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counterparty risk

Overview page. Subjects: Financial Institutions and Services.

The credit risk assumed when undertaking a transaction with another party that they will be unable or unwilling to honour their commitments. Sometimes measured as the cost of replicating or...

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counterparty risk

Edited by Jonathan Law.

in A Dictionary of Business and Management

January 2016; p ublished online February 2016 .

Reference Entry. Subjects: Business and Management. 88 words.

The *risk that either of the parties to a contract (counterparties) will fail to honour their obligations under the

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counterparty risk

Edited by Jonathan Law and John Smullen.

in A Dictionary of Finance and Banking

January 2008; p ublished online January 2008 .

Reference Entry. Subjects: Financial Institutions and Services. 80 words.

The risk that either of the parties to a contract (counterparties) will fail to honour their obligations under the contract.

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counterparty risk

Edited by Jonathan Law.

in A Dictionary of Finance and Banking

January 2014; p ublished online May 2014 .

Reference Entry. Subjects: Financial Institutions and Services. 88 words.

The *risk that either of the parties to a contract (counterparties) will fail to honour their obligations under the

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counterparty risk

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking. 96 words.

The *risk that either of the parties to a contract (counterparties) will fail to honour their obligations under the

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counterparty risk

Jonathan Law.

in A Dictionary of Business and Management

January 2009; p ublished online January 2009 .

Reference Entry. Subjects: Business and Management. 79 words.

The *risk that either of the parties to a contract (counterparties) will fail to honour their obligations under the contract. In such organized markets as the ...

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Does a Central Clearing Counterparty Reduce Counterparty Risk?

Darrell Duffie and Haoxiang Zhu.

in The Review of Asset Pricing Studies

December 2011; p ublished online July 2011 .

Journal Article. Subjects: Asset Pricing. 9218 words.

We show whether central clearing of a particular class of derivatives lowers counterparty risk. For plausible cases, adding a central clearing counterparty (CCP) for a class of derivatives...

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Part III Investment Banking, 15 Counterparty Risk in the Trading Book

Simon Gleeson.

in Gleeson on the International Regulation of Banking

August 2018 .

Chapter. Subjects: Law. 28 pages. 11518 words.

This chapter sets out rules that result in certain exposures being treated as having a greater degree of risk than their actual mark to market value. In order to explain this, consider a...

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Counterparty Risk in Credit Derivative Contracts

Jon Gregory.

in The Oxford Handbook of Credit Derivatives

January 2011; p ublished online September 2012 .

Article. Subjects: Economics; Financial Markets; Econometric and Statistical Methods and Methodology: General. 8178 words.

This article addresses the challenges posed by marginal default distribution models – for illustrative purposes it uses a straightforward Gaussian copula – and details counterparty risk...

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counterparty risk

Overview page. Subjects: Financial Institutions and Services.

The credit risk assumed when undertaking a transaction with another party that they will be unable or unwilling to honour their commitments. Sometimes measured as the cost of replicating or...

See overview in Oxford Index

counterparty risk

Peter Moles and Nicholas Terry.

in The Handbook of International Financial Terms

January 1997; p ublished online January 2005 .

Reference Entry. Subjects: Financial Institutions and Services. 47 words.

The credit risk assumed when undertaking a transaction with another party that they will be unable or unwilling to honour

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Counterparty Risk in Financial Contracts: Should the Insured Worry About the Insurer?

James R. Thompson.

in The Quarterly Journal of Economics

August 2010; p ublished online August 2010 .

Journal Article. Subjects: Economics. 0 words.

We analyze the effect of counterparty risk on financial insurance contracts, using the case of credit risk transfer in banking. This paper posits a new moral hazard problem on the insurer...

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Explicit formulas for pricing credit-linked notes with counterparty risk under reduced-form framework

Lei Ge, Xiaosong Qian and Xingye Yue.

in IMA Journal of Management Mathematics

July 2015; p ublished online January 2014 .

Journal Article. Subjects: Mathematics. 0 words.

A credit-linked note (CLN) is a type of credit derivative, constructed with a bond and an embedded credit default swap, which allows the issuer to transfer a specific credit risk to credit...

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counter-party credit risk

John Black, Nigar Hashimzade and Gareth Myles.

in A Dictionary of Economics

January 2017; p ublished online January 2017 .

Reference Entry. Subjects: Economics. 84 words.

The risk when selling goods on credit that the purchaser may fail to make payments when they become due. Credit

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counter-party credit risk

Edited by John Black, Nigar Hashimzade and Gareth Myles.

in A Dictionary of Economics

January 2012; p ublished online May 2013 .

Reference Entry. Subjects: Economics. 85 words.

The risk when selling goods on credit that the purchaser may fail to make payments when they become due. Credit for short periods can be given against a trade bill, which can be discounted,...

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counter-party credit risk

John Black, Nigar Hashimzade and Gareth Myles.

in A Dictionary of Economics

January 2009; p ublished online January 2009 .

Reference Entry. Subjects: Economics. 84 words.

The risk when selling goods on credit that the purchaser may fail to make payments when they become due. Credit

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Bankruptcy, Counterparty Risk, and Contagion

Holger Kraft and Mogens Steffensen.

in Review of Finance

June 2007; p ublished online March 2007 .

Journal Article. Subjects: Economics; Bankruptcy. 11579 words.

This paper provides a unifying framework for the modeling of various types of credit risks such as contagion effects. We argue that Markov chains can efficiently be used to tackle these...

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Part III Investment Banking, 16 Credit Value Adjustment

Simon Gleeson.

in Gleeson on the International Regulation of Banking

August 2018 .

Chapter. Subjects: Law. 8 pages. 3106 words.

The chapter discusses credit value adjustment (CVA) under Basel 2.5 and Basel 3. CVA is an adjustment to the fair value (or price) of derivative instruments to account for counterparty...

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Part III Investment Banking, 12 The Trading Book

Simon Gleeson.

in Gleeson on the International Regulation of Banking

August 2018 .

Chapter. Subjects: Law. 10 pages. 4273 words.

This chapter begins by discussing market risk in the Basel framework. Market risk was a relative latecomer to the Basel framework. Although the original Accord was signed in 1988, it was...

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Contracts for difference: risks faced by generators under the new renewables support scheme in the UK

Natalie Kozlov.

in The Journal of World Energy Law & Business

June 2014; p ublished online May 2014 .

Journal Article. Subjects: Environment and Energy Law. 1792 words.

The Energy Act 2013 received royal assent in December 2013. It implements the Feed-in-Tariff Contracts for Difference (the CfD) which is set to become the primary support scheme for low...

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Part I The Elements of Bank Financial Supervision, 1 Introduction to Banks and Banking

Simon Gleeson.

in Gleeson on the International Regulation of Banking

August 2018 .

Chapter. Subjects: Law. 12 pages. 4885 words.

This chapter discusses the basic concepts of banks and banking. A bank is an institution that accepts deposits from the public and lends the monies thus raised. However, bank balance sheets...

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