Results 61 to 70 of about 31,402 (210)
The Limits of Central Counterparty Clearing: Collusive Moral Hazard and Market Liquidity [PDF]
, 2013 Can central counterparty (CCP) clearing control counterparty risk in the presence of risk taking that can aggravate such risk? When counterparty risk is not observable, I show that central clearing leads to higher collateral requirements for two ...
Koeppl, Thorsten V.
core
Price Discovery in Bitcoin ETF Market
Financial Review, EarlyView.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
Counterparty Risk Subject To ATE [PDF]
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.
Zhou, Richard
core +4 more sources
Total Return Swap Valuation with Counterparty Risk and Interest Rate Risk
Abstract and Applied Analysis, 2014 We study the pricing of total return swap (TRS) under the contagion models with counterparty risk and the interest rate risk. We assume that interest rate follows Heath-Jarrow-Morton (HJM) forward interest rate model and obtain the Libor market interest ...
Anjiao Wang, Zhongxing Ye
doaj +1 more source
Analisi e progettazione di un sistema di misure quantitative per il monitoraggio dei rischi finanziari delle Garanzie d’Origine [PDF]
Risk Management Magazine, 2019 The aim of this work focuses on the risks arising from the emerging market of Guarantees of Origin (GO). In recent years, in fact, traded volumes of these electronic certifications have increased, although the markets are yet incomplete and not very ...
Anna Bottasso
doaj +1 more source
Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
Мир новой экономики, 2018 In the article we analyzed international and Russian methodological approaches for classification of risk in project finance and identified crucial criteria which provide further framework for development of principles and management mechanism of ...
T. S. Gaibov
doaj +1 more source
Search and Inventory in Over‐the‐Counter Markets
International Economic Review, EarlyView.ABSTRACT We investigate the sources of the dealer centrality premium in the over‐the‐counter market for corporate bonds. We model dealer heterogeneity by allowing the dealer's status in the network to determine search effort and inventory costs when choosing to conduct riskless principal or principal trades.
Evan Dudley, Hongfei Sun, Chengjie Diao
wiley +1 more source
Counterparty risk analysis using Merton's structural model under Solvency II
Management Letters/Cuadernos de Gestión, 2014 The new solvency regulation in the European insurance sector, denominated Solvency II, will completely transform the system of capital requirements estimation.
Luis Otero González +3 more
doaj +1 more source
Managing Counterparty Credit Risk Via BSDEs [PDF]
SSRN Electronic Journal, 2016 We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce the fundamental BSDE to a continuous BSDE.
Lesniewski, Andrew, Richter, Anja
openaire +2 more sources