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Why do banks use credit default swaps (CDS)? : a systematic review
Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231
Persistent link: https://www.econbiz.de/10014474357
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Mitigating counterparty risk
Gündüz, Yalın - 2018
effect on the hedging behaviour against the counterparty. As the current regulatory frameworks explicitly formulate any … capital relief motives and provides a viable hedging instrument beyond receiving coverage through collateral. …
Persistent link: https://www.econbiz.de/10011900709
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Market and counterparty credit risk : selected computational and managerial aspects
Schwake, Daniel - 2016
Persistent link: https://www.econbiz.de/10012384955
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Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Palmowski, Z.; Budhi Arta Surya - In: Insurance / Mathematics & economics 93 (2020), pp. 168-177
Persistent link: https://www.econbiz.de/10012294093
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A dynamic programming approach for pricing weather derivatives under issuer default risk
Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18
risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of …
Persistent link: https://www.econbiz.de/10011760235
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Contingent convertible lease modeling and credit risk management
Triki, Ons; Abid, Fathi - In: Financial innovation : FIN 8 (2022), pp. 1-29
-management strategies by adding more flexibility to standard leasing contracts and contingent rents. Closed-form securities pricing … contingent lease. Risk-neutral pricing theory and the backward induction method are used to determine the pricing of corporate …
Persistent link: https://www.econbiz.de/10013413113
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Risk-taking, competition and uncertainty : do CoCo bonds increase the risk appetite of banks?
Wijnbergen, Sweder van; Fatouh, Mahmoud; Neamtu, Ioana - 2020
Persistent link: https://www.econbiz.de/10012217408
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Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.; Crépey, S.; Jeanblanc, Monique; … - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
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Hedging the 'One-Way CSA' Counterparty Risk in a CDO
Giada, Lorenzo - 2013
from an interest rate hedging swap assisted by a "one-way" collateral agreement. This risk emerges when the swap is …
Persistent link: https://www.econbiz.de/10013073828
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Hedging Stock Sector Risk with Credit Default Swaps
Ratner, Mitchell - 2015
This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock market sectors from 2004-2011. Tests of GARCH dynamic conditional correlation coefficients indicate that CDS serve as an effective hedge against risk in all stock sectors. CDS also...
Persistent link: https://www.econbiz.de/10013019344