Relevant bibliographies by topics / Counterparty risks

Academic literature on the topic 'Counterparty risks'

Author: Grafiati
Published: 10 December 2022
Last updated: 29 January 2023

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Contents

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Counterparty risks.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Counterparty risks"

1

Kim, Hwa-Sung. "A Structural Model with Counterparty Risks." Journal of Derivatives and Quantitative Studies 18, no. 3 (August 31, 2010): 25–40. http://dx.doi.org/10.1108/jdqs-03-2010-b0002.

Full text
Abstract:
The recent financial crisis has triggered more studies on counterparty risks. The theoretical research on credit risk with counterparty risks has been built based upon the reduced-form model. In contrast, this paper suggests a structural model where firm value can be reduced due to counterparty risks. After deriving a price formula for corporate bonds, we analyze the credit spreads of the corporate bonds. The effects of the counterparty risk on credit spreads are as follows: First, regardless of the level of the counterparty's credit rating, the credit spreads of a firm increase because of counterparty risks. Second, the lower the counterparty's credit rating, the stronger the impact of either the correlation between the two firms on credit spreads, or the coefficient of reduction in firm value due to counterparty risks on credit spreads. Third, compared with existing structural models, there are some cases in which the structural model with counterparty risks is more consistent with actual credit spreads. These cases depend upon the counterparty's credit rating.
APA, Harvard, Vancouver, ISO, and other styles
2

Trifonov, Yu V., and E. A. Fomina. "Enterprise Counterparty Risk Assessment Principles." Issues of Risk Analysis 19, no. 1 (February 22, 2022): 42–52. http://dx.doi.org/10.32686/1812-5220-2022-19-1-42-52.

Full text
Abstract:
The purpose of this article is to describe in detail the principles of risk assessment of counterparties of enterprises and to analyze methods of minimizing risks when interacting with them. The risk assessment of counterparties is a section of the enterprise risk assessment system developed by the authors of the article on the full range of emerging risks, which provides for risk analysis using the developed tools used in assessing the effectiveness of both project and current activities of enterprises. The risk assessment system of counterparties is a detailed classification of risks of counterparties of enterprises, which includes fifteen risk subgroups, each of which is represented by a wide range of risks. Analysis of counterparty risks using the developed risk assessment system allows you to optimize interaction with problematic and potentially problematic counterparties of enterprises and, if necessary, exclude the conclusion of knowingly unprofitable contracts. The article materials can be used by enterprises when analyzing counterparties, both during the current interaction with existing counterparties, and planning the conclusion of contracts with new counterparties, as well as when developing risk assessment and management systems at enterprises. In addition, the materials of the article can be used by scientists in the course of studying the principles of conducting risk analysis of enterprises and all interested persons. In general, the application of the risk assessment system of counterparties, in particular, and the general risk assessment system and the developed tools allows to significantly optimize the risk assessment process of enterprises and significantly reduce the cost of analysis.
APA, Harvard, Vancouver, ISO, and other styles
3

Koltays, Andrey, Anton Konev, and Alexander Shelupanov. "Mathematical Model for Choosing Counterparty When Assessing Information Security Risks." Risks 9, no. 7 (July 13, 2021): 133. http://dx.doi.org/10.3390/risks9070133.

Full text
Abstract:
The need to assess the risks of the trustworthiness of counterparties is increasing every year. The identification of increasing cases of unfair behavior among counterparties only confirms the relevance of this topic. The existing work in the field of information and economic security does not create a reasonable methodology that allows for a comprehensive study and an adequate assessment of a counterparty (for example, a developer company) in the field of software design and development. The purpose of this work is to assess the risks of a counterparty’s trustworthiness in the context of the digital transformation of the economy, which in turn will reduce the risk of offenses and crimes that constitute threats to the security of organizations. This article discusses the main methods used in the construction of a mathematical model for assessing the trustworthiness of a counterparty. The main difficulties in assessing the accuracy and completeness of the model are identified. The use of cross-validation to eliminate difficulties in building a model is described. The developed model, using machine learning methods, gives an accurate result with a small number of compared counterparties, which corresponds to the order of checking a counterparty in a real system. The results of calculations in this model show the possibility of using machine learning methods in assessing the risks of counterparty trustworthiness.
APA, Harvard, Vancouver, ISO, and other styles
4

CHEN, XINFU, PENG HE, JING LIU, and SHUAI ZHAO. "Mathematical analysis of a credit default swap with counterparty risks." European Journal of Applied Mathematics 31, no. 5 (September 9, 2019): 737–62. http://dx.doi.org/10.1017/s0956792519000226.

Full text
Abstract:
A credit default swap (CDS) is an exchange of premium payments for a compensation for the occurrence of a credit event. Counterparty risks refer to defaults of parties holding CDS contracts. In this paper we develop a valuation/pricing model for a CDS subject to counterparty risks. Using the Cox–Ingersoll–Ross (CIR) model for interest rate and first arrival times of Poisson processes with variable intensities for the occurrences of credit default and counterparty defaults, we derive a mathematical formulation and make a full theoretical investigation. In addition, we develop a full theory for the corresponding infinite horizon problem and establish its connection with the asymptotic long expiry behaviour of finite horizon problem. Furthermore, we establish a connection between two major frameworks for default times: the structure model approach and the intensity model approach. We show that a solution of the structure model can be obtained as the limit of a sequence of solutions of intensity models. Regarded as an important theoretical development, we remove a constraint typically imposed on the parameters of the CIR model; that is, the well-posedness (existence, uniqueness and continuous dependence of parameters) of the mathematical model holds for any empirically calibrated parameters for the CIR model.
APA, Harvard, Vancouver, ISO, and other styles
5

Kang, Jangkoo, and Hwa-Sung Kim. "Pricing counterparty default risks: Applications to FRNs and vulnerable options." International Review of Financial Analysis 14, no. 3 (January 2005): 376–92. http://dx.doi.org/10.1016/j.irfa.2004.10.002.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Zhi, Kangquan, Jie Guo, and Xiaosong Qian. "Basket Credit Derivative Pricing in a Markov Chain Model with Interacting Intensities." Mathematical Problems in Engineering 2020 (October 16, 2020): 1–17. http://dx.doi.org/10.1155/2020/5369879.

Full text
Abstract:
In this paper, we propose a Markov chain model to price basket credit default swap (BCDS) and basket credit-linked note (BCLN) with counterparty and contagion risks. Suppose that the default intensity processes of reference entities and the counterparty are driven by a common external shock as well as defaults of other names in the contracts. The stochastic intensity of the external shock is a Cox process with jumps. We derive recursive formulas for the joint distribution of default times and obtain closed-form premium rates for BCDS and BCLN. Numerical experiments are performed to show how the correlated default risks may affect the premium rates.
APA, Harvard, Vancouver, ISO, and other styles
7

Candrayani, Yeli, and Asikum Wirataatmadja. "PENGARUH RESOURCES, COUNTERPARTY DAN WEATHER RISKS TERHADAP KETEPATAN WAKTU PENYELESAIAN PROYEK SERTA DAMPAKNYA TERHADAP PROJECT COST PERFORMANCE." JURNAL INFORMASI, PERPAJAKAN, AKUNTANSI, DAN KEUANGAN PUBLIK 10, no. 2 (May 10, 2019): 111. http://dx.doi.org/10.25105/jipak.v10i2.4552.

Full text
Abstract:
<p class="Style1"><em>This research aims to prove the direct and indirect influence of resource, counterparty, and weather risks on the timeliness of projects completion and its </em><em>implications to the project costs performance by using path analysis so that can be seen </em><em>the percentage of each observed exogenous variables, namely resource, counterparty and weather risks against both endogcn variables namely the timeliness of project completion and the project costs performance. The results showed a direct effect of </em><em>variable resources against project costs performance and to the timeliness of the </em><em>project completion. Similarly, counterparty and weather risk showed a direct influence </em><em>on project cost performance but have no direct impact on the timeliness of project </em><em>completion. Further research showed an indirect positive influence between variable of </em><em>resources to the project cost performance through the timely completion of the project </em><em>while the counterparty and the weather did not reveal any indirect influence on the </em><em>project cost performance.</em></p>
APA, Harvard, Vancouver, ISO, and other styles
8

Zarhana, Rahayu. "Analysis of the Application of Waqf Core Principle in Risk Management Case Study: the Waqf Maintenance and Development Foundation of Pondok Modern Darussalam Gontor." Al-Awqaf: Jurnal Wakaf dan Ekonomi Islam 15, no. 2 (December 2, 2022): 44–60. http://dx.doi.org/10.47411/al-awqaf.vol15iss2.162.

Full text
Abstract:
Abstract: This research was conducted to find out the factors that inhibit performance or work performance in the application of Waqf Core Principles in risk management at the Waqf Maintenance and Development Foundation of Pondok Modern Darussalam Gontor. This research uses qualitative research methods and descriptive approaches. The data collection technique used is triangulation which combines information from various data collection techniques and existing data sources. The results of this study showed that the risk factors that is identified to be possible risk are consisted of internal and external factors of the foundation. The application of Waqf Core Principles in risk management, consists of risk management, collection management, counterparty risk, disbursement management, problem waqf assets, provisions, and reserves, transactions with related parties, country and transfer risks, market risk, reputation and waqf asset loss risk, revenue/profit-loss sharing risk, disbursement risk, operational risk and shari’ah-compliant. Two of these regulatios, are counterparty risk, and country and transfer risks are not applicable to the foundation. The counterparty risk has not been applied because cash waqf has never occurred at the Waqf Maintenance and Development Foundation of Pondok Modern, The country and transfer risks due to the absence of assets involving two countries. Keywords: Risk Management, Waqf Core Principles, Waqf.
APA, Harvard, Vancouver, ISO, and other styles
9

He, Taoshun. "Explicit Pricing Formulas for European Option with Asset Exposed to Double Defaults Risk." Discrete Dynamics in Nature and Society 2018 (June 25, 2018): 1–8. http://dx.doi.org/10.1155/2018/8362912.

Full text
Abstract:
We derive analytical formulas for European call and put options on underlying assets that are exposed to double defaults risks which include exogenous counterparty default risk and endogenous default risk. The endogenous default risk leads the asset price to drop to zero and the exogenous counterparty default risk induces a drop in the asset price, but the asset can still be traded after this default time. A novel technique is developed to evaluate the European call and put options by first conditioning on the predefault and the postdefault time and then obtaining the unconditional analytic formulas for their price. We also compare the pricing results of our model with default-free option model and counterparty default risk option model.
APA, Harvard, Vancouver, ISO, and other styles
10

He, Taoshun. "Option Pricing for Path-Dependent Options with Assets Exposed to Multiple Defaults Risk." Discrete Dynamics in Nature and Society 2020 (February 12, 2020): 1–13. http://dx.doi.org/10.1155/2020/2418620.

Full text
Abstract:
In the present paper, we derive analytical formulas for barrier and lookback options with underlying assets exposed to multiple defaults risks which include exogenous counterparty default risk and endogenous default risk. The endogenous default risk leads the asset price drop to zero and the exogenous counterparty default risk induces a drop in the asset price, but the asset can still be traded after this default time. An original technique is developed to valuate the barrier and lookback options by first conditioning on the predefault and the afterdefault time and then obtaining the unconditional analytic formulas for their price. We also compare the pricing results of our model with the default-free option model and exogenous counterparty default risk option model.
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Counterparty risks"

1

Leung, Seng Yuen. "Analysis of counterparty risks and derivative pricing under stochastic volatility /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?MATH%202004%20LEUNG.

Full text
Abstract:
Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2004.
Includes bibliographical references (leaves 120-131). Also available in electronic version. Access restricted to campus users.
APA, Harvard, Vancouver, ISO, and other styles
2

Ruan, Zheng. "CDS pricing with counterparty risk." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6083.

Full text
Abstract:
This thesis focuses on the impact of counterparty-risk in CDS (Credit Default Swap) pricing. The exponential growth of the Credit Derivatives Market in the last decade demands an upsurge in the fair valuation of various credit derivatives such as the Credit Default Swap (CDS), the Collateralized Debt Obligation (CDO). Financial institutions suffered great losses from Credit Derivatives in the sub-prime mortgage market during the credit crunch period. Counterparty risk in CDS contracts has been intensively studied with a focus on losses for protection buyers due to joint defaults of counterparty and reference entity. Using a contagion framework introduced by Jarrow and Yu (2001)[48], we calculate the swap premium rate based on the change of measure technique, and further extend both the two-firm and three-firm model (with defaultable protection buyer) with continuous premium payment. The results show more explanatory power than the discrete case. We improve the continuous contagion model by relaxing the constant intensity rate assumption and found close results without loss of generality. Empirically this thesis studies the behaviour of the historical credit spread of 55 sample corporates/ financial institutions, a Cox–Ingersoll–Ross model is applied to calibrate spread parameters. A proxy for counterparty spread is introduced as the difference between the spread over benchmark rate and spread over swap rate for 5 year maturity CDS. We then investigate counterparty risk during the crisis and study the shape of term structure for the counterparty spread, where Rebonato’s framework is deployed to model the dynamics of the term structure using a regime-switching framework.
APA, Harvard, Vancouver, ISO, and other styles
3

Zhang, Yang (Stephen). "Counterparty credit risk, funding risk and central clearing." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/61334.

Full text
Abstract:
In this thesis we have a review of the critical issues of CVA/DVA/FVA pricing framework, provide detailed economic interpretations of these xVA terms and present empirical studies on DVA hedging practice in the marketplace and a new approach to hedge DVAs. The economic drivers and implications of central clearing and initial margins on derivatives are addressed as well.
APA, Harvard, Vancouver, ISO, and other styles
4

Starlander, Isak. "Counterparty Credit Risk on the Blockchain." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-215493.

Full text
Abstract:
Counterparty credit risk is present in trades offinancial obligations. This master thesis investigates the up and comingtechnology blockchain and how it could be used to mitigate counterparty creditrisk. The study intends to cover essentials of the mathematical model expectedloss, along with an introduction to the blockchain technology. After modellinga simple smart contract and using historical financial data, it was evidentthat there is a possible opportunity to reduce counterparty credit risk withthe use of blockchain. From the market study of this thesis, it is obvious thatthe current financial market needs more education about blockchain technology.
Motpartsrisk är närvarande i finansiella obligationer. Den här uppsatsen un- dersöker den lovande teknologin blockkedjan och hur den kan användas för att reducera motpartsrisk. Studien har för avsikt att täcka det essentiel- la i den matematiska modellen för förväntad förlust, samt en introduktion om blockkedjeteknologi. Efter att ha modellerat ett enkelt smart kontrakt, där historiska finansiella data använts, var det tydligt att det kan finnas en möjlighet att reducera motpartsrisk med hjälp av blockkedjan. Från mark- nadsundersökningen gjord i studien var det uppenbart att den nuvarande finansiella marknaden är i stort behov av mer utbildning om blockkedjan.
APA, Harvard, Vancouver, ISO, and other styles
5

Li, Wang. "Default contagion modelling and counterparty credit risk." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/default-contagion-modelling-and-counterparty-credit-risk(76eee42a-d83d-4af9-956e-050615298b65).html.

Full text
Abstract:
This thesis introduces models for pricing credit default swaps (CDS) and evaluating the counterparty risk when buying a CDS in the over-the-counter (OTC) market from a counterpart subjected to default risk. Rather than assuming that the default of the referencing firm of the CDS is independent of the trading parties in the CDS, this thesis proposes models that capture the default correlation amongst the three parties involved in the trade, namely the referencing firm, the buyer and the seller. We investigate how the counterparty risk that CDS buyers face can be affected by default correlation and how their balance sheet could be influenced by the changes in counterparty risk. The correlation of corporate default events has been frequently observed in credit markets due to the close business relationships of certain firms in the economy. One of the many mathematical approaches to model that correlation is default contagion. We propose an innovative model of default contagion which provides more flexibility by allowing the affected firm to recover from a default contagion event. We give a detailed derivation of the partial differential equations (PDE) for valuing both the CDS and the credit value adjustment (CVA). Numerical techniques are exploited to solve these PDEs. We compare our model against other models from the literature when measuring the CVA of an OTC CDS when the default risk of the referencing firm and the CDS seller is correlated. Further, the model is extended to incorporate economy-wide events that will damage all firms' credit at the same time-this is another kind of default correlation. Advanced numerical techniques are proposed to solve the resulting partial-integro differential equations (PIDE). We focus on investigating the different role of default contagion and economy-wide events have in terms of shaping the default correlation and counterparty risk. We complete the study by extending the model to include bilateral counterparty risk, which considers the default of the buyer and the correlation among the three parties. Again, our extension leads to a higher-dimensional problem that we must tackle with hybrid numerical schemes. The CVA and debit value adjustment (DVA) are analysed in detail and we are able to value the profit and loss to the investor's balance sheet due to CVA and DVA profit and loss under different market circumstances including default contagion.
APA, Harvard, Vancouver, ISO, and other styles
6

Wang, Sijing. "Counterparty risk nodelling of fixed income derivatives." Thesis, University of Reading, 2017. http://centaur.reading.ac.uk/78071/.

Full text
Abstract:
The interdependency between the evolution of counterparty credit quality and the underlying risk factor(s) driving the value of a derivative contract has led to wrong way/right way risk, which could have a significant impact on the exposure and CVA profiles of OTC derivatives portfolios. Traditional approaches in modelling counterparty credit risk are mainly classified into Merton-type structural models and reduced form models. However, the former suffers from the drawback that the default probabilities generated from the model are not consistent with the market implied ones while the latter fails to offer a reasonable economic rationale and is of limited asset-credit correlation structures. This thesis is dedicated to the modelling of wrong way/right way risk of fixed income derivatives based on the Bessel bridge approach proposed by Davis and Pistorius (2010). I begin with a brief review of the existing literature on counterparty credit risk modelling with a focus on structural and reduced-form approaches and pointing out the advantages and disadvantages of both methods. Then in the second part of the thesis, we go through the technical details of inverse first-passage time problem of the credit index process and Bessel bridge approach. We apply the unilateral version of the default framework to an FX-Hull-White hybrid setting for the exchange rate and correlated interest rates to establish a joint FX-credit unilateral default model. An extension to the bilateral version of the joint FX-credit default model without identifying the joint distribution density function of the two credit index processes conditional on default is presented in the third part of the thesis and extensive numerical analysis are conducted in the expected positive exposure profiles of a cross currency swap contract for various sets of FX-credit and default correlation scenarios. The impact of wrong way/right way risk illustrated are plausible. For the final main topic of thesis, we work on CVA of Bermudan swaptions. A multi-curve interest rate framework with stochastic basis spreads are developed, into which the unilateral Bessel bridge approach based joint interest rate-credit model is integrated and least-square Monte-Carlo simulation is applied to compute CVA with the presence of wrong way/right way risk.
APA, Harvard, Vancouver, ISO, and other styles
7

Hegre, Håvard. "Interest rate modeling with applications to counterparty risk." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9470.

Full text
Abstract:

This thesis studies the estimation of credit exposure arising from a portfolio of interest rate derivatives. The estimation is performed using a Monte Carlo simulation. The results are compared to the exposure obtained under the current exposure method provided by the Bank for International Settlements (BIS). We show that the simulation method provides a much richer set of information for credit risk managers. Also, depending on the current exposure and the nature of the transactions, the BIS method can fail to account for potential exposure. All test portfolios benefit significantly from a netting agreement, but the BIS approach tends to overestimate the risk reduction due to netting. In addition we examine the impact of antithetic variates and different time-discretizations. We find that a discretization based on derivatives' start and maturity dates may reduce simulation time significantly without loosing generality in exposure profiles. Antithetic variates have a small effect.

APA, Harvard, Vancouver, ISO, and other styles
8

Nguyen, Tuyet Mai. "Malliavin calculus for Markov chains and counterparty risk." Thesis, Evry-Val d'Essonne, 2015. http://www.theses.fr/2015EVRY0022/document.

Full text
Abstract:
Cette thèse traite de deux domaines d’analyse stochastique et de mathématiques financières: le calcul Malliavin pour chaînes de Markov (Partie I) et le risque de contrepartie (Partie II). La partie I a pour objectif l’étude du calcul Malliavin pour chaînes de Markov en temps continu. Il y est présenté deux points : démontrer l’existence de la densité pour les solutions d’une équation différentielle stochastique et calculer les sensibilités des produits dérivés. La partie II traite de sujets d’actualité dans le domaine du risque de marché, à savoir les XVA (ajustements de prix) et la modélisation multi-courbe
This thesis deals with two areas of stochastic analysis and mathematical finance: Malliavin calculus for Markov chains (Part I) and counterparty risk (Part II). Part I is devoted to the study of Malliavin calculus for continuous-time Markov chains, in two respects: proving the existence of a density for the solution of a stochastic differential equation and computing sensitivities of financial derivatives. Part II addresses topical issues in interest rates and credit, namely XVA (pricing adjustments) and multicurve modeling
APA, Harvard, Vancouver, ISO, and other styles
9

Lundström, Love, and Oscar Öhman. "Backtesting of simulated method for Counterparty Credit Risk." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284.

Full text
Abstract:
After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. In simple terms CCR is a mix of Market and Credit risk which defines the risk that your counter party will go into bankruptcy. CCR involves the risk factors used in market risk since all of the derivatives are based on underlying assets such as interest rate and currencies. The thesis will focus on how one can backtest individual risk factors driving the value of OTC derivatives. We will present different Monte Carlo simulation techniques that are being used to simulate and represent all possible future outcomes for the risk factors. In order to better understand the performance of a chosen model and how to adjust the calibration window for the ingoing parameters, two different approaches are presented,Quantitative Backtesting and Statistical Backtesting. As an extension to this, a portfolio of interest rate Swaps are backtested whose value are driven by the evolution of the underlying risk factors. The backtesting ofthe portfolio is done with netting. The time horizon for the backtesting procedureis 2010-2020 giving the user up to 261 independent observations with a forecast length of 14 days. Both of the backtesting methods provide the practitioner with a graphical results guiding the user to choose an appropriate model and calibration method for simulating the risk factors. We found that a combination of the two approaches provides the best result. Hence, no backtesting method is superior the other. Instead they complement each other and should be used simultaneously. Using the two backtesting methods one can find a model that perfectly fit the underlying distribution of risk factors, theoretically. However, one should be careful since there will always be uncertainty about the future and there is no guarantee that tomorrow will follow historical evolution exactly.
APA, Harvard, Vancouver, ISO, and other styles
10

Wu, Dong Li. "Density models and applications to counterparty credit risk." Thesis, Evry-Val d'Essonne, 2013. http://www.theses.fr/2013EVRY0035/document.

Full text
Abstract:
Cette thèse porte sur les modèles à densité pour les temps de défaut et leur application au risque de crédit et de contrepartie. La première partie est une contribution théorique à l'étude des projections sur différentes filtrations de la densité de Radon-Nikodym, sous la forme d'exponentielle de Doléans-Dade, intervenant lors de changements de mesure. Le résultat principal est la caractérisation des changements de mesure qui préservent l'immersion, obtenue par application de nos formules de projection. La deuxième partie a pour objet une dynamisation informationnelle du modèle de copule gaussienne statique appliqué à un portefeuille de crédit, pouvant être vue comme un modèle à densité permettant de traîter de la couverture des CDO par CDS ou bien du risque de contrepartie sur les dérivés de crédit. Les principales contributions sont l'introduction de la perspective dynamique , qui permet de donner une justification théorique aux bump-sensibilités de copule gaussienne utilisées par les praticiens, et l'application aux calculs de CVA sur un CDS
This thesis is about density models of default times and applications to credit and counterparty risk. The rest part is a theoretical contribution to the study of projections on different filtrations of the Radon-Nikodym density of a measure change. The main result is a characterization of the measure changes preserving immersion in a density setup, obtained by application of our projection formulas. The second part is about an informational dynamization of the Gaussian copula model of portfolio credit risk, resulting in a density model of default times suitable to del with dynamic issues such as hedging of CDO through CDS or counterparty risk on credit derivatives. Here the main contributions are the introduction of the dynamic perspective, which allows one to give a theoretical justification to the Gaussian copula bump sensitivities used by practioners, and the application to CVA computations on CDS
APA, Harvard, Vancouver, ISO, and other styles
More sources

Books on the topic "Counterparty risks"

1

Brigo, Damiano, Massimo Morini, and Andrea Pallavicini. Counterparty Credit Risk, Collateral and Funding. Chichester, UK: John Wiley & Sons, Ltd, 2013. http://dx.doi.org/10.1002/9781118818589.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Gregory, Jon. Counterparty Credit Risk and Credit Value Adjustment. Oxford, UK: John Wiley & Sons Ltd, 2012. http://dx.doi.org/10.1002/9781118673638.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Acharya, Viral V. Counterparty risk externality: Centralized versus over-the-counter markets. Cambridge, MA: National Bureau of Economic Research, 2011.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
4

The risk controllers: Central counterparty clearing in globalised financial markets. Chichester, West Sussex, U.K: Wiley, 2011.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
5

Counterparty credit risk: The new challenge for global financial markets. Chichester, West Sussex: Wiley, 2010.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
6

