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Derivative
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The journal of futures markets
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International journal of theoretical and applied finance
22
Review of derivatives research
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Applied mathematical finance
16
Quantitative finance
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Finance research letters
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International journal of financial engineering
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8
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8
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wi - Wirtschaft
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ECONIS (ZBW)
1,646
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1
Counterparty Risk FAQ : Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
Brigo, Damiano
-
2012
We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), DVA Hedging, Closeout conventions,...
Persistent link: https://www.econbiz.de/10013113616
Saved in:
2
Rehypothecation Dilemma : Impact of Collateral Rehypothecation on Derivative Prices Under Bilateral Counterparty Credit Risk
Sakurai, Yuji
-
2013
Rehypothecation is the practice where a derivatives dealer reuses collateral posted from its end user in over-the-counter (OTC) derivatives markets. Although rehypothecation benefits the end user through cost reduction of derivative trades, it also creates additional counterparty credit risk...
Persistent link: https://www.econbiz.de/10013090345
Saved in:
3
Credit Derivatives as a Commitment Device : Evidence from the Cost of Corporate Debt
Kim, Gi H.
-
2019
When a firm writes incomplete debt contracts, its limited ability to commit to not strategically default and renegotiate its debt requires the firm to pay higher yields to its creditors. Hedged by credit derivatives, creditors have stronger bargaining power in the case of debt renegotiation,...
Persistent link: https://www.econbiz.de/10012905392
Saved in:
4
Default Contagion and Systemic Risk with Cross-Ownership of Equities, Debts, and Financial Derivatives
Nishide, Katsumasa
-
2020
We consider a situation in which general financial products such as
options
, CDS, and other derivatives, are traded to …
Persistent link: https://www.econbiz.de/10012855070
Saved in:
5
Option-Based Pricing of Wrong Way Risk for CVA
Kenyon, Chris
-
2016
exposure with liquid
options
. We say "start from" because we demonstrate that a naive worst-case approach contains hidden …
Persistent link: https://www.econbiz.de/10012986205
Saved in:
6
A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk
Henderson, Vicky
-
2015
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to intertemporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is the splitting method, whose convergence is proved based...
Persistent link: https://www.econbiz.de/10013037486
Saved in:
7
Credit Derivatives and Corporate Default Prediction
Ye, Xiaoxia
;
Yu, Fan
;
Zhao, Ran
-
2021
great financial crisis, and is robust to the inclusion of corporate bond and equity
options
market information. A …
Persistent link: https://www.econbiz.de/10013213330
Saved in:
8
Hedging interest rate risk using a structural model of credit risk
Huang, Jing-Zhi
;
Shi, Zhan
-
2016
This paper investigates predictions of structural credit risk models for interest rate sensitivities of corporate bond returns. Recent evidence has shown that the existing models fail to capture this sensitivity (a stylized fact referred to as the interest rate sensitivity puzzle). We propose...
Persistent link: https://www.econbiz.de/10011810957
Saved in:
9
Assessing contingent convertible bonds for bank recapitalization in Nigeria
Katata, Kabir
- In:
CBN journal of applied statistics
10
(
2019
)
1
,
pp. 119-153
This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank recapitalisation in Nigeria by employing contingent convertibles (CoCos) and using the Nigeria Treasury Bill rate for 2009 as the risk-free rate, estimated recapitalisation requirements...
Persistent link: https://www.econbiz.de/10012178362
Saved in:
10
Derivatives and default risk
Scholz, Sebastian
-
2010
is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose.
Options
are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy,
options
are the preferred …
Persistent link: https://www.econbiz.de/10003951795
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