adjustment to derivative prices, known as a funding value adjustment (FVA), which is interlinked with the posting of collateral … of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk …. In this paper, we extend the Cox, Ross and Rubinstein (CRR) discrete-time model to include collateral and FVA. We prove …

decouple across secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral …We study the functioning of secured and unsecured inter-bank markets in the presence of credit risk. The model …

Collateral is a widely used, but not well understood, debt-contracting feature. Two broad strands of theoretical … literature explain collateral as arising from the existence of either ex ante private information or ex post incentive problems … private information about borrower risk that is unobserved by the lender. The data also include public information about …

This paper studies the risk management of central counterparties (CCPs) using a granular transaction-level dataset. We … test whether margining practices are sufficient relative to portfolio risk and whether CCPs reduce margin requirements in a …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …

Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through … securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management …. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …