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Albanese, Claudio; Brigo, Damiano; Oertel, Frank - 2013

We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...

Persistent link: https://www.econbiz.de/10009739564

Restructuring Counterparty Credit Risk

Albanese, Claudio - 2016

Persistent link: https://www.econbiz.de/10012988783

Restructuring Counterparty Credit Risk

Albanese, Claudio - 2012

Persistent link: https://www.econbiz.de/10013113363

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

Forecasting recovery rates on non-performing loans with machine learning

Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; … - In: International journal of forecasting 37 (2021) 1, pp. 428-444

Persistent link: https://www.econbiz.de/10012693089

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

Multi-currency credit default swaps

Brigo, Damiano; Pede, Nicola; Petrelli, Andrea - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10012030890

Funding, repo and credit inclusive valuation as modified option pricing

Brigo, Damiano; Buescu, C.; Rutkowski, Marek - In: Operations research letters 45 (2017) 6, pp. 665-670

Persistent link: https://www.econbiz.de/10011783094

Impact of multiple curve dynamics in credit valuation adjustments under collateralization

Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44

Persistent link: https://www.econbiz.de/10011905822

CoCo bonds pricing with credit and equity calibrated first-passage firm value models

Brigo, Damiano; Garcia, João; Pede, Nicola - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403242