particular the expected shortfall. The resulting risk-minimal allocation turns out to be economically implausible in a number of ways: When the loss distribution is discrete, only corner ...
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Dynamic Investment and Counterparty Risk
Applied Mathematics & Optimization, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bo, Lijun, Capponi, Agostino
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Counterparty risk, central counterparty clearing and aggregate risk
Annals of Finance, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Counterparty Credit Risk and AmericanOptions
The Journal of Derivatives, 2010One of the many counterintuitive things students in a first course on options learn is that premature exercise of an American call option on a nondividend paying stock is a mistake, and that for a dividend-paying stock, early exercise is never rational except just before the stock goes ex-dividend. Efforts to incorporate counterparty credit risk in the
Peter Charles Klein, Jun Yang
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Quantitative Finance, 2013
Counterparty Credit Risk is a must-read for anyone interested or involved in counterparty credit risk (CCR); it is one of the first comprehensive, well-written books on this topic, which has become...
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Counterparty Credit Risk is a must-read for anyone interested or involved in counterparty credit risk (CCR); it is one of the first comprehensive, well-written books on this topic, which has become...
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Do central counterparties reduce counterparty and liquidity risk? Empirical results
Algorithmic Finance, 2021A central counterparty (CCP) interposes itself between buyers and sellers of financial contracts to extinguish their bilateral exposures. Therefore, central clearing and settlement through a CCP should affect how financial institutions engage in financial markets. Though, financial institutions’ interactions are difficult to observe and analyze. Based
León, Carlos +2 more
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Journal of Risk Management in Financial Institutions, 2012
The financial crisis demonstrated the inadequacy of the management of counterparty credit risk and the vulnerability of financial structures to counterparty concerns. Three possible solutions are proposed to mitigate such risks in the future: improved network visibility to understand credit chains; the clearing of transactions centrally to improve ...
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The financial crisis demonstrated the inadequacy of the management of counterparty credit risk and the vulnerability of financial structures to counterparty concerns. Three possible solutions are proposed to mitigate such risks in the future: improved network visibility to understand credit chains; the clearing of transactions centrally to improve ...
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2016
Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.
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Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.
openaire +1 more source