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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables

Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.

Persistent link: https://www.econbiz.de/10002116360

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

An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

Brigo, Damiano; El-Bachir, Naoufel - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 365-382

Persistent link: https://www.econbiz.de/10008665084

Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity

Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor); … - 2011

financial crisis world. Contains information regarding various aspects of the credit derivative market as well as cutting edge … financial crisis world. Contains information regarding various aspects of the credit derivative market as well as cutting edge …

Persistent link: https://www.econbiz.de/10008903488

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

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

Restructuring counterparty credit risk

Albanese, Claudio; Brigo, Damiano; Oertel, Frank - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10009748714

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

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

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