Results 21 to 30 of about 30,951 (222)
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 +1 more
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Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model
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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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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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
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Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations
MathematicsCounterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili +2 more
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ComputationThe 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
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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 +3 more
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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
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The counterparty credit risk appetite in the Polish over-the-counter derivatives market
International Entrepreneurship ReviewObjective: 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
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How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk
Risks, 2016 Reinsurance is often empirically hailed as a value-adding risk management strategy which an insurer can utilize to achieve various business objectives.
Ambrose Lo
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