Results 41 to 50 of about 12,095 (163)
The Macrodynamics of Indian Rupee Swap Yields
International Journal of Empirical EconomicsThis paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach.
Tanweer Akram, Khawaja Mamun
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Research on the Exchange Losses of Multinational Corporations [PDF]
SHS Web of ConferencesIn the wave of global trade and investment, foreign currency transactions are increasingly frequent, and the risk of currency mismatch is prominent. Academia and industry are deeply studying its impact on the accounting conservatism of enterprises, and ...
Yuan Mengyao
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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
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COORDINATES OF A RISK MANAGEMENT PROJECT [PDF]
Challenges of the Knowledge Society, 2013 High risk – high benefit: a well-known correlation both in the economic field and in the day-to-day life. Another correlation, on which this article is based: large project – numerous participants – increased risks and other malfunctions.
ALEXANDRU OLTEANU +1 more
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FINANCIAL DERIVATIVES - INTEREST RATE SWAP
Tourism and hospitality management, 2004 Swap as a portfolio of forward contract is a financial derivative traded on the over-the-counter market. In its basic form, swap is based on the exchange of future cash flows between two market participants in accordance with the agreed terms. The cash flows that are exchanged are the interest payments and in some circumstances even the notional amount,
Zoran Ivanović, Elvis Mujačević
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Research on the Risk Management of Supply Chain Risk, Exchange Rate Risk and Economic Recession Risk in Business Organizations [PDF]
SHS Web of ConferencesAfter COVID-19, the economy has become more fluctuating and is exposed to more kinds of risks, such as supply chain risk, exchange rate risk, and economic downturn risk.
Huang Leyan
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Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations
MathematicsCounterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili +2 more
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On the Calibration of the Kennedy Model
MathematicsThe Kennedy model offers a robust framework for modeling forward rates, leveraging Gaussian random fields to accommodate emerging phenomena such as negative rates.
Dalma Tóth-Lakits, Miklós Arató
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Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing
International Journal of Financial Studies, 2018 We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled ...
Colin Turfus
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