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Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Credit Default Swaps, Contingent Credit Default Swaps, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Copula Functions, Wrong Way Risk
Counterparty Risk, Bilateral CVA, Collateral Management, Collateral Re-Hypothecation, Close-Out Amount, Margining Procedure, Netting Rules, Hybrid Products, Correlation, Risk Neutral Valuation, Default Risk, Interest Rate Models, Default Intensity Models
Credit Default Swaps, Liquidity spread, Liquidity Premium, Credit Liquidity correlation, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis
inventory control, jump-driven stochastic control, market microstructure theory, market making
market microstructure, market liquidity, high-frequency trading, financial intermediation
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
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Financial Intermediation, market liquidity, market making, Market microstructure theory
Systemic Risk, Bail-Ins, Bail-Outs, Credibility, Financial Stability
Central clearing, Financial institutions, Firm capital dynamics, Bilateral CDS exposures
systemic risk, financial network, interbank liabilities, majorization
Margin requirements, central clearing, credit risk, market risk
Credit Default Swaps, Contagion Risk, Interacting Default Intensities, Dynamic Portfolio Optimization
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: MAFI.pdf Size: 0K
dynamic portfolio optimization, credit default swaps, contagion risk, interacting default intensities
Systemic risk, mitigation strategies, clearing payments, financial networks
XVA, counterparty credit risk, funding spreads, backward stochastic differential equations, arbitrage-free pricing, valuation adjustment
systemic risk, price linkages, network stability, deleveraging
counterparty risk, systemic risk, default contagion, credit valuation adjustment
risk-sensitive control, cascading defaults, contagion, asset management
Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat
Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat, structural models
clearinghouses, risk-sharing, funding costs, default waterfall
Interacting jump diffusions, Interbanking lending, Weak convergence, Systemic indicators, Time varying square root diffusions
Systemic Risk, Policies, Counterparty Networks, Fire-Sales, Data Sharing
Collateral Requirements, Clearinghouse, Credit Default Swaps, Value at Risk
Fixed income investment, default decay, dynamic programming, parabolic PDEs
decay of default intensities, dynamic programming, fixed‐income investment, parabolic PDEs
default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function
Bilateral counterparty valuation adjustment, weak convergence, doubly stochastic processes, credit default swaps
large orders, market making, liquidity supply, liquidity demand
systemic risk, credit risk, mixed equity-credit strategies, calibration
Dynamic Interbanking Networks, Systemic Risk, Large Networks Asymptotics
XVA, counterparty credit risk, funding spreads, partial differential equations, viscosity and classical solutions
Over-the-counter markets, Conterparty concentration, Counterparty risk, Negative externalities
Bitcoin, proof-of-work, mining, arms race, centralization
Default risk, Hidden Markov Chain, Partial information, Filtering, Risk sensitive control
contagion, systemic risk, default risk, equilibrium
default risk, systemic risk, equilibrium
XVA, counterparty risk, asymmetric rates, collateralization
arbitrage‐free valuation, backward stochastic differential equations, counterparty credit risk, funding spreads, XVA
borrowing costs, credit risk, optimal investment
Partial Equilibrium, sovereign debt, credit default swaps, trading restrictions
mutual funds, first-mover advantage, swing price, fire sales, financial stability
information driven contagion; stochastic control; Nonlinear filtering; Recursive HJB
systemic diversi cation, leverage, fire-sale externalities
robust XVA, counterparty credit risk, backward stochastic differential equation, arbitrage-free valuation
counterparty risk, credit default swap, default clustering
Central counterparties (CCPs), default funds, loss mutualization, externality, financial stability
policies, countercyclical buffers, default resolution, interbank market, simulation
principal agent problems, optimal contracts, accident risk, moral hazard
Cournot competition, oligopoly, networks, capacity constraints, non-cooperative games, consumer welfare
Systemic Risk, Portfolio Selection, Risk Management, Sharpe Ratios
investment/consumption problem, stochastic factors, martingale method
dynamic portfolio optimization, credit risk, regime‐switching models, utility maximization, Hamilton–Jacobi–Bellman equations
credit risk, regime‐switching models, option pricing, vulnerable claims, semimartingale representations
File name: MAFI.pdf Size: 359K
counterparty risk, CVA, bilateral CVA, arbitrage‐free credit valuation adjustment, credit default swaps, credit spread volatility, default correlation, contagion, stochastic intensity, collateral margining, netting, rehypotecation, wrong way risk
