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Counterparty risk for CDS : default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42

Persistent link: https://www.econbiz.de/10011377294

Default and systemic risk in equilibrium

Capponi, Agostino; Larsson, Martin - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 51-76

Persistent link: https://www.econbiz.de/10011347251

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

Pricing vulnerable claims in a Lévy-driven model

Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano - In: Finance and stochastics 18 (2014) 4, pp. 755-789

Persistent link: https://www.econbiz.de/10010413669

Credit Default Swaps Liquidity Modeling : A Survey

Brigo, Damiano - 2011

We review different theoretical and empirical approaches for measuring the impact of liquidity on CDS prices. We start … by reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi and Sverdlove … (2008) and Buhler and Trapp (2006, 2008), adopting different assumptions on how liquidity rates enter the CDS premium rate …

Persistent link: https://www.econbiz.de/10013133848

Default and Systemic Risk in Equilibrium

Capponi, Agostino - 2011

We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process, and a defaultable bond, whose prices are determined via...

Persistent link: https://www.econbiz.de/10013121804

Clearinghouse Default Waterfalls : Risk-Sharing, Incentives, and Systemic Risk

Capponi, Agostino - 2017

Central to the ongoing debate on default resource adequacy are the incentives provided by the clearinghouse waterfall structure. We show that clearinghouse equity and member default funds play a complementary role to initial margins: they incentivize safe members to participate rather than...

Persistent link: https://www.econbiz.de/10012961402

A Dynamic Network Model of Interbank Lending — Systemic Risk and Liquidity Provisioning

Capponi, Agostino - 2019

approximations of two proposed macro-measures, the liquidity stress index and the concentration index, both capturing the dynamics of …

Persistent link: https://www.econbiz.de/10012901154

Risk Sensitive Asset Management and Cascading Defaults

Birge, John R. - 2017

We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults. Default events have an impact on the distress state of the surviving stocks in the portfolio. We study the recursive system of non-Lipschitz quasi-linear parabolic HJB-PDEs...

Persistent link: https://www.econbiz.de/10012969492

Optimal investment in credit derivatives portfolio under contagion risk

Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834

Persistent link: https://www.econbiz.de/10011583805