COUNTERPARTY CREDIT RISK IN A CLEARING NETWORK

DOI10.1142/S0219024920500351zbMath1454.91333OpenAlexW3037725682MaRDI QIDQ5148003

Alexander von Felbert

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500351

zbMATH Keywords

Hilbert transformcharacteristic functionclearingnetwork modelcounterparty riskbilateral and multilateral netting

Mathematics Subject Classification ID

Applications of graph theory (05C90) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

Uses Software

• DLMF

Cites Work

• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Central clearing of OTC derivatives: Bilateral vs multilateral netting
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