Results 41 to 50 of about 101,575 (247)
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II [PDF]
, 2019 The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, mainly with reference to financial options and guarantees embedded in life with-profit funds ...
Casalini, R. +3 more
core +2 more sources
Carbon Management, 2017 Carbon offset credits can reduce a firm's financial risk associated with GHG compliance, but the credits themselves have inherent risk as they can be invalidated by the program administrator.
Tyler Joseph Tarnoczi
doaj +1 more source
CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? [PDF]
, 2013 We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs.
Brigo, Damiano, Pallavicini, Andrea
core +1 more source
An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
, 2010 The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is essential to reflect the economic values of these risks ...
Juan, Frank, Lu, Dongsheng
core +1 more source
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK [PDF]
International Journal of Theoretical and Applied Finance, 2017 We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty’s default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively.
Feng, Q. (author) +1 more
openaire +4 more sources
CVA and FVA to Derivatives Trades Collateralized by Cash
, 2013 In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and margining ...
Wu, Lixin
core +1 more source
Credit Valuation Adjustment (CVA) Analytics
, 2022 Credit Valuation Adjustment (CVA) is the difference in value of an OTC derivatives position due to counterparty credit risk. More informally, think of CVA as the fair value of buying protection against the counterparty’s potential failure to meet contractual obligations.
openaire +1 more source
Credit Valuation Adjustment (CVA) Introduction
, 2020 Credit valuation adjustment (CVA) is the market price of counterparty credit risk that has become a central part of counterparty credit risk management. By definition, CVA is the difference between the risk-free portfolio value and the true/risky portfolio value. In practice, CVA should be computed at portfolio level. That means calculation should take
openaire +2 more sources
FEBS Open Bio, EarlyView.Chemoresistance in bladder cancer: Macrophage recruitment associated with CXCL1, CXCL5 and CXCL8 expression is characteristic of Gemcitabine/Cisplatin (Gem/Cis) Non‐Responder tumors (right side) while Responder tumors did not show substantial tumor‐stromal crosstalk (left side). All biological icons are attributed to Bioicons: carcinoma, cancerous‐cell‐
Sophie Leypold +11 more
wiley +1 more source
APPLYING MPCA ANALYSIS TO EVALUATE FINANCIAL PERFORMANCE OF ROMANIAN LISTED COMPANIES [PDF]
Annals of the University of Oradea: Economic Science, 2017 The paper aims to investigate the main determinants of financial performance of Romanian companies using principal component analysis technique (PCA) for the year 2015 by constructing a composite index of financial performance and revealing also the main
Bogdan Victoria +2 more
doaj