Results 51 to 60 of about 5,454,495 (242)
One size fails all? EU insolvency law between harmonisation and 28th regime
International Insolvency Review, EarlyView.Abstract The European Union's efforts to harmonise national insolvency laws have long been seen as a key step towards the completion of the Internal Market and, in particular, its Capital Markets Union project. Yet despite years of legislative activity, meaningful convergence has remained elusive.
Wolf‐Georg Ringe
wiley +1 more source
Central counterparties – risk minimizers?
The Central European Review of Economics and Management, 2018 Aim: Recently, central counterparties (CCPs) have gained on popularity due to their positive impact on the financial markets during crisis (limiting contagion on cleared instruments). The post-crisis reforms favored CCPs as risk minimizers. The aim of the article is to critically assess the functioning of the CCPs and their role in the financial system.
openaire +3 more sources
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
doaj +1 more source
Counterparty Credit Risk Simulation Analytics
, 2022 Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by a counterparty. Counterparty credit risk is measured by credit exposure.
Alex Yang
core +1 more source
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +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
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Valuing Stock Liquidity: Theory and Evidence From the Collapse of Lehman Brothers
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines the cross‐sectional relationship between stock return and stock liquidity (both level and risk) for the period when there was a huge decline in market‐wide funding liquidity from the collapse of Lehman Brothers. We propose a global game model to analyse the decisions of short‐term traders around the time Lehman Brothers ...
Shu Feng +4 more
wiley +1 more source
Land Degradation &Development, EarlyView.ABSTRACT New agricultural operating entities (NAOEs) are the organizational core of modern agricultural systems, yet whether and how they draw smallholders into green production remains empirically unsettled. Using survey data from 803 vegetable growers in Shandong Province, China, and combining the coefficient of variation method, propensity score ...
Xiaoying Zhao, Qingzhi Liu, Zeyuan Li
wiley +1 more source
COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA [PDF]
International Journal of Theoretical and Applied Finance, 2013 The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related credit valuation adjustment (CVA), debt valuation adjustment (DVA), liquidity valuation adjustment (LVA) and replacement cost (RC) issues, jointly referred to in this paper as total valuation ...
STÉPHANE CRÉPEY +3 more
openaire +5 more sources
Counterparty Credit Risk Introduction
, 2020 Counterparty credit risk (CCR) refers to the risk that a counterparty to a bilateral financial derivative contract may fail to fulfill its contractual obligation causing financial loss to the non-defaulting party.
Tim Xiao
core +1 more source