Tim Xiao

Risk Models, BMO Capital Markets

Canada

SCHOLARLY PAPERS

9

DOWNLOADS
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SSRN RANKINGS

Top 6,752

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5,292

CITATIONS
Rank 33,137

SSRN RANKINGS

Top 33,137

in Total Papers Citations

6

Scholarly Papers (9)

1.

An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk

Journal of Fixed Income, Forthcoming
Number of pages: 29 Posted: 21 May 2013 Last Revised: 23 Dec 2015
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 1,457 (3,894)
Citation 1

Abstract:

credit value adjustment (CVA), wrong way risk, right way risk, credit risk modeling, risky valuation, default time approach (DTA), default probability approach (DPA), collateralization, margin and netting

2.

A Simple and Precise Method for Pricing Convertible Bond with Credit Risk

Journal of Derivatives and Hedge Hunds, Forthcoming
Number of pages: 30 Posted: 27 Feb 2014 Last Revised: 16 Sep 2015
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 583 (14,109)

Abstract:

hybrid financial instrument, convertible bond, convertible underpricing, convertible arbitrage, default time approach (DTA), default probability approach (DPA), jump diffusion

3.

An Efficient Lattice Algorithm for the Libor Market Model

Journal of Derivatives, Forthcoming
Number of pages: 31 Posted: 26 Aug 2011 Last Revised: 25 Sep 2011
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 298 (61,529)
Citation 2

Abstract:

LIBOR Market Model, LMM lattice or tree, BGM lattice or tree, shifted forward measure, drift approximation, risk management, calibration, callable exotics, callable bond, callable capped floater swap, callable inverse floater swap, callable range accrual swap

4.

Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds

Number of pages: 37 Posted: 04 Jun 2013
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 235 (71,975)

Abstract:

jump diffusion model, hybrid financial instrument, convertible bond, convertible underpricing, convertible arbitrage, default time approach, default probability (intensity) approach, asset pricing, credit risk modeling

5.

Incremental Risk Charge Methodology

Number of pages: 18 Posted: 21 Apr 2014
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 154 (49,185)

Abstract:

Incremental risk charge (IRC), constant level of risk, liquidity horizon, constant loss distribution, Merton-type model, concentration

6.

The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

Number of pages: 35 Posted: 22 May 2013
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 74 (202,798)
Citation 2

Abstract:

asset pricing, credit risk modeling, unilateral, bilateral, multilateral credit risk; collateralization, comvariance, comrelation, correlation

7.

An Economic Examination of Collateralization in Different Financial Markets

Number of pages: 40 Posted: 22 May 2013 Last Revised: 04 Jun 2013
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 70 (209,734)
Citation 1

Abstract:

unilateral/bilateral collateralization, partial/full/over collateralization, asset pricing, plumbing of the financial system, swap premium spread, OTC/cleared/listed financial markets

8.

Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization

Number of pages: 25 Posted: 19 Jul 2015 Last Revised: 23 Dec 2015
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 30 (215,388)

Abstract:

asset pricing; credit risk modeling; collateralization; comvariance; comrelation; correlation, CDS

9.

A New Model for Pricing Collateralized Financial Derivatives

Journal of Derivatives, Forthcoming
Number of pages: 26 Posted: 03 Dec 2015 Last Revised: 10 May 2017
Tim Xiao
Risk Models, BMO Capital Markets
Downloads 0 (95,027)

Abstract:

Key words: collateralization, asset pricing, plumbing of financial system, swap premium spread, CVA, VaR, interaction between market and credit risk