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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10003933233
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The Effect of Mutualization and Collateralization on Credit Default Swaps Premium
Rojas Cama, Freddy - 2019
This paper examines the effect of collateralization and mutualization (of losses) on credit default swaps (CDS) premium in a context of high counterparty risk operating through an opaque derivatives market. This setup certainly makes clearing practices to affect the size of positions, recovery...
Persistent link: https://www.econbiz.de/10012864366
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Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
Fujii, Masaaki - 2011
asymmetric and imperfect collateralization with the associated counter party credit risk. By introducing the collateral coverage … (CVA), and the collateral cost adjustment (CCA) independent from the credit risk. We have studied each term closely, and …
Persistent link: https://www.econbiz.de/10013131969
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Collateralized CDS and Default Dependence - Implications for the Central Clearing
Fujii, Masaaki - 2011
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable trace of the counter party as well as the investor in the...
Persistent link: https://www.econbiz.de/10013127295
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Funding Valuation Adjustment : A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation
Pallavicini, Andrea - 2012
for asymmetric collateral and funding rates, and exogenous liquidity policies and hedging strategies. Re …
Persistent link: https://www.econbiz.de/10013113369
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Pricing Bermudan Callable Derivatives with Default, Collateral Margining, Funding and Investment Costs
Amin, Ahsan - 2012
In this research note, we price Bermudan structured derivatives including the consequences of default, collateral … margining, funding and investment costs. We use LSA Monte Carlo method for finding MTM for collateral margining along all …
Persistent link: https://www.econbiz.de/10013106493
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Estimating the Risk of Joint Defaults : An Application to Central Bank Collateralized Lending Operations
Gatarek, Dariusz - 2017
to “double default events” when the counterparty and the issuer of the underlying collateral asset both default in a … credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are …
Persistent link: https://www.econbiz.de/10012971190
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Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs : A Numerical Case Study Extending Black-Scholes
Brigo, Damiano - 2017
framework addresses common market practices of ISDA governed deals without restrictive assumptions on collateral margin payments … detail in Brigo and Pallavicini (2014). In particular, we allow for asymmetric collateral and funding rates, replacement …
Persistent link: https://www.econbiz.de/10012973284
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Collateral and PDE
Kamtchueng, Christian - 2016
pushed the industry to use collateral in order to reduce the risk. In this new world, we want to see how this new …
Persistent link: https://www.econbiz.de/10013002026
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Endogenous Recovery and Replication of A Segregated Derivatives Economy with Counterparty Credit, Collateral, and Market Funding
Lou, Wujiang - 2016
to post collateral fully. The economy exhibits funding asymmetry in that deposit and borrowing have differing rates. A …
Persistent link: https://www.econbiz.de/10013007738