Results 31 to 40 of about 31,402 (210)
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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Semi-analytic pricing formulas for basket credit-linked notes with and without counterparty risks
Systems Science & Control Engineering, 2020 This paper discusses the pricing of basket credit linked notes (BCLN) under the reduced model. Three types of BCLNs are discussed: the first, the second and the mth-to-default BCLNs with and without counterparty risks.
Yongzeng Lai +3 more
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Risks of collective investment undertakings in the context of global capital markets [PDF]
SHS Web of Conferences, 2020 In the context of globalization, international institutional investors have taken over a significant proportion of global investment assets. Among this group also belong to collective investment undertakings whose primary motive is regulated by ...
Pfeiferová Daniela, Kuchařová Ivana
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Credit Valuation Adjustment Compression by Genetic Optimization
Risks, 2019 Since the 2008−2009 financial crisis, banks have introduced a family of X-valuation adjustments (XVAs) to quantify the cost of counterparty risk and of its capital and funding implications.
Marc Chataigner, Stéphane Crépey
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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
The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis
Journal of Futures Markets, EarlyView.ABSTRACT This paper revisits the relationship between the US dollar and cross‐currency basis (XCB) swap spreads. We show that the strength and direction of this relationship depend on the prevailing regime of the broad dollar. The evidence suggests that the well‐documented “dollar appreciates, basis widens” result holds primarily when the dollar is in ...
Daniel Felix Ahelegbey +2 more
wiley +1 more source
Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
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Annales Universitatis Mariae Curie-Skłodowska Sectio H, Oeconomia, 2023 Theoretical background: The 2008/2009 financial crisis, the COVID-19 pandemic outbreak in 2020 or the Russian invasion of Ukraine in February 2022, all these affected market volatility causing greater interest in counterparty credit risk (CCR) management
Piotr Wybieralski
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Effect of Prudential Policies on Sovereign Bond Markets: Evidence From the ASEAN‐4 Countries
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the effects of prudential policies on the sovereign vulnerability of ASEAN‐4 countries. We measure sovereign vulnerability within the network connectedness of sovereign bonds between ASEAN‐4 countries (Indonesia, Malaysia, the Philippines and Thailand) and six other countries (the US, the UK, the European Union, China ...
Joshua Aizenman +4 more
wiley +1 more source
Changes in repo markets and the necessity for CCPs in Korea [PDF]
Seonmul yeonguIn 2022, US financial regulators proposed to mandate a single central clearing mechanism for treasury bonds and repo transactions to stabilize financial markets.
Sun-Joong Yoon
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