Results 111 to 120 of about 1,960,682 (378)
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
A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs [PDF]
We present a new structural model for single name equity and credit derivatives which we also correlate across reference names to produce a model for bespoke synthetic CDOs.
Albanese, Claudio, Vidler, Alicia
core +1 more source
Applied Economic Perspectives and Policy, EarlyView.Abstract We present an adjusted bid price mechanism that incorporates economic multiplier effects in public food procurement decision making. Under Input–Output model assumptions, the algorithm estimates enhanced tax revenues to state governments through multiplier effects associated with in‐state supplier purchasing.
Todd M. Schmit, Xiaoyan Liu
wiley +1 more source
Measurement and Estimation of Credit Migration Matrices [PDF]
Credit migration matrices are cardinal inputs to many risk management applications. Their accurate estimation is therefore critical. We explore three approaches, cohort and two variants of duration—time homogeneous and non-homogeneous—and the resulting ...
Til Schuermann, Yusuf Jafry
core
Applied Economic Perspectives and Policy, EarlyView.Abstract This paper employs machine learning to determine which preferential trade agreement (PTA) provisions are relevant to agricultural trade patterns and the factors that may influence their adoption. Utilizing the three‐way gravity model, we apply plug‐in Lasso regularized regression to pinpoint predictive PTA provisions for agricultural trade ...
Stepan Gordeev +3 more
wiley +1 more source
Credit derivatives, macro risks, and systemic risks [PDF]
This paper explores some bigger-picture risks associated with credit derivatives. Drawing a distinction between the market's perception of credit and "real credit" as reflected in the formal definition of a credit event, the author examines the well ...
Tim Weithers
core
Exploring the relationship between growth in online shopping and multichannel food consumers
Applied Economic Perspectives and Policy, EarlyView.Abstract During the pandemic, many food retailers began offering online shopping options, primarily in reaction to rising consumer demand for such options, which was a response to supply chain disruptions and fear of contagion and food scarcity.
Mackenzie Gill, Dawn Thilmany
wiley +1 more source
Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities [PDF]
We discuss extensions of intensity based models for pricing credit risk and derivative securities to the simulation and valuation of portfolios.
Norbert Jobst, Stavros A. Zenios
core
King and Cochrane: The technological treadmill and racial inequity in US agriculture
Applied Economic Perspectives and Policy, EarlyView.Abstract Between 1920 and 1969, the number of Black farmers in the US decreased from 14% of all operators to 4%. Using Martin Luther King Jr.'s critique of agricultural policy and Willard Cochrane's theory of the technological treadmill, we explore how racial discrimination was linked to policies that led to structural change in US agriculture.
Jared Hutchins, Jacopo De Marinis
wiley +1 more source
Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest [PDF]
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised ...
Bao, Qunfang +3 more
core +1 more source