Concepedia

Counterparty Risk

Counterparty Risk is a type of financial risk that refers to the possibility that one party in a financial contract will default on its obligation before the contract's terms are fully satisfied, thereby failing to meet its payment or performance duty to the other party.

344

Publications

20.1K

Citations

463

Authors

335

Institutions

Publications per year

2017–2026

75

Parents

Publications

344

Counterparty Risk and the Pricing of Defaultable Securities

Robert A. Jarrow, Fan Yu · The Journal of Finance · 2001 · 671 citations

, , +17

A Black Swan in the Money Market

John C. Williams, John B. Taylor · RePEc: Research Papers in Economics · 560 citations

, , +17

Does a Central Clearing Counterparty Reduce Counterparty Risk?

Darrell Duffie, Haoxiang Zhu · The Review of Asset Pricing Studies · 2011 · 519 citations

, , +14

Credit Default Swaps and the Credit Crisis

René M. Stulz · The Journal of Economic Perspectives · 2010 · 513 citations · Full text

, , +11

Swap Rates and Credit Quality

Darrell Duffie · The Journal of Finance · 1996 · 454 citations

, , +14

1–5 of 344

Authors

463

  1. DB
    Damiano Brigo

    Imperial College London, United Kingdom

    23 publications · 1.1K citations

    18

    h-index

  2. SC
    Stéphane Crépey

    Université d'Évry Val-d'Essonne, France

    14 publications · 655 citations

    11

    h-index

  3. AP
    Andrea Pallavicini

    Imperial College London, United Kingdom

    10 publications · 503 citations

    10

    h-index

  4. FH
    Florian Heider

    European Central Bank, Germany

    9 publications · 1K citations

    9

    h-index

  5. MH
    Marie Hoerova

    European Central Bank, Germany

    9 publications · 1K citations

    9

    h-index

1–5 of 463

Institutions

335

  1. National Bureau of Economic Research

    Cambridge, United States

    18 h-index

    30 publications

    3.1K citations

  2. Imperial College London

    London, United Kingdom

    16 h-index

    20 publications

    790 citations

  3. International Monetary Fund

    Washington D.C., United States

    14 h-index

    17 publications

    851 citations

  4. European Central Bank

    Frankfurt am Main, Germany

    13 h-index

    26 publications

    2.8K citations

  5. Centre for Economic Policy Research

    London, United Kingdom

    12 h-index

    25 publications

    2.5K citations

  6. Federal Reserve

    Washington D.C., United States

    11 h-index

    15 publications

    506 citations

  7. Federal Reserve Board of Governors

    Washington D.C., United States

    11 h-index

    16 publications

    561 citations

  8. Université d'Évry Val-d'Essonne

    Évry-Courcouronnes, France

    11 h-index

    26 publications

    1.2K citations

1–8 of 335

Venues

  1. SSRN Electronic Journal

    Repository · 119 publications · 5.4K citations

    38

    h-index

  2. International Journal of Theoretical and Applied Finance

    IJTAF · 11 publications · 701 citations

    11

    h-index

  3. RePEc: Research Papers in Economics

    Repository · 11 publications · 831 citations

    11

    h-index

  4. Quantitative Finance

    8 publications · 584 citations

    8

    h-index

  5. The Journal of Finance

    7 publications · 2K citations

    7

    h-index

1–5