Results 21 to 30 of about 5,454,495 (242)

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

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
doaj   +1 more source

Counterparty Risk Subject to ATE [PDF]

SSRN Electronic Journal, 2012
Rating trigger ATE (Additional Termination Event) is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty falls below the trigger level. Since credit default is often preceded by rating downgrades, ATE clause effectively reduces the counterparty credit risk by ...
openaire   +2 more sources

Counterparty Risk in Derivatives

, 2005
CHERUBINI, UMBERTO
core   +3 more sources

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

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

Counterparty Credit Risk Simulation Methodology

, 2020
Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by a counterparty. It will be incurred in the event of default by a counterparty. Only over-the-counter (OTC) derivatives and financial security transactions
Tim Xiao
core   +2 more sources

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
openaire   +1 more source

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