Results 41 to 50 of about 117,882 (162)
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
Credit Derivative Evaluation and CVA Under the Benchmark Approach [PDF]
, 2015 © 2015, Springer Japan. In this paper, we discuss how to model credit risk under the benchmark approach. Firstly we introduce an affine credit risk model.
Baldeaux, J, Platen, E
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
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 +2 more sources
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
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
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
Credit Valuation Adjustment Framework
, 2022 This paper presents a for calculating credit value adjustment (CVA) and wrong way risk. The framework relies on the probability distribution of a default time/jump. Based on our theory, we propose a novel cash-flow-based framework for calculating bilateral CVA at the counterparty portfolio level.
openaire +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