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A Parametric Approach to Counterparty and Credit Risk
Härtel, Maximilian - 2015
In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure. We explain how we measure the exposure for each counterparty...
Persistent link: https://www.econbiz.de/10013034841
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A Parametric Approach to Counterparty and Credit Risk
Härtel, Maximilian - 2015
In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure.We explain how we measure the exposure for each counterparty...
Persistent link: https://www.econbiz.de/10013034845
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Quantification of central counterparty risk
Arnsdorf, Matthias - In: Journal of risk management in financial institutions 5 (2011/12) 3, pp. 273-287
Persistent link: https://www.econbiz.de/10009565848
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Do Japanese policyholders care about insurers' credit quality?
Park, Sojung Carol; Tokutsune, Yasuyuki - In: The Geneva papers on risk and insurance - issues and … 38 (2013) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10009721822
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Redesigning ratings : assessing the discriminatory power of credit scores under censoring
Kraft, Holger; Kroisandt, Gerald; Müller, Marlene - In: The journal of credit risk : published quarterly by … 10 (2014) 4, pp. 71-94
Persistent link: https://www.econbiz.de/10010495827
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Who monitors climate risk of financial institutions? : evidence from catastrophe risks in insurance
Basten, Christoph; Kartasheva, Anastasia - 2024
Persistent link: https://www.econbiz.de/10014581696
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Estimation in discontinuous Bernoulli mixture models applicable in credit rating systems with dependent data
Tillich, Daniel; Lehmann, Christoph - 2016
Persistent link: https://www.econbiz.de/10013441253
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When insurers exit: climate losses, fragile insurers, and mortgage markets
Sastry, Parinitha; Sen, Ishita; Tenekedjieva, Ana-Maria - 2024
Persistent link: https://www.econbiz.de/10014481358
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ETF risk models
Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10013407268
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The valuation and behavior of black-scholes options subject to intertemporal default risk
Rich, Don R. - In: Review of derivatives research 1 (1996) 1, pp. 25-59
Persistent link: https://www.econbiz.de/10001205608