The counterparty-risk tag has no wiki summary.
12
votes
2answers
421 views
Can you fully hedge an option in the presence of counterparty risk?
The derivation of the Black-Scholes model assumes no counterparty risk. Does the presence of counterparty risk invalidate the argument behind the model?
EDIT: The question is about options in ...
7
votes
1answer
305 views
What happens if a custodian bank defaults?
This question follows up my answer and the related comment to this post and in general relates to counterparty risk.
When you buy a financial asset, this asset goes in your account at your custodian ...
7
votes
2answers
278 views
Do you know a good article on ETF's counterparty risk analysis?
I am at the moment considering investing into ETFs, but I am looking first to understand how these products really work.
Indeed, it is my understanding that ETF can vary in terms of structure, thus ...
1
vote
0answers
81 views
How to calculate a the PFE for a Swaption?
How do you calculate the Potential Future Exposure (PFE) for a swaption?
Do you incorporate the dynamics of implied volatility when you are running your simulations?
Is there a standard way to ...
