Market Structure, Counterparty Risk, and Systemic Risk
نویسندگان
چکیده
منابع مشابه
Counterparty Risk and Capital Structure
The 2007-2009 financial crisis and recession highlighted the role of counterparty risk in financial contracts, many once thought immune to such problems. However, counterparty risk can be significant in a wide variety of contracting situations and can impact capital structure decisions. Using commercial real estate leases as an example, this paper presents a new model that endogenizes the capit...
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Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different CDS dealers selling credit protection on the same under...
متن کاملBSDEs of Counterparty Risk
We study a BSDE with random terminal time that appears in the modeling of counterparty risk in finance. We model the terminal time as an invariant time, i.e. a time such that local martingales with respect to a reduced filtration and a possibly changed probability measure, once stopped right before that time, stay local martingales with respect to the original model filtration and probability m...
متن کاملCounterparty Risk Valuation for Cds
The valuation of counterparty risk for single name credit derivatives requires the computation of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint distributions. As an application, closed formulas for coun-terparty risk on a CDS or for a first-to-default swap on two underlyings are obtained.
متن کاملCounterparty Risk Modeling: Beyond Immersion
Counterparty risk reduced-form models typically hinge on an immersion property of a reference filtration into the full model filtration enlarged by the default times of the counterparties, as well as on a continuity assumption on some of the data at default time. This is too restrictive for cases of strong wrong-way risk, i.e. adverse dependence between the exposure and the credit riskiness of ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1571552