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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting
Brigo, Damiano - 2011
This paper generalizes the framework for arbitrage-free valuation of bilateral counterparty risk to the case where collateral is included, with possible re-hypotecation. We analyze how the payout of claims is modified when collateral margining is included in agreement with current ISDA...
Persistent link: https://www.econbiz.de/10013131259
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Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - arXiv.org - 2011
This paper generalizes the framework for arbitrage-free valuation of bilateral counterparty risk to the case where collateral is included, with possible re-hypotecation. We analyze how the payout of claims is modified when collateral margining is included in agreement with current ISDA...
Persistent link: https://www.econbiz.de/10008804924
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Risk-neutral versus objective loss distribution and CDO tranche valuation
Torresetti, Roberto; Brigo, Damiano; Pallavicini, Andrea - In: Journal of risk management in financial institutions 2 (2008/09) 2, pp. 175-192
Persistent link: https://www.econbiz.de/10003831749
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Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003950757
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Cluster-based extension of the generalized poisson loss dynamics and consistency with single names
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 607-631
Persistent link: https://www.econbiz.de/10003503347
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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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Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
Brigo, Damiano; Pallavicini, Andrea - In: Journal of financial engineering 1 (2014) 1, pp. 1-60
Persistent link: https://www.econbiz.de/10010508128
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Credit models and the crisis : an overview
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - In: Journal of risk management in financial institutions 4 (2010/11) 3, pp. 243-253
Persistent link: https://www.econbiz.de/10009271192
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A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano; Buescu, Cristin; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10011403214