Results 71 to 80 of about 66,578 (384)
Physical Climate Risk in Asset Management
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT Climate‐related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and productivity. It is essential for asset managers to quantify the exposure of their portfolios to such risk.
Michele Azzone +3 more
wiley +1 more source
A Raroc Valuation Scheme for Loans and Its Application in Loan Origination
Risks, 2020 In this article, a risk-adjusted return on capital (RAROC) valuation scheme for loans is derived. The critical assumption throughout the article is that no market information on a borrower’s credit quality like bond or CDS (Credit Default Swap) spreads ...
Bernd Engelmann, Ha Pham
doaj +1 more source
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines how institutional environments shape the effectiveness of derivative hedging in reducing corporate default risk. Using hand‐collected data from non‐financial firms across nine European countries and various econometric methods to control for endogeneity, we provide novel evidence that the risk‐reducing benefits of ...
Amrit Judge, Khai Le, Kim Ly
wiley +1 more source
The Determinants of Credit Default Swap Premia [PDF]
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression.
Ericsson, Jan +2 more
core +3 more sources
MULTI-CURRENCY CREDIT DEFAULT SWAPS
International Journal of Theoretical and Applied Finance, 2019 Credit default swaps (CDS) on a reference entity may be traded in multiple currencies, in that, protection upon default may be offered either in the currency where the entity resides, or in a more liquid and global foreign currency. In this situation, currency fluctuations clearly introduce a source of risk on CDS spreads.
Brigo, D, Pede, N, Petrelli, A
openaire +3 more sources
Bank Capital Regulation and Derivatives Clearing
International Journal of Finance &Economics, EarlyView.ABSTRACT As part of the post global financial crisis banking reforms, regulators introduced a leverage ratio requirement, a minimum capital requirement over a bank's total exposures. We assess the consequences of this requirement for derivative clearing services to clients, which creates exposures for the dealers, by exploiting its earlier introduction
Jonathan Acosta‐Smith +2 more
wiley +1 more source
The Relationship Between Geopolitical Risk and Credit Default Swap Premium: Evidence from Turkey*
Ekonomika, 2023 This study investigates the relationship between the geopolitical risk in Turkey arising out of the war and terror incidents happened in the region during the period 2003:01-2020:06 with the CDS premium.
Esra Soyu Yıldırım +1 more
doaj +1 more source
Measuring Currency Risk Premium: The Case of Turkey
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines the determinants of a change in currency expectations for the Turkish Lira (TL) versus the US dollar with different maturities (1 month, 3 months and 1 year). The risk premium is estimated using the interest rate differential and a latent component called the missing risk premium.
Idil Uz Akdogan +2 more
wiley +1 more source
Jurisprudential Analysis of Applying Credit Default Swap and Credit-Linked Note in Credit Risk Management of Banks [PDF]
تحقیقات مالی اسلامی (پیوسته), 2012 Given the importance of credit risk in the banking system, banks have always paid special attention to credit risk management and have used different tools to manage it. Using credit derivatives, especially "credit default swap" and "credit-linked note",
Rasool Khansari +2 more
doaj
Liquidity Tail Risk and Credit Default Swap Spreads
European Journal of Operational Research, 2016 We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS spreads. We capture the liquidity tail risk of a CDS contract written on a firm by estimating the tail dependence, i.e., the asymptotic ...
Felix Irresberger +3 more
semanticscholar +1 more source