Results 11 to 20 of about 5,454,495 (242)
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 ...
Hautsch, Nikolaus +8 more
core +4 more sources
Clearing, Counterparty Risk, and Aggregate Risk [PDF]
IMF Economic Review, 2012 The paper studies the optimal design of clearing systems. The paper analyzes how counterparty risk should be allocated, whether traders should be fully insured against that risk, and how moral hazard affects the optimal allocation of risk. The main advantage of centralized clearing, as opposed to no or decentralized clearing, is the mutualization of ...
Biais, Bruno +2 more
openaire +7 more sources
RESTRUCTURING COUNTERPARTY CREDIT RISK [PDF]
International Journal of Theoretical and Applied Finance, 2011 We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA).
Albanese, Claudio +2 more
openaire +9 more sources
Stochastic Processes and their Applications, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Crépey, Stéphane, Song, Shiqi
openaire +4 more sources
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market [PDF]
Management Science, 2016 We investigate how market participants price and manage counterparty credit risk using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts but a large impact on the choice of counterparties.
Wenxin Du +3 more
openaire +1 more source
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 ...
openaire +2 more sources
Counterparty risk valuation for CDS. [PDF]
, 2008 The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distribu- tions.
Blanchet-Scalliet, Christophette +1 more
core +8 more sources
A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK [PDF]
International Journal of Theoretical and Applied Finance, 2018 We introduce a dynamic model of the default waterfall of derivatives central counterparties and propose a risk sensitive method for sizing the initial margin, and the default fund and its allocation among clearing members. Using a Markovian structure model of joint credit migrations, our evaluation of the default fund takes into account the joint ...
TOMASZ R. BIELECKI +2 more
openaire +3 more sources
Explicit Pricing Formulas for European Option with Asset Exposed to Double Defaults Risk
Discrete Dynamics in Nature and Society, 2018 We derive analytical formulas for European call and put options on underlying assets that are exposed to double defaults risks which include exogenous counterparty default risk and endogenous default risk.
Taoshun He
doaj +1 more source
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
doaj +1 more source