Similar Search Results

Does bitcoin liquidity resemble the liquidity of other financial assets?

Ma, Rui; Marshall, Ben R.; Nguyen, Nhut; … - In: Australian journal of management 47 (2022) 4, pp. 729-748

Persistent link: https://www.econbiz.de/10013396317

Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives

Wang, Qian - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003320531

Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Default risk of money-market fund portfolios

Bansal, Matulya - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 43-71

Persistent link: https://www.econbiz.de/10011442549

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475

Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224

Persistent link: https://www.econbiz.de/10011477301

Modeling joint default in correlation-sensitive instruments

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 15-42

Persistent link: https://www.econbiz.de/10011642666

The limits of Central Counterparty Clearing : collusive moral hazard and market liquidity

Koeppl, Thorsten V. - 2013

forgo incentives for transactions that use collateral only for insurance. With collusion about risk taking, a CCP needs to … market liquidity and worsens incentives causing a feedback effect that amplifies collateral costs. … such risk? When counterparty risk is not observable, I show that central clearing leads to higher collateral requirements …

Persistent link: https://www.econbiz.de/10009778596

Liquidity holdings, diversification, and aggregate shocks

Chavaz, Matthieu - 2017

Persistent link: https://www.econbiz.de/10011912996

The impacts of financial regulations : solvency and liquidity in the post-crisis period

Baker, Colleen; Cumming, Christine M.; Jagtiani, Julapa - 2017

Persistent link: https://www.econbiz.de/10011689300