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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation

Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339

Persistent link: https://www.econbiz.de/10003344290

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

Counterparty risk for credit default swaps : impact of spread volatility and default correlation

Brigo, Damiano; Chourdakis, Kyriakos - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1007-1026

Persistent link: https://www.econbiz.de/10003928780

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

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

A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess?...

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