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 …

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 …

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon …

-based measures of credit risk, liquidity risk and interest rate risk. In this context, I analyse how the set of explanatory factors … repriced CDX contracts to a larger extent than iTraxx contracts. Credit risk and liquidity factors are priced in almost all … tranches with liquidity risk playing a larger role since the start of the turmoil. …

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 …

wichtigsten Industriemodelle (Credit Risk+, KMV, Credit Metrics, Credit Portfolio View). Behandelt werden ferner die Grundzüge von … survey intends to give a systematic overview of fields of problems, of approaches to modelling and of methods of risk … systems and proceed with the four central categories of credit risk models (loan loss distributions, firm value models …