Counterparty Risk

Sovereign credit guarantees and government on-lending can catalyze private sector investment and fulfill specific policy objectives. However,…
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The credit risk is the potential that a bank borrower or counterparty will fail to meet its…
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Counterparty risk measurement integrates two sources of risk: market risk, which determines the size of a firm’s…
Derivatives activity, motivated by risk-sharing, can breed risk-taking. Bad news about the risk of the asset underlying…
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This article investigates market discipline in the reinsurance market by examining the sensitivity of reinsurance demand to…
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This paper explores the sources of counterparty risk in material supply relationships. Using long-term supply contracts collected…
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We study the impact of the recent global financial crisis on CHAPS, the United Kingdom’s large-value payments…
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This document presents the Basel Committee’s formulation for its Standardised Approach (SA-CCR) for measuring exposure at default…
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Since 2008, catastrophic losses and financial turmoil have deeply shaken the insurance and reinsurance industries. Severe difficulties…
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Les organismes bancaires s'intéressent à évaluer le risque de la détresse financière avant l'octroi d'un crédit. Plusieurs…
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In participating life insurance, management decisions regarding the asset composition can substantially impact the value of a…
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Whenever a defaultable entity enters into a financial transaction, it sustains a cost of carry to compensate…
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Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers…
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Even though insurers predominantly invest in bonds, credit risk associated with government and corporate bonds has long…
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As credit risk modeling is an extremely broad topic, the scope of the survey is narrowed to…
We study the optimal design of clearing systems, focusing on counterparty risk insurance and prevention. We study…
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We study the optimal design of clearing systems, focusing on counterparty risk insurance and prevention. We study…
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We study the design of optimal insurance contracts when the insurer can default on its obligations. In…
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This paper presents a unifying stochastic approach to modelling the reinsurance credit risk in a DFA environment.…
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The pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages…
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Direct insurers are exposed to credit risk when entering into reinsurance contracts. This particular form of credit…
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