Keywords: ریسک طرف مقابل; Counterparty risk; Credit valuation adjustment; Wrong-way risk; Drift adjustment;
مقالات ISI ریسک طرف مقابل (ترجمه نشده)
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Keywords: ریسک طرف مقابل; G01; G11; G21; Information contagion; Counterparty risk; Common exposure; Portfolio choice; Interbank market;
Keywords: ریسک طرف مقابل; pricing; catastrophe option; counterparty risk; measure change; reduced form model; 91G24; 91G40; 60G07;
Keywords: ریسک طرف مقابل; (Non)linear PDEs; Option pricing; Counterparty risk; Credit value adjustment; Method of characteristics; Finite element method;
Keywords: ریسک طرف مقابل; Funding costs; Counterparty risk; Credit risk; Repo market; Valuation adjustments; Hedging;
Keywords: ریسک طرف مقابل; D85; E42; G01; G15; G21; Financial crisis; Credit rationing; Counterparty risk; Partner limits; Network analysis;
Keywords: ریسک طرف مقابل; Common shock model; Counterparty risk; Double-name credit-linked note; Partial differential equation;
Keywords: ریسک طرف مقابل; Risk transfer markets; Asymmetric information; Counterparty risk; Regulation;
Keywords: ریسک طرف مقابل; G21; G28; D02; Central clearing; Counterparty risk; Credit default swaps;
Keywords: ریسک طرف مقابل; C21; C31; C51; C58; G12; NARMA; Network autoregression; Counterparty risk; Corporate credit spreads; Supply networks;
Keywords: ریسک طرف مقابل; C15; C63; G12; G13; Credit default swap; Counterparty risk; Credit valuation adjustment; Contagion model; Markov chain;
Keywords: ریسک طرف مقابل; G19; G21; Counterparty risk; Interbank market; Liquidity risk; Risk premium;
Keywords: ریسک طرف مقابل; G12; G13; G14; G18; G28Central clearing; Counterparty risk; Systemic risk; Liquidity; Credit default swap
PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
Keywords: ریسک طرف مقابل; Counterparty risk; Credit value adjustments; (Non)linear PDEs; Characteristics method; Finite elements; Augmented Lagrangian active set method;
Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula
Keywords: ریسک طرف مقابل; Credit risk; Credit Default Swap; Counterparty risk; Credit Value Adjustment; Premium; Copula;
Qualitative judgement in public credit ratings: A proposed supporting approach using Self-Organising Maps (SOMs)
Keywords: ریسک طرف مقابل; Credit rating; Counterparty risk; SOM; Neural networks; Bankruptcy; Calificación crediticia; Riesgo de la contraparte; SOM; Redes Neuronales; Bancarrota; G24; G33; G24; G33;
Counterparty risk for CDS: Default clustering effects
Keywords: ریسک طرف مقابل; C15; C63; C65; G12; G13; Counterparty risk; Simultaneous defaults; Multivariate subordinators; Credit default swaps;
The determinants of CDS open interest dynamics
Keywords: ریسک طرف مقابل; G12; G13; G14; G20Credit default swaps; Open interest; Inventory risk; Counterparty risk
Liquidity hoarding and interbank market rates: The role of counterparty risk
Keywords: ریسک طرف مقابل; Interbank market; Endogenous liquidity; Counterparty risk; Asymmetric information; Market break-down; Financial crisisG01; G21; D82
BSDEs of counterparty risk
Keywords: ریسک طرف مقابل; 60H10; 60G44; 91G40; BSDE; Progressive enlargement of filtration; Counterparty risk;
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
Keywords: ریسک طرف مقابل; Credit default swaps; Counterparty risk; Credit valuation adjustment; Interacting intensities; Regime-switching;
CDS as insurance: Leaky lifeboats in stormy seas
Keywords: ریسک طرف مقابل; Financial risk transfer; Counterparty risk; Insurance; Credit default swaps; Regulation;
Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis
Keywords: ریسک طرف مقابل; G12; G15; Credit Default Swap; Liquidity commonalities; Global risk; Funding liquidity risk; Counterparty risk;
Macro-Networks: An application to euro area financial accounts
Keywords: ریسک طرف مقابل; F36; G01; G15; G20; Financial networks; Balance sheet contagion; Flow of funds; Cross-border exposures; Counterparty risk; Financial crisis;
Valuation of double trigger catastrophe options with counterparty risk
Keywords: ریسک طرف مقابل; Catastrophe; Stochastic interest rate; Counterparty risk; Compound Poisson
FX counterparty risk and trading activity in currency forward and futures markets
Keywords: ریسک طرف مقابل; Counterparty risk; Currency forwards; Currency futures; Central counterparty; CLS Bank
A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk
Keywords: ریسک طرف مقابل; G12; G13; Asset swap; CEV process; Convertible bond; Counterparty risk; Lattice approach;
Danger on the exchange: How counterparty risk was managed on the Paris exchange in the nineteenth century
Keywords: ریسک طرف مقابل; G01; G1; G18; N23; Stock exchange; Counterparty risk; Regulation; Microstructure; Paris; XIX century;
Financial firm bankruptcy and systemic risk
Keywords: ریسک طرف مقابل; G28; G33; E44; E58; E61; Financial institutions; Systemic risk; Too big to fail; Fire sales; Counterparty risk;
Offtaking agreements and how they impact the cost of funding for project finance deals: A clinical case study of the Quezon Power Ltd Co.
Keywords: ریسک طرف مقابل; G31; G32Risk analysis; Counterparty risk; Project finance
How much fiscal backing must the ECB have? The euro area is not (yet) the Philippines1
Keywords: ریسک طرف مقابل; G32; E42; E51; E58; E63Central Bank Independence; Central Bank Capital; Counterparty Risk; Repurchase Agreements; Collateral; Fiscal Backing; Liquidity; HaircutsG32; E42; E51; E58; E63indépendance de la banque centrale; capital de la banque centrale; risq
Hedge funds and financial stability: Regulating prime brokers will mitigate systemic risks
Keywords: ریسک طرف مقابل; G2; G18Hedge funds; Regulation; Systemic crisis; Counterparty risk; LCFIs
From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers
Keywords: ریسک طرف مقابل; F31; G15; FX swap; Covered interest parity; Financial market turmoil; Counterparty risk; US dollar swap lines; Term auction facility; Central bank cooperation; Lehman bankruptcy;
Pricing counterparty default risks: Applications to FRNs and vulnerable options
Keywords: ریسک طرف مقابل; Counterparty risk; Credit risk; Floating-rate note; Vulnerable option;