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CUTTING EDGE: Credit derivatives - Calibration of CDO tranches with the dynamical GPL model - Consistent calibration of a credit index and its tranches across maturities with a sin...
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - In: Risk : managing risk in the world's financial markets 20 (2007) 5, pp. 70-75
Persistent link: https://www.econbiz.de/10007738041
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Risk-neutral versus objective loss distribution and CDO tranche valuation
Torresetti, Roberto; Brigo, Damiano; Pallavicini, Andrea - In: Journal of risk management in financial institutions 2 (2008/09) 2, pp. 175-192
Persistent link: https://www.econbiz.de/10009883627
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Credit models and the crisis : an overview
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - In: Journal of risk management in financial institutions 4 (2010/11) 3, pp. 243-253
Persistent link: https://www.econbiz.de/10009883700
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CUTTING EDGE - Hybrid products - Counterparty risk and CCDSs under correlation - Counterparty risk under correlation is relatively unexplored in the financial literature. Here, the...
Brigo, Damiano; Pallavicini, Andrea - In: Risk : managing risk in the world's financial markets 21 (2008) 2, pp. 84-88
Persistent link: https://www.econbiz.de/10007917925
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CUTTING EDGE: CREDIT DERIVATIVES CMCDS valuation with market models - There is little, if any, literature available on constant maturity credit default swap valuation. Here, the au...
Brigo, Damiano - In: Risk : managing risk in the world's financial markets 19 (2006) 6, pp. 78-83
Persistent link: https://www.econbiz.de/10007379481
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CUTTING EDGE: Credit derivatives - Structural credit calibration - The authors introduce first-passage models with time-varying volatility and random default barriers, while illust...
Brigo, Damiano; Morini, Massimo - In: Risk : managing risk in the world's financial markets 19 (2006) 4, pp. 78-83
Persistent link: https://www.econbiz.de/10007271019
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EFFICIENT ANALYTICAL CASCADE CALIBRATION OF THE LIBOR MARKET MODEL WITH ENDOGENOUS INTERPOLATION
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10007296022
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The LIBOR model dynamics: Approximations, calibration and diagnostics
Brigo, Damiano; Mercurio, Fabio; Morini, Massimo - In: European journal of operational research : EJOR 163 (2005) 1, pp. 30-51
Persistent link: https://www.econbiz.de/10006641727
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On some filtering problems arising in mathematical finance
Brigo, Damiano; Hanzon, Bernard - In: Insurance / Mathematics & economics 22 (1998) 1, pp. 53-64
Persistent link: https://www.econbiz.de/10006919613
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Basel II - Uncertain ratios - Like their counterparts elsewhere, South African banks are bracing themselves for a round of changes to Basel II rules. But it is the implications for...
Brigo, Damiano; Capponi, Agostino - In: Risk : managing risk in the world's financial markets 23 (2010) 3, pp. 74-77
Persistent link: https://www.econbiz.de/10008396081