Bomfim, Antúlio N. Counterparty credit risk in interest rate swaps during times of market stress. Washington, D.C: Federal Reserve Board, 2003.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
7

White, Eugene N. The crash of 1882, counterparty risk, and the bailout of the Paris Bourse. Cambridge, Mass: National Bureau of Economic Research, 2007.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
8

Modelling, pricing, and hedging counterparty credit exposure: A technical guide. Heidelberg: Springer, 2009.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
9

Jon, Gregory. Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets. 2nd ed. Hoboken, N.J: Wiley, 2012.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
10

Riva, Angelo. Danger on the exchange: How counterparty risk was managed on the Paris Bourse in the nineteenth century. Cambridge, MA: National Bureau of Economic Research, 2010.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Book chapters on the topic "Counterparty risks"

1

Hünseler, Michael. "CDS: Hedging of Issuer and Counterparty Risks." In Credit Portfolio Management, 165–206. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9780230391505_7.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Overdahl, James. "Counterparty Credit Risk." In Financial Derivatives, 283–94. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266403.ch20.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Brockhaus, Oliver. "Counterparty Credit Risk." In Equity Derivatives and Hybrids, 201–21. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137349491_14.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Stein, Harvey J., and Kin Pong Lee. "Counterparty Valuation Adjustments." In Credit Risk Frontiers, 485–506. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118531839.ch15.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

García, Francisco Javier Población. "Derivative Credit Risk (Counterparty Risk)." In Financial Risk Management, 265–73. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_12.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Cesari, Giovanni, John Aquilina, Niels Charpillon, Zlatko Filipović, Gordon Lee, and Ion Manda. "Pricing Counterparty Credit Risk." In Modelling, Pricing, and Hedging Counterparty Credit Exposure, 215–29. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-04454-0_14.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Mäntysaari, Petri. "Management of Counterparty Risk." In The Law of Corporate Finance: General Principles and EU Law, 187–238. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-03055-0_6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Ruiz, Ignacio. "Pricing Counterparty Credit Risk." In XVA Desks — A New Era for Risk Management, 126–42. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137448200_8.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Scandizzo, Sergio. "Counterparty Credit Risk Models." In The Validation of Risk Models, 139–52. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137436962_10.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Carlone, Giulio. "Compute Exposure by Counterparty." In Introduction to Credit Risk, 29–36. First edition | Boca Raton : C&H/CRC Press, 2020. |: Chapman and Hall/CRC, 2020. http://dx.doi.org/10.1201/9781003036944-6.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Counterparty risks"

1

Chen Yang, Qunfang Bao, Shenghong Li, and Guimei Liu. "Pricing credit spread option with counterparty risk." In 2010 International Conference on Computer Application and System Modeling (ICCASM 2010). IEEE, 2010. http://dx.doi.org/10.1109/iccasm.2010.5622881.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Albanese, Claudio. "Coherent global market simulations for counterparty credit risk." In 2010 Workshop on High Performance Computational Finance at SC10 (WHPCF). IEEE, 2010. http://dx.doi.org/10.1109/whpcf.2010.5671842.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Zou, Hui-Wen, and Li-Li Miao. "The Counterparty Credit Risk of CDS Based on Information Game Model." In 2011 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2011. http://dx.doi.org/10.1109/iciii.2011.56.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Edge, Paul. "An approximation of counterparty credit risk in long term power purchase agreements (PPAs)." In 2015 12th International Conference on the European Energy Market (EEM). IEEE, 2015. http://dx.doi.org/10.1109/eem.2015.7216645.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Crépey, S., M. Jeanblanc, and B. Zargari. "Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults." In Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009. WORLD SCIENTIFIC, 2010. http://dx.doi.org/10.1142/9789814304078_0004.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Wang, Amy, Lior Velichover, James Sedgwick, Louis Ly, Jan Treibig, Bob Blainey, Peng Wu, et al. "Optimizing IBM algorithmics' mark-to-future aggregation engine for real-time counterparty credit risk scoring." In the 6th Workshop. New York, New York, USA: ACM Press, 2013. http://dx.doi.org/10.1145/2535557.2535567.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Laconte, Johann, Christophe Debain, Roland Chapuis, Francois Pomerleau, and Romuald Aufrere. "Lambda-Field: A Continuous Counterpart of the Bayesian Occupancy Grid for Risk Assessment." In 2019 IEEE/RSJ International Conference on Intelligent Robots and Systems (IROS). IEEE, 2019. http://dx.doi.org/10.1109/iros40897.2019.8968100.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Laconte, Johann, Elie Randriamiarintsoa, Abderrahim Kasmi, Francois Pomerleau, Roland Chapuis, Christophe Debain, and Romuald Aufrere. "Dynamic Lambda-Field: A Counterpart of the Bayesian Occupancy Grid for Risk Assessment in Dynamic Environments." In 2021 IEEE/RSJ International Conference on Intelligent Robots and Systems (IROS). IEEE, 2021. http://dx.doi.org/10.1109/iros51168.2021.9636804.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Crespo, Daniel, Jesus Gil, Alberto Gomez, and Enrique Mota. "Grid solution for market and counterparty risk calculation. Real life problems from the point of view of the system developer." In 1st International Workshop on Grid Technology for Financial Modeling and Simulation. Trieste, Italy: Sissa Medialab, 2007. http://dx.doi.org/10.22323/1.026.0005.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Liu, Bin, and Rajeev K. Jaiman. "The Effect of Gap Flow on Vortex-Induced Vibration of Side-by-Side Cylinder Arrangement." In ASME 2016 35th International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/omae2016-54736.

