Results 21 to 30 of about 31,402 (210)

BSDEs of counterparty risk

Stochastic Processes and their Applications, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stéphane Crépey, Shiqi Song
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

A primer on counterparty valuation adjustments in South Africa

South African Journal of Economic and Management Sciences, 2014
Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads.
Gary Wayne van Vuuren, Ja'nel Esterhuysen   +1 more
doaj   +1 more source

Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk

Discrete Dynamics in Nature and Society, 2017
This paper gives analytical formulas for lookback and barrier options on underlying assets that are exposed to a counterparty risk. The counterparty risk induces a drop in the asset price, but the asset can still be traded after this default time.
Li Yan
doaj   +1 more source

Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations

Mathematics
Counterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili, Pascal Oswald, Othmane Mirinioui   +2 more
doaj   +1 more source

Performance-Enhancing Market Risk Calculation Through Gaussian Process Regression and Multi-Fidelity Modeling

Computation
The market risk measurement of a trading portfolio in banks, specifically the practical implementation of the value-at-risk (VaR) and expected shortfall (ES) models, involves intensive recalls of the pricing engine.
N. Lehdili, P. Oswald, H. D. Nguyen
doaj   +1 more source

Interactions of Logistic Distribution to Credit Valuation Adjustment: A Study on the Associated Expected Exposure and the Conditional Value at Risk

Mathematics, 2022
In Basel III, the credit valuation adjustment (CVA) was given, and it was discussed that a bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The purpose of this study is threefold. Using the logistic distribution,
Yanlai Song, Stanford Shateyi, Jianying He, Xueqing Cui   +3 more
doaj   +1 more source

CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? [PDF]

, 2013
We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs.
Brigo, Damiano, Pallavicini, Andrea
core   +1 more source

Optimal Insurance with Counterparty Default Risk [PDF]

SSRN Electronic Journal, 2012
We study the design of optimal insurance contracts when the insurer can default on its obligations. In our model default arises endogenously from the interaction of the insurance premium, the indemnity schedule and the insurer's assets. This allows us to understand the joint effect of insolvency risk and background risk on optimal contracts.
Biffis, Enrico, Millossovich, Pietro
openaire   +3 more sources

The counterparty credit risk appetite in the Polish over-the-counter derivatives market

International Entrepreneurship Review
Objective: The article aims to study the selected approach used to manage the counterparty credit risk, namely the application of the pre-settlement risk limits in the Polish over-the-counter derivatives market between financial institutions and non ...
Piotr Wybieralski
doaj   +1 more source