Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Samim Ghamami"'
Publikováno v:
Journal of Financial and Quantitative Analysis. :1-62
This paper studies the spread of losses and defaults in financial networks with two interrelated features: collateral requirements and alternative contract termination rules. When collateral is committed to a firm’s counterparties, a solvent firm m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6bafb73442daa83c03398958c586a5ca
http://eprints.lse.ac.uk/107496/
http://eprints.lse.ac.uk/107496/
Autor:
Samim Ghamami, Paul Glasserman
Publikováno v:
Management Science. 65:4656-4675
We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio’s risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some
Autor:
Samim Ghamami, Paul Glasserman
Publikováno v:
SSRN Electronic Journal.
We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio’s risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some
Autor:
Lisa R. Goldberg, Samim Ghamami
Publikováno v:
The Journal of Derivatives. 21:24-35
Buyers of OTC derivatives need to be concerned about both market risk from the contract’s underlying asset and credit risk of the derivatives counterparty. Taking counterparty risk into valuation leads to Credit Value Adjustment (CVA), which is now
Autor:
Lisa R. Goldberg, Samim Ghamami
Publikováno v:
Finance and Economics Discussion Series. 2014:1-18
Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White [2012] introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default tim
Autor:
Samim Ghamami, Bo Zhang
Publikováno v:
Finance and Economics Discussion Series. 2014:1-42
Author(s): Ghamami, Samim; Zhang, Bo | Abstract: Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the major global and U.S. regulatory standards. Financial institutions invest large amou
Autor:
Samim Ghamami, Amy R. Ward
Publikováno v:
Mathematics of Operations Research. 38:761-824
We consider a dynamic control problem for a parallel server system commonly known as the N-system. An N-system is a two-server parallel server system with two job classes, one server that can serve both classes, and one server that can only serve one
Autor:
Sheldon M. Ross, Samim Ghamami
Publikováno v:
J. Appl. Probab. 49, no. 4 (2012), 1188-1193
The Asmussen–Kroese Monte Carlo estimators of P(S n > u) and P(S N > u) are known to work well in rare event settings, where S N is the sum of independent, identically distributed heavy-tailed random variables X 1,…,X N and N is a nonnegative, in
Autor:
Samim Ghamami, Paul Glasserman
Publikováno v:
SSRN Electronic Journal.