Full text
Abstract:
A numerical investigation of vortex-induced vibration (VIV) of a pair of identical circular cylinders placed side by side in an uniform flow has been performed. One of the cylinder is elastically mounted and only vibrates in the transverse direction, while its counterpart remains stationary. When two cylinders are placed sufficiently close to each other, a flip-flopping phenomenon can be an additional time-dependent disturbance in the range of 0.2 ≲ g* ≲ 1.2. This phenomenon was well-reported by the experimental work of Bearman and Wadcock [1] in a side-by-side circular cylinder arrangement, in which the gap flow biased toward one of the cylinders and switched the sides intermittently. Albeit one of the two cylinders is free to vibrate, this flip-flopping during VIV dynamics can still be observed. In the side-by-side arrangement, the lock-in region shrinks due to the presence of its stationary counterpart and occurs prematurely compared to that of an isolated counterpart. Similar to the tandem cylinder arrangement, in the post lock-in region, the vibration amplitude is amplified compared to the isolated counterpart. For the vibrating cylinder in the side-by-side arrangement, the biased gap flow shows a quasi-stable flow regime within the lock-in region, instead of a bi-stable regime which is reported in the stationary side-by-side arrangement. When these factors take place simultaneously, the dynamics of freely vibrating cylinder becomes complex and such a side-by-side canonical arrangement is common in offshore engineering applications, for example a floating platform operating in the side of FPSO, arrays of riser and pipelines, ships travelling in rows within close proximity and many other side-by-side operations. The chaotic fluctuation and large vibration may occur when two bluff bodies are placed closely. It often causes inevitable damages and potential risks to the offshore structures and may leads to a collision or long-term fatigue failure associated with flow-induced vibrations.
APA, Harvard, Vancouver, ISO, and other styles

Reports on the topic "Counterparty risks"

1

León-Rincón, Carlos Eduardo, and Miguel Sarmiento. Liquidity and counterparty risks tradeoff in money market networks. Bogotá, Colombia: Banco de la República, April 2016. http://dx.doi.org/10.32468/be.936.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Farboodi, Maryam. Intermediation and Voluntary Exposure to Counterparty Risk. Cambridge, MA: National Bureau of Economic Research, November 2021. http://dx.doi.org/10.3386/w29467.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Acharya, Viral, and Alberto Bisin. Counterparty Risk Externality: Centralized Versus Over-the-counter Markets. Cambridge, MA: National Bureau of Economic Research, April 2011. http://dx.doi.org/10.3386/w17000.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Levich, Richard. FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets. Cambridge, MA: National Bureau of Economic Research, July 2012. http://dx.doi.org/10.3386/w18256.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Bernstein, Asaf, Eric Hughson, and Marc Weidenmier. Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse. Cambridge, MA: National Bureau of Economic Research, September 2014. http://dx.doi.org/10.3386/w20459.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

White, Eugene. The Crash of 1882, Counterparty Risk, and the Bailout of the Paris Bourse. Cambridge, MA: National Bureau of Economic Research, February 2007. http://dx.doi.org/10.3386/w12933.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Riva, Angelo, and Eugene White. Danger on the Exchange: How Counterparty Risk Was Managed on the Paris Bourse in the Nineteenth Century. Cambridge, MA: National Bureau of Economic Research, January 2010. http://dx.doi.org/10.3386/w15634.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Environmental factors linked with identifying as a sexual minority may increase suicidality risk. ACAMH, March 2021. http://dx.doi.org/10.13056/acamh.15070.

Full text
Abstract:
Adolescents who identify as a sexual minority (e.g., gay/lesbian, bisexual) are at an increased risk for suicidality compared to their heterosexual counterparts.1 Until now, inherent limitations in study design has meant that the extent of this association has been unclear.
APA, Harvard, Vancouver, ISO, and other styles
9

Depressed mothers and their offspring differ in terms of health risk profiles and allostatic load. ACAMH, October 2020. http://dx.doi.org/10.13056/acamh.13527.

Full text
Abstract:
Allostatic load is essentially the “wear and tear” that accumulates in the body in individuals exposed to chronic stress. Because some patients with psychiatric disorders have a shorter lifespan than their healthy counterparts,1 some researchers have suggested that there might be a link between disorders such as depression and increased allostatic load.
APA, Harvard, Vancouver, ISO, and other styles
10

Payment Systems Report - June of 2021. Banco de la República, February 2022. http://dx.doi.org/10.32468/rept-sist-pag.eng.2021.

