Collateral is a property or an asset that a borrower offers as a way for a lender to secure the loan. Collateral arrangement is a risk reduction tool that mitigates risk by reducing credit exposure. Collateral doesn’t turn a bad counterparty into a good one and doesn’t eliminate credit risk. Instead, it just reduces the loss at the time of def…[Read more]

Abstract: The current article explores interesting, significant and recently identified nuances in disclosing the professed firm culture in the virtual realm. Its emphasis is set on two exotic instruments – organizational mantra and memorandum that senior managers in business organizations may use to successfully clarify and communicate what is t…[Read more]

Counterparty credit risk (CCR) is the risk of loss that will be incurred in the event of default by a counterparty. It will be incurred in the event of default by a counterparty. Only over-the-counter (OTC) derivatives and financial security transactions (e.g., repo) are subject to counterparty risk. If one party of a contract defaults, the…[Read more]

Counterparty credit risk (CCR) refers to the risk that a counterparty to a bilateral financial derivative contract may fail to fulfill its contractual obligation causing financial loss to the non-defaulting party. It will be incurred in the event of default by a counterparty.

Purpose – This article aims to outline and analyze the role, structure and dominating content of professed organizational culture among the companies in the defense industry in Bulgaria as conscious and the official expression of their leadership intentions within the contemporary business environment, uniquely justifying the existence of each e…[Read more]

Pakistan has made considerable developments in Microfinance though a late starter in this industry. The sector formally started to develop from 1999 although; semiformal sectors since the 1980s are providing micro-credit in Pakistan. Including Non-Government Organizations (NGOs) and Rural Support Programs (RSPs). Subsidies have played an important…[Read more]

Pakistan has made considerable developments in Microfinance though a late starter in this industry. The sector formally started to develop from 1999 although; semiformal sectors since the 1980s are providing micro-credit in Pakistan. Including Non-Government Organizations (NGOs) and Rural Support Programs (RSPs). Subsidies have played an important…[Read more]

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 style options in most cases, which require a backward induction valuation. To correct a common mistake in the…[Read more]

This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in financial markets. We also show…[Read more]

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral counterparty credit risk. The counterparty defaults are modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of…[Read more]

The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest…[Read more]

This article presents a new model for valuing financial contracts subject to credit risk and collateralization. Examples include the valuation of a credit default swap (CDS) contract that is affected by the trilateral credit risk of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing.…[Read more]

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent financial crisis. Notably few models for IRC have been developed in the literature. This paper proposes a methodology consisting of two Monte Carlo simulations. The first Monte Carlo simulation simulates default, migration, and…[Read more]

The research paper is based on analysis of annual report of PMPKL and its key competitors, published articles on Pakistan tobacco industry and interview of PMPKL Representatives.
Due to time and resource constraints, the study has focused on tobacco cigarettes only. For both PMPKL and its competitors. Therefore, all the evaluations and results…[Read more]

This article presents a comprehensive framework for valuing financial instruments subject to credit risk. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats in financial markets. We analyze how swap rates are affected by bilateral counterparty credit risk,…[Read more]

This paper attempts to assess the economic significance and implications of collateralization in different financial markets, which is essentially a matter of theoretical justification and empirical verification. We present a comprehensive theoretical framework that allows for collateralization adhering to bankruptcy laws. As such, the model can…[Read more]

communication is the activity of conveying information through the exchange of ideas, feelings, intentions, attitudes, expectations, perceptions or commands, as by speech, gestures, writings, behaviour and possibly by other means such as electromagnetic, chemical or physical phenomena. It is the meaningful exchange of information between two or…[Read more]

This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is…[Read more]

While claiming to learn from the Chinese way of handling the crisis, there is no on-ground action in Pakistan that supports the claim. The Prime Minister denies national lock down despite the fact that without proper lock-down the virus spread trajectory can be rapid resulting in collapse of national health facilities which can bring the national…[Read more]

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing…[Read more]