Results 201 to 210 of about 5,454,495 (242)
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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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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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Impact of Counterparty Risk on the Reinsurance Market
SSRN Electronic Journal, 2011Abstract We investigate the impact of counterparty risk (from the insurer’s viewpoint) on contract design in the reinsurance market. We study a multiplicative default risk model with partial recovery and where the probability of the reinsurer’s default depends on the loss incurred by the insurer. The reinsurer (reinsurance seller) is assumed to be risk-
Bernard, Carole, Ludkovski, M.
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Annual Review of Financial Economics, 2014
This review provides formal definitions of the terms credit value adjustment (CVA) and debt value adjustment (DVA). Estimating these quantities requires modeling the probabilities of default and the loss given default, recognizing the dependence structure among all these inputs.
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This review provides formal definitions of the terms credit value adjustment (CVA) and debt value adjustment (DVA). Estimating these quantities requires modeling the probabilities of default and the loss given default, recognizing the dependence structure among all these inputs.
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Management of Counterparty Risk
2009Counterparty risk is normally understood as the risk that the other party fails to fulfil its contractual obligations. Managing the firm’s exposure to counterparty risk means managing the principal-agency relationship with the firm as principal and its contract party as agent.
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COUNTERPARTY CREDIT RISK IN A CLEARING NETWORK
International Journal of Theoretical and Applied Finance, 2020In this paper, we offer a network model that derives the expected counterparty risk of an arbitrary market after netting in a closed-form expression. Graph theory is used to represent market participants and their relationship among each other. We apply the powerful theory of characteristic functions (c.f.) and Hilbert transforms to determine the ...
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Static Models of Central Counterparty Risk
SSRN Electronic Journal, 2014Following the 2009 G-20 clearing mandate, international standard setting bodies (SSBs) have outlined a set of principles for central counterparty (CCP) risk management. They have also devised formulaic CCP risk capital requirements on clearing members for their central counterparty exposures.
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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.
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Counterparty risk & counterparty valuation adjustment
2011Since the credit crisis began in 2007, banks have been put under a lot of pressure to decrease their exposure and thereby: risk against counterparties. The reason for this is the rather poor control and surveillance, banks had against impacts in market changes to their positions, especially in the OTC market.
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Counterparty Risk Aggregation and Risk Mitigation
2009In the previous chapters we have considered credit exposure of single transactions. We examine now how to aggregate these exposures at counterparty level and then how to control and manage the risk from a portfolio perspective. This is where the real challenge starts and where it becomes clear why a robust modelling framework is necessary.
Giovanni Cesari +5 more
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