Concepedia

Derivatives Default Management

Derivatives Default Management is a risk mitigation framework within financial regulation that specifically governs the processes and protocols for addressing the failure of a counterparty to fulfill its obligations under derivative contracts, distinguishing it from broader credit or market risk management through its focus on systemic stability and contractual enforcement in over-the-counter derivatives markets.

38

Publications

1.6K

Citations

75

Authors

50

Institutions

Publications per year

2017–2026

9

Parents

Children

Publications

38

Are Corporations Reducing or Taking Risks with Derivatives?

Ludger Hentschel, S.P. Kothari · Journal of Financial and Quantitative Analysis · 2001 · 376 citations

, , +12

Pricing Swap Default Risk

Eric H. Sorensen, Thierry F. Bollier · Financial Analysts Journal · 1994 · 218 citations

, , +16

Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs

Enno Bellmann, Joachim Lang, Reinhard Madlener · SSRN Electronic Journal · 2010 · 100 citations · Full text

, , +17

Collateral requirements for mandatory central clearing of over-the-counter derivatives

Daniel Heller, Nicholas Vause · RePEc: Research Papers in Economics · 2012 · 57 citations · Full text

, , +16

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

Damiano Brigo, Andrea Pallavicini · Journal of Financial Engineering · 2014 · 57 citations

, , +17

1–5 of 38

Authors

75

  1. DB
    Damiano Brigo

    Imperial College London, United Kingdom

    2 publications · 111 citations

    2

    h-index

  2. LH
    Ludger Hentschel

    University of Rochester, United States

    2 publications · 392 citations

    2

    h-index

  3. CW
    Clifford W. Smith

    University of Rochester, United States

    1 publications · 16 citations

    1

    h-index

  4. AS
    Alexander Sokol

    Overlook Medical Center, United States

    1 publications · 24 citations

    1

    h-index

  5. PT
    P. Ticker

    1 publications · 41 citations

    1

    h-index

1–5 of 75

Institutions

50

  1. Ludwig-Maximilians-Universität München

    Munich, Germany

    2 h-index

    2 publications

    46 citations

  2. University of Oxford

    Oxford, United Kingdom

    2 h-index

    2 publications

    45 citations

  3. Bank of America

    Charlotte, United States

    2 h-index

    2 publications

    60 citations

  4. Copenhagen Business School

    Copenhagen, Denmark

    1 h-index

    1 publications

    53 citations

  5. BNP Paribas (France)

    Paris, France

    1 h-index

    1 publications

    10 citations

  6. Merrill (United States)

    Saint Paul, United States

    1 h-index

    1 publications

    27 citations

  7. City, University of London

    London, United Kingdom

    1 h-index

    1 publications

    33 citations

  8. University of Rochester

    Rochester, United States

    1 h-index

    2 publications

    32 citations

1–8 of 50

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 174 citations

    5

    h-index

  2. Econstor (Econstor)

    Repository · 2 publications · 53 citations

    2

    h-index

  3. RePEc: Research Papers in Economics

    Repository · 2 publications · 68 citations

    2

    h-index

  4. Statistics & Risk Modeling

    1 publications · 10 citations

    1

    h-index

  5. Journal of Futures Markets

    1 publications · 25 citations

    1

    h-index

1–5