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Counterparty risk : credit valuation adjustment variability and value-at-risk
Breton, Michèle; Marzouk, Oussama - In: Journal of risk 21 (2018/2019) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10012059879
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The trade-off between liquidity risk and counterparty risk in money market networks
León, Carlos; Sarmiento, Miguel - In: The journal of financial market infrastructures 9 (2020) 2, pp. 27-53
Persistent link: https://www.econbiz.de/10012803304
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Valuation of systematic risk in the cross-section of credit default swap spreads
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel; … - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 183-195
Persistent link: https://www.econbiz.de/10011792305
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Applications of credit derivatives : opportunities and risks involved in credit derivatives
Seemann, Harald - 2008
a credit derivative contract. Afterwards, an account of the International Swaps and Derivatives Association (ISDA) is …
Persistent link: https://www.econbiz.de/10012674418
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Can an equity structure dominate the risk-return profile of corporate bonds?
Nouvellon, Edouard; Pirotte, Hugues - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 277-290
Persistent link: https://www.econbiz.de/10012581627
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Disastrous defaults
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; … - In: Review of finance : journal of the European Finance … 25 (2021) 6, pp. 1727-1772
Persistent link: https://www.econbiz.de/10012694401
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Synthetic leverage and fund risk-taking
Fricke, Daniel - 2021
Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...
Persistent link: https://www.econbiz.de/10012622826
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Optimal margin requirement
Berlinger, Edina; Dömötör, Barbara; Illés, Ferenc - In: Finance research letters 31 (2019), pp. 239-249
Persistent link: https://www.econbiz.de/10012421563
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A copula approach to credit valuation adjustment for swaps under wrong-way risk
C̆erný, Jakub; Witzany, Jir̆í - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
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Synthetic leverage and fund risk-taking
Fricke, Daniel - 2021
Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...
Persistent link: https://www.econbiz.de/10012489580