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Counterparty Credit Risk and Contingent Credit Default Swaps PRMIA Credit Risk Forum Evan Picoult Citi Risk Oversight Evan Picoult, February, 2008 1 Table of Contents BASIC…
Counterparty Wrong-Way Risk Liquidity and Counterparty Risks Counterparty Risk - wrong way risk and liquidity issues Antonio Castagna [email protected] - www.iasonltd.com…
Quantifying counterparty risk Jens Lund jenslund@nordeacom 20 Sep 2007 WBS The 4th Fixed Income Conference 20 Sep 2007 Quantifying counterparty risk2 Agenda…
Clearing, Counterparty Risk and Aggregate Risk Bruno Biais Toulouse School of Economics Florian Heider European Central Bank Marie Hoerova European Central Bank Paper presented…
Sources of Systemic Risk Philippe Jorion PAAMCO and University of California at Irvine © 2017 P.Jorion Source: Bordo et al 2000 and Laeven 2012 0 5 10 15 20 25 30 35 40…
Does a Central Clearing Counterparty Reduce Counterparty Risk? Darrell Duffie and Haoxiang Zhu Graduate School of Business Stanford University This version:∗March 6, 2010…
Slide 1Reinsurance Counterparty Risk 2014 Seminar on Reinsurance – New York, NY May 21, 2014 © 2014 Towers Watson. All rights reserved. Proprietary and Confidential.
Clearing, Counterparty Risk and Aggregate Risk; Bruno Biais (Toulouse School of Economics), Florian Heider (European Central Bank), and Marie Hoerova (European Central Bank);
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market∗ Wenxin Du Salil Gadgil Michael B Gordy Clara Vega November 2018 Abstract We investigate how…
Headline Title Validating Counterparty Risk Models Martin Goldberg, Ph. D. [email protected] Presented at Risk Training Managing Model Risk in Pricing and Risk Models…
Trends in Computational Finance – How Organizations Across the World Use MATLAB.Enhancing your Risk Modeling MATLAB Use in Financial Services (2010 Customer Breakdown
Minimizing Counterparty Bankruptcy RiskMinimizing Counterparty Bankruptcy Risk Mitchell E. Ayer This Article is brought to you for free and open access by the Law Reviews
Counterparty Risk and CVA Survey Current market practice around counterparty risk regulation, CVA management and funding February 2013 To start a new section, hold down the…
Quantifying Counterparty Credit Risk P.M. Ndlangamandla Programme in Advanced Mathematics of Finance, University of the Witwatersrand, Johannesburg. October 10, 2012 Declaration…
WORKING PAPER Backtesting Counterparty Risk: How Good is your Model? Ignacio Ruiz ∗ July 2012 Version 2.0.1 Abstract Backtesting Counterparty Credit Risk models is anything…
The Journal of Risk Model Validation 71–98 Volume 4Number 1, Spring 2010 Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II Juan…
Counterparty Credit Risk & Central Clearing Credit Risk Summit London 18 September 2009 Josh Danziger Ed Parcell 2 Counterparty credit risk management Credit Rates etc…
1. Counterparty credit risk Roman Kornyliuk,Ph.D. in FinanceDecember 2012 2. Content• Counterparty credit risk (CCR) definition• CCR management tools• CCR indicators•…
Proposed changes to Counterparty Credit Risk in Basel Accord Presentation to PRMIA/ISDA seminar London, March 8 2010 Maxine Nelson, FSA Strengthening the resilience of the…
1. © 2015 Environmental Risk Communications, Inc. Contact: John Rosengard (415) 336-5085 www.erci.com Calculating and Managing Counterparty Risk on Environmental Liabilities…