Derivative Warrants

Counterparty credit risk (CCR) refers to the risk that a counterparty will not pay up as obligated in a contract. Under such circumstances, an economic loss would occur if the transaction with the counterparty has a positive economic value at the time of default. In recent years, counterparty credit risk has become a prominent risk for market participants ... 阅读更多

In this presentation, Prof Chu Zhang will explain in layman’s language a recently published research paper regarding Hong Kong’s derivative warrant market. The paper addresses the questions of whether counterparty risk is priced in derivatives in general. The research results show counterparty credit risk matters for derivative pricing. ... 阅读更多