Full text
Abstract:
Banco de la República provides a comprehensive overview of Colombia’s finan¬cial infrastructure in its Payment Systems Report, which is an important product of the work it does to oversee that infrastructure. The figures published in this edition of the report are for the year 2020, a pandemic period in which the con¬tainment measures designed and adopted to alleviate the strain on the health system led to a sharp reduction in economic activity and consumption in Colom¬bia, as was the case in most countries. At the start of the pandemic, the Board of Directors of Banco de la República adopted decisions that were necessary to supply the market with ample liquid¬ity in pesos and US dollars to guarantee market stability, protect the payment system and preserve the supply of credit. The pronounced growth in mone¬tary aggregates reflected an increased preference for liquidity, which Banco de la República addressed at the right time. These decisions were implemented through operations that were cleared and settled via the financial infrastructure. The second section of this report, following the introduction, offers an analysis of how the various financial infrastructures in Colombia have evolved and per¬formed. One of the highlights is the large-value payment system (CUD), which registered more momentum in 2020 than during the previous year, mainly be¬cause of an increase in average daily remunerated deposits made with Banco de la República by the General Directorate of Public Credit and the National Treasury (DGCPTN), as well as more activity in the sell/buy-back market with sovereign debt. Consequently, with more activity in the CUD, the Central Securi¬ties Depository (DCV) experienced an added impetus sparked by an increase in the money market for bonds and securities placed on the primary market by the national government. The value of operations cleared and settled through the Colombian Central Counterparty (CRCC) continues to grow, propelled largely by peso/dollar non-deliverable forward (NDF) contracts. With respect to the CRCC, it is important to note this clearing house has been in charge of managing risks and clearing and settling operations in the peso/dollar spot market since the end of last year, following its merger with the Foreign Exchange Clearing House of Colombia (CCDC). Since the final quarter of 2020, the CRCC has also been re¬sponsible for clearing and settlement in the equities market, which was former¬ly done by the Colombian Stock Exchange (BVC). The third section of this report provides an all-inclusive view of payments in the market for goods and services; namely, transactions carried out by members of the public and non-financial institutions. During the pandemic, inter- and intra-bank electronic funds transfers, which originate mostly with companies, increased in both the number and value of transactions with respect to 2019. However, debit and credit card payments, which are made largely by private citizens, declined compared to 2019. The incidence of payment by check contin¬ue to drop, exhibiting quite a pronounced downward trend during the past last year. To supplement to the information on electronic funds transfers, section three includes a segment (Box 4) characterizing the population with savings and checking accounts, based on data from a survey by Banco de la República con-cerning the perception of the use of payment instruments in 2019. There also is segment (Box 2) on the growth in transactions with a mobile wallet provided by a company specialized in electronic deposits and payments (Sedpe). It shows the number of users and the value of their transactions have increased since the wallet was introduced in late 2017, particularly during the pandemic. In addition, there is a diagnosis of the effects of the pandemic on the payment patterns of the population, based on data related to the use of cash in circu¬lation, payments with electronic instruments, and consumption and consumer confidence. The conclusion is that the collapse in the consumer confidence in¬dex and the drop in private consumption led to changes in the public’s pay¬ment patterns. Credit and debit card purchases were down, while payments for goods and services through electronic funds transfers increased. These findings, coupled with the considerable increase in cash in circulation, might indicate a possible precautionary cash hoarding by individuals and more use of cash as a payment instrument. There is also a segment (in Focus 3) on the major changes introduced in regulations on the retail-value payment system in Colombia, as provided for in Decree 1692 of December 2020. The fourth section of this report refers to the important innovations and tech¬nological changes that have occurred in the retail-value payment system. Four themes are highlighted in this respect. The first is a key point in building the financial infrastructure for instant payments. It involves of the design and im¬plementation of overlay schemes, a technological development that allows the various participants in the payment chain to communicate openly. The result is a high degree of interoperability among the different payment service providers. The second topic explores developments in the international debate on central bank digital currency (CBDC). The purpose is to understand how it could impact the retail-value payment system and the use of cash if it were to be issued. The third topic is related to new forms of payment initiation, such as QR codes, bio¬metrics or near field communication (NFC) technology. These seemingly small changes can have a major impact on the user’s experience with the retail-value payment system. The fourth theme is the growth in payments via mobile tele¬phone and the internet. The report ends in section five with a review of two papers on applied research done at Banco de la República in 2020. The first analyzes the extent of the CRCC’s capital, acknowledging the relevant role this infrastructure has acquired in pro¬viding clearing and settlement services for various financial markets in Colom¬bia. The capital requirements defined for central counterparties in some jurisdic¬tions are explored, and the risks to be hedged are identified from the standpoint of the service these type of institutions offer to the market and those associated with their corporate activity. The CRCC’s capital levels are analyzed in light of what has been observed in the European Union’s regulations, and the conclusion is that the CRCC has a scheme of security rings very similar to those applied internationally and the extent of its capital exceeds what is stipulated in Colombian regulations, being sufficient to hedge other risks. The second study presents an algorithm used to identify and quantify the liquidity sources that CUD’s participants use under normal conditions to meet their daily obligations in the local financial market. This algorithm can be used as a tool to monitor intraday liquidity. Leonardo Villar Gómez Governor
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the extended bibliographies on the topic 'Counterparty risks' for particular source types:
Journal articles Dissertations / Theses Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography