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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10009748723

CVA with wrong way risk : sensitivities, volatility and hedging

El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403747

Risk management in financial markets

Panz, Sven - 2020

Persistent link: https://www.econbiz.de/10012254516

Volatility versus downside risk : performance protection in dynamic portfolio strategies

Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479

Persistent link: https://www.econbiz.de/10012053148

Wrong-way risk of interest rate instruments

Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44

Persistent link: https://www.econbiz.de/10012100575

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

Persistent link: https://www.econbiz.de/10011883272