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~person:"Brigo, Damiano"
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Credit risk
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Derivat
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arbitrage-free credit valuation adjustment
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credit spread volatility
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default correlation
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wrong way risk
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Brigo, Damiano
Christensen, Jens H. E.
14
Cornet, Bernard
13
Durham, J. Benson
6
Aouani, Zaier
5
Brand, Claus
5
Ranjan, Abhishek
5
Rudebusch, Glenn D.
5
Spiegel, Mark
5
Florenzano, Monique
4
Goy, Gavin
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Jarrow, Robert A.
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Lemke, Wolfgang
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Oosterlee, Cornelis Willebrordus
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Dewachter, Hans
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Gao, Min
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Gopalan, Ramu
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Ishii, Hokuto
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Li, Hao
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Lyrio, Marco
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Löffler, Andreas
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Maes, Konstantijn
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Pallavicini, Andrea
3
Sherris, Michael
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Acciaio, Beatrice
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Aliprantis, Roko
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Allouch, Nizar
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Blackburn, Craig
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Caldeira, João F.
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Capponi, Agostino
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Carmona, René
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Ceballos, Luis
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Chen, Shi
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Chiarella, Carl
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Christensen, Nicolaj H.
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Diebold, Francis X.
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Godin, Frédéric
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Imakubo, Kei
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Itkin, Andrey
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Jamshidian, Farshid
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International journal of theoretical and applied finance
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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ECONIS (ZBW)
2
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Arbitrage-free
bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
Saved in:
2
Arbitrage-free
valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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