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Counterparty Credit Risk

Ghamami, Samim - In: Quantitative Finance 13 (2013) 12, pp. 1863-1865

Persistent link: https://www.econbiz.de/10010751527

VARIANCE RISK PREMIA IN ENERGY COMMODITIES

Ross, Sheldon M; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2010) 3, pp. 15-33

Persistent link: https://www.econbiz.de/10008393828

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Ghamami, Samim - 2015

Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty...

Persistent link: https://www.econbiz.de/10013031111

Central counterparty default waterfalls and systemic loss

Ghamami, Samim; Paddrik, Mark; Zhang, Simpson - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 8, pp. 3577-3612

Persistent link: https://www.econbiz.de/10014465432

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Ghamami, Samim; Zhang, Bo - Federal Reserve Board (Board of Governors of the … - 2014

Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amounts of resources employing Monte Carlo simulation to measure and price their counterparty...

Persistent link: https://www.econbiz.de/10011119860

Portfolio mathematics

Glasserman, Paul - In: The professional risk managers' guide to finance theory …, (pp. 55-102). 2008

Persistent link: https://www.econbiz.de/10003677812

Calculating portfolio credit risk

Glasserman, Paul - In: Financial engineering, (pp. 437-470). 2008

Persistent link: https://www.econbiz.de/10003567702

Risk horizon and rebalancing horizon in portfolio risk measurement

Glasserman, Paul - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 214-249

Persistent link: https://www.econbiz.de/10009613204

Tail approximations for portfolio credit risk

Glasserman, Paul - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 24-42

Persistent link: https://www.econbiz.de/10002535960

Monte Carlo methods in financial engineering

Glasserman, Paul - 2004

Persistent link: https://www.econbiz.de/10001763783

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