Narrow search
Showing 1 - 9 of 9
Cover Image
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011
managing even a single plain vanilla Swap. In this qualitative note we review the problem trying to shed some light on this …
Persistent link: https://www.econbiz.de/10011259157
Cover Image
Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.
Fries, Christian P. - Volkswirtschaftliche Fakultät, … - 2010
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding …
Persistent link: https://www.econbiz.de/10008530717
Cover Image
An economic view of carbon allowances market.
Frunza, Marius-Cristian; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
structured product specific to the carbon market, the swap between two carbon instruments : The European Union Allowances and the …
Persistent link: https://www.econbiz.de/10004999114
Cover Image
Swap transactions as a financial tool, their recognition as international accounting standard 39 and display in financial statements
Kablan, Ali - In: International Journal of Finance & Banking Studies 2 (2013) 2, pp. 8-8
, one of the derivative products used in risk management and have a wide implementation area is swap transactions. Swap … or more parties. Swap transactions in particular are used for purposes such as protection against risks due to interest … study, the generally defined characteristics of swap transactions, which have an important standing within financial risk …
Persistent link: https://www.econbiz.de/10010681615
Cover Image
Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market
Frunza, Marius-Cristian; Guegan, Dominique - HAL - 2010
several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related …
Persistent link: https://www.econbiz.de/10010603688
Cover Image
Energy market for Caspian Sea oil and its supply
Emadi, Seyed Emad; Nezhad, Hameed - In: IBSU Scientific Journal 5 (2011) 2, pp. 21-34
The Caspian Sea countries present growing importance in the global energy market. The largest energy producers in the region are Azerbaijan, Kazakhstan, and Turkmenistan. In recognition of the growing importance of Caspian countries in the global energy market, this article takes a look at the...
Persistent link: https://www.econbiz.de/10011161887
Cover Image
The information content of Eonia swap rates before and during the financial crisis
Hernandis, Lucía; Torró, Hipòlit - In: Journal of Banking & Finance 37 (2013) 12, pp. 5316-5328
Before August 2007, implied forward rates in the overnight interest swap rates closely reflected market expectations … hypothesis of the term structure as a benchmark model for the determination of the overnight interest swap rates, we find that …
Persistent link: https://www.econbiz.de/10011065652
Cover Image
Risk assessment for a Structured Product Specific to the CO2 Emission Permits Market.
Frunza, Marius-Cristian; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related …
Persistent link: https://www.econbiz.de/10008461107
Cover Image
CVA, Wrong Way Risk, Hedging and Bermudan Swaption
Boukhobza, Ali; Maetz, Jerome - Volkswirtschaftliche Fakultät, … - 2012
“Roughly two-thirds of credit counterparty losses were due to credit valuation adjustment losses and only one-third were due to actual defaults” according to the Basel Committee on Banking Supervision, highlighting the importance of counterparty credit risk management to the derivatives...
Persistent link: https://www.econbiz.de/10011258253