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A Parametric Approach to Counterparty and Credit Risk
Härtel, Maximilian - 2015
In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure. We explain how we measure the exposure for each counterparty...
Persistent link: https://www.econbiz.de/10013034841
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A Parametric Approach to Counterparty and Credit Risk
Härtel, Maximilian - 2015
In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure.We explain how we measure the exposure for each counterparty...
Persistent link: https://www.econbiz.de/10013034845
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Compensation par contrepartie centrale et assurance contre le risque systémique sur les marchés dérivés de gré à gré
Koeppl, Thorsten V.; Monnet, Cyril - In: Revue d'économie financière : revue trimestrielle de … 109 (2013), pp. 179-196
Persistent link: https://www.econbiz.de/10009776248
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Bewertung des Kontrahentenrisikos bei OTC-Derivaten
Lowis, Stephan - 2002
Persistent link: https://www.econbiz.de/10001689624
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Quantification of central counterparty risk
Arnsdorf, Matthias - In: Journal of risk management in financial institutions 5 (2011/12) 3, pp. 273-287
Persistent link: https://www.econbiz.de/10009565848
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Basel IV : die Baseler Vorschläge zur Überarbeitung der Ermittlung von risikogewichteten Aktiva
Neisen, Martin (ed., contributor);  … - 2016
Persistent link: https://www.econbiz.de/10011657926
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Redesigning ratings : assessing the discriminatory power of credit scores under censoring
Kraft, Holger; Kroisandt, Gerald; Müller, Marlene - In: The journal of credit risk : published quarterly by … 10 (2014) 4, pp. 71-94
Persistent link: https://www.econbiz.de/10010495827
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Do Japanese policyholders care about insurers' credit quality?
Park, Sojung Carol; Tokutsune, Yasuyuki - In: The Geneva papers on risk and insurance - issues and … 38 (2013) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10009721822
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When insurers exit: climate losses, fragile insurers, and mortgage markets
Sastry, Parinitha; Sen, Ishita; Tenekedjieva, Ana-Maria - 2024
Persistent link: https://www.econbiz.de/10014481358
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Prämiendifferenzierung bei der Versicherung kommerzieller Bankkredite anhand von Risikoklassen
Stocker, Georg - 1997
Persistent link: https://www.econbiz.de/10013360810