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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

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

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

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

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

Risk-sensitive asset management and cascading defaults

Birge, John R.; Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 43 (2018) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011818644

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

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

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

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