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the collateral agreements. We also demonstrate whether our pricing approach is consistent with an another equilibrium …
Persistent link: https://www.econbiz.de/10012999558
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
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
In this article, we present a non-model framework for calculating exposure at default for counterparty credit risk analytically. While the proposed framework is based on the same fundamental assumption (that future transaction market values are normally distributed) as is used in the...
Persistent link: https://www.econbiz.de/10013405947
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
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...
Persistent link: https://www.econbiz.de/10012966277
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
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
default closeout, including collateral margining with possible re-hypothecation, and treasury funding costs, we show how such …
Persistent link: https://www.econbiz.de/10013021843
Bilateral CVA as currently implement has the counter-intuitive effect of profiting from one's own widening CDS spreads, i.e. increased risk of default, in practice. The unified picture of CVA and liquidity introduced by Morini & Prampolini 2010 has contributed to understanding this. However,...
Persistent link: https://www.econbiz.de/10013138140