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A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets
Sakurai, Yuji; Kurosaki, Tetsuo - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 243-281
Persistent link: https://www.econbiz.de/10012226915
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Counterparty risk, central counterparty clearing and aggregate risk
Deng, Binbin - In: Annals of finance 13 (2017) 4, pp. 355-400
Persistent link: https://www.econbiz.de/10011945579
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Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit; Hofer, Markus; Kandhai, Drona - In: Quantitative finance 18 (2018) 3, pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
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Structured finance and the social contract : how tranching challenges contractualist approaches to financial risk
Scharding, Tobey - In: Business ethics quarterly : the journal of the Society … 29 (2019) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011995367
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Dynamic risk management and asset comovement
Brøgger, Søren Bundgaard - In: Journal of empirical finance 67 (2022), pp. 60-77
Persistent link: https://www.econbiz.de/10013464366
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The Art of Quantitative Finance Vol. 3 : Risk, Optimal Portfolios, and Case Studies
Larcher, Gerhard - 2023
The textbook discusses risk management in capital markets and presents various techniques of portfolio optimization. Special attention is given to risk measurement and credit risk management. Furthermore, the author discusses optimal investment problems and presents various examples. In the last...
Persistent link: https://www.econbiz.de/10014248694
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A derivatives pricing model with non-cash collateralization
Takino, Kazuhiro - In: The journal of derivatives : JOD 29 (2021) 1, pp. 123-138
Persistent link: https://www.econbiz.de/10012612946
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Estimating "hedge and auction" liquidation costs in central counterparties : a closeout risk approach
Vicente, Luis A. B. G.; Cerezetti, Fernando; Genaro, Alan de - In: The journal of financial market infrastructures 6 (2017) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011779047
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Climate risk and central counterparty risk management
Bryan, Andrew; Cerezetti, Fernando; Klasén, Karl; … - In: The journal of financial market infrastructures 9 (2021) 4, pp. 63-68
Persistent link: https://www.econbiz.de/10013269992
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Counterparty risk and funding : immersion and beyond
Crépey, Stéphane; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 901-930
Persistent link: https://www.econbiz.de/10011569906