Výsledky vyhledávání - "Chadd B. Hunzinger"

Pricing a Collateralized Derivative Trade with a Funding Value Adjustment

Autor: Chadd B. Hunzinger, Coenraad C.A. Labuschagne

Publikováno v: Journal of Risk and Financial Management, Vol 8, Iss 1, Pp 17-42 (2015)
Journal of Risk and Financial Management
Volume 8
Issue 1
Pages 17-42

The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk-free and, as

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c82d432bdecf8c53d2fed6bed96ee22b
http://www.mdpi.com/1911-8074/8/1/17

Zobrazit plný text záznamu

The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs

Autor: Coenraad C.A. Labuschagne, Chadd B. Hunzinger

Publikováno v: The North American Journal of Economics and Finance. 29:200-217

The binomial asset pricing model of Cox, Ross and Rubinstein (CRR) is extensively used for the valuation of options. The CRR model is a discrete analog of the Black–Scholes–Merton (BSM) model. The 2008 credit crisis exposed the shortcomings of th

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::37063e1ee513ceb6716af931c9f23538
https://doi.org/10.1016/j.najef.2014.06.002

Zobrazit plný text záznamu

Volatility Skews of Indexes of BRICS Securities Exchanges

Autor: Chadd B. Hunzinger, Coenraad C.A. Labuschagne, Sven T. von Boetticher

Publikováno v: Procedia Economics and Finance. 14:263-272

The shapes of volatility skews of an index on a securities exchange can describe the volatility and liquidity of a local market. However the volatility skews of various exchanges are not made public and as a result alternative means need to be employ

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::256f51ad02471ed50eec0f03f30bd804

Zobrazit plný text záznamu

An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis

Autor: Coenraad C.A. Labuschagne, Chadd B. Hunzinger

Publikováno v: Econometrics of Risk ISBN: 9783319134482
Econometrics of Risk

The 2008 credit crisis exposed the over-simplified assumptions of the Black-Scholes-Merton (BSM) model. This paper provides an overview of some of the adjustments forced on the BSM model by the 2008 credit crisis to maintain the relevance of the mode

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4118bf1f56ff301763ef0aa93f7e02fc
https://doi.org/10.1007/978-3-319-13449-9_3

Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání