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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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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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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