Related papers: Clean Valuation Framework for the USD Silo
We compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5-year CDS in the iTraxx and CDX indexes from 2004 to 2010. Deviations from the common trend…
In this paper, we explore the pricing and hedging strategies for an innovative insurance product called the equity protection swap(EPS). Notably, we focus on the application of EPSs involving cross-currency reference portfolios, reflecting…
The present work studies and analyzes general defaultable OTC contract in presence of a contingent CSA, which is a theoretical counterparty risk mitigation mechanism of switching type that allows the counterparty of a general OTC contract…
A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are constructed for USD, EUR and PLZ used as the base currencies. The triangle rule is interpreted as constraints reducing the number of…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads…
We study computational problems in financial networks of banks connected by debt contracts and credit default swaps (CDSs). A main problem is to determine \emph{clearing} payments, for instance right after some banks have been exposed to a…
This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…
Contention Resolution Diversity Slotted ALOHA (CRDSA) and its burst degree optimizations (CRDSA++, IRSA) make use of MAC burst repetitions and Interference Cancellation (IC) making possible to reach throughput values as high as $T \simeq…
Plasma is a framework for scalable off-chain computation. We describe and evaluate Plasma Cash, an improved Plasma construction which leverages non-fungible tokens and Sparse Merkle Trees to reduce the data storage and bandwidth…
We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the panels in the form of a common factor. A CUSUM type estimator is proposed, and we establish first…
Applying reinforcement learning (RL) to foreign exchange (Forex) trading remains challenging because realistic environments, well-defined reward functions, and expressive action spaces must be satisfied simultaneously, yet many prior…
During his state visit to China in April 2023, Brazilian President Lula proposed the creation of a trade currency supported by the BRICS countries. Using the United Nations Comtrade database, providing the frame of the world trade network…
This paper considers method of creation of an advisor and indicator based on the spectral stochastic analysis model, both with linear and non-linear approximation. The problem of entrance to one or another trade position is solved on the…
We study the incentives of banks in a financial network, where the network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of…
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if…
Accurate exchange rate prediction is fundamental to financial stability and international trade, positioning it as a critical focus in economic and financial research. Traditional forecasting models often falter when addressing the inherent…
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive the bilateral Credit Valuation Adjustment (CVA),…
We derive an arbitrage free relationship between recovery swap rates, digital default swap spreads and conventional CDS spreads, and argue that the fair forward recovery rate used in recovery swaps must contain a convexity premium over the…
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account…