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Stressing rating criteria allowing for default clustering: the CPDO case

Torresetti, Roberto; Pallavicini, Andrea - 2007

After a brief review of the literature on rating arbitrage for corporate and structured nance, we introduce the standard criteria adopted by rating agencies to assess riskiness of Constant Proportion Debt Obligations (CPDO). Then, we propose a new rating model in order to incorporate a more...

Persistent link: https://www.econbiz.de/10015218051

Stressing rating criteria allowing for default clustering: the CPDO case

Torresetti, Roberto; Pallavicini, Andrea - Volkswirtschaftliche Fakultät, … - 2007

Persistent link: https://www.econbiz.de/10005059121

Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - 2010

. The models are tractable, pricing and simulation are straightforward, and consistent calibration to quoted index CDO …

Persistent link: https://www.econbiz.de/10014058476

A Backward Monte Carlo Approach to Exotic Option Pricing

Bormetti, Giacomo - 2016

and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction …

Persistent link: https://www.econbiz.de/10013003082

Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs : A Numerical Case Study Extending Black-Scholes

Brigo, Damiano - 2017

on the risk-neutral pricing principle, we derive a general pricing equation where Credit, Debit, Liquidity and Funding … Scholes for option pricing. Our numerical results confirm that funding risk has a non-trivial impact on the deal price, and … the pricing equations: non-separability of risks, aggregation dependence in valuation, and local pricing measures as …

Persistent link: https://www.econbiz.de/10012973284

An Indifference Approach to the Cost of Capital Constraints : KVA and Beyond

Brigo, Damiano - 2017

constraints in the valuation of a deal. We resort to an optimisation stemming from an indifference pricing approach, and we study …

Persistent link: https://www.econbiz.de/10012949463

Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs

Brigo, Damiano - 2015

We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take the form of semi-linear PDEs and Forward-Backward Stochastic Differential Equations (FBSDEs). After summarizing the...

Persistent link: https://www.econbiz.de/10013021843

Chebyshev Greeks : Smoothing Gamma without Bias

Maran, Andrea; Pallavicini, Andrea; Scoleri, Stefano - 2021

The computation of Greeks is a fundamental task for risk managing of financial instruments. The standard approach to their numerical evaluation is via finite differences. Most exotic derivatives are priced via Monte Carlo simulation: in these cases, it is hard to find a fast and accurate...

Persistent link: https://www.econbiz.de/10013220500

A General Framework for a Joint Calibration of VIX and VXX Options

Grasselli, Martino; Mazzoran, Andrea; Pallavicini, Andrea - 2021

We analyze the VIX futures market with a focus on the exchange-traded noteswritten on such contracts, in particular we investigate the VXX notes tracking theshort-end part of the futures term structure. Inspired by recent developments incommodity smile modelling, we present a multi-factor...

Persistent link: https://www.econbiz.de/10013242324

Interest-Rate Modeling with Multiple Yield Curves

Pallavicini, Andrea - 2010

when pricing other interest rate products, such as forward starting IRS, plain-vanilla European Swaptions, Constant …

Persistent link: https://www.econbiz.de/10013141883