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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
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Dynamic credit investment in partially observed markets
Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
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Derivative clearinghouses : collateral management and policy implications
Capponi, Agostino - In: After the crash : financial crises and regulatory responses, (pp. 371-383). 2019
Persistent link: https://www.econbiz.de/10012120731
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Optimal credit investment with borrowing costs
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 2, pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
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Clearinghouse margin requirements
Capponi, Agostino; Cheng, W. Allen - In: Operations research 66 (2018) 6, pp. 1542-1558
Persistent link: https://www.econbiz.de/10011971659
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Credit risk models with incomplete information
Guo, Xin; Jarrow, Robert A.; Zeng, Yan - In: Mathematics of operations research 34 (2009) 2, pp. 320-332
Persistent link: https://www.econbiz.de/10003870282
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Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas; Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
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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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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
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Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
Capponi, Agostino; Figueroa-López, José E.; Nisen, Jeffrey - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 250-288
Persistent link: https://www.econbiz.de/10010357375