Results 41 to 50 of about 1,790 (75)
The cavernous sinus: An anatomic study with clinical implication
Laryngoscope Investigative Otolaryngology, Volume 9, Issue 2, April 2024.This manuscript examines the gross anatomy of the region and highlights important surgical implications drawn from these as well as previously published studies. Herein, I perform a review of the historical scientific, anatomic, clinical, and surgical literature and additionally perform and describe cadaveric dissections revealing novel details about ...
Myles L. Pensak
wiley +1 more source
How Integrated are Credit and Equity Markets? Evidence from Index Options
The Journal of Finance, Volume 79, Issue 2, Page 949-992, April 2024.ABSTRACT We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit‐risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The
PIERRE COLLIN‐DUFRESNE +2 more
wiley +1 more source
On the mathematical form of CVA in Basel III. [PDF]
Credit valuation adjustment in Basel III is studied from the perspective of the mathematics involved. A bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The CVA is known as credit valuation adjustments.
Geurdes, Han / J. F.
core +1 more source
Proximal and distal honor fit and subjective well‐being in the Mediterranean region
Journal of Personality, Volume 92, Issue 1, Page 38-54, February 2024.Abstract Objective People's psychological tendencies are attuned to their sociocultural context and culture‐specific ways of being, feeling, and thinking are believed to assist individuals in successfully navigating their environment. Supporting this idea, a stronger “fit” with one's cultural environment has often been linked to positive psychological ...
Alexander Kirchner‐Häusler +22 more
wiley +1 more source
Proxying credit curves via Wasserstein distances. [PDF]
Ann Oper Res, 2022 Michielon M, Khedher A, Spreij P.
europepmc +1 more source
Model-free bounds on bilateral counterparty valuation [PDF]
In the last years, counterparty default risk has experienced an increased interest both by academics as well as practitioners. This was especially motivated by the market turbulences and the financial crises over the past years which have highlighted the
Haase, Joerdis +2 more
core +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
Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA [PDF]
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric ...
Akihiko Takahashi, Masaaki Fujii
core
"Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA" [PDF]
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric ...
Akihiko Takahashi, Masaaki Fujii
core
CVA calculation for CDS on super senior ABS CDO [PDF]
The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high ...
Li, Hui
core +1 more source