Results 11 to 20 of about 31,402 (210)
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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Derivatives pricing under bilateral counterparty risk [PDF]
The Journal of Risk, 2015 We consider risk-neutral valuation of a contingent claim under bilateral counterparty risk in a reduced-form setting similar to that of Duffe and Huang [1996] and Duffe and Singleton [1999]. The probabilistic valuation formulas derived under this framework cannot be usually used for practical pricing due to their recursive path-dependencies.
Peter Carr, Samim Ghamami
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Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model [PDF]
Risks, 2019 One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads.
Ioannis Anagnostou, Drona Kandhai
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Mitigating Counterparty Risk [PDF]
SSRN Electronic Journal, 2015 This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation’s (DTCC) proprietary bilateral credit default swap transactions and positions. We investigate whether financial institutions that are active buyers of protection from a specific counterparty ...
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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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Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk? [PDF]
SSRN Electronic Journal, 2017 A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of their exposures, their implementation restricts the liquidity that institutions can access in an ...
Gould, Martin +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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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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Pricing vulnerable European options with dynamic correlation between market risk and credit risk
Journal of Management Science and Engineering, 2020 In this paper, we study the valuation of vulnerable European options incorporating the reduced-form approach, which models the credit default of the counterparty.
Huawei Niu, Yu Xing, Yonggan Zhao
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Does a Central Clearing Counterparty Reduce Counterparty Risk? [PDF]
SSRN Electronic Journal, 2011 We show whether central clearing of a particular class of derivatives lowers counterparty risk. For plausible cases, adding a central clearing counterparty (CCP) for a class of derivatives such as credit default swaps reduces netting efficiency, leading to an increase in average exposure to counterparty default.
Darrell Duffie, Haoxiang Zhu
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