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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/10003831749

Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models

Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - 2010 - 1. publ.

Persistent link: https://www.econbiz.de/10003950757

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011

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

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

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

Brigo, Damiano; Pallavicini, Andrea - In: Journal of financial engineering 1 (2014) 1, pp. 1-60

Persistent link: https://www.econbiz.de/10010508128

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/10009271192

A note on the self-financing condition for funding, collateral and discounting

Brigo, Damiano; Buescu, Cristin; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10011403214

Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting

Brigo, Damiano - 2011

This paper generalizes the framework for arbitrage-free valuation of bilateral counterparty risk to the case where collateral is included, with possible re-hypotecation. We analyze how the payout of claims is modified when collateral margining is included in agreement with current ISDA...

Persistent link: https://www.econbiz.de/10013131259

Impact of multiple curve dynamics in credit valuation adjustments under collateralization

Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44

Persistent link: https://www.econbiz.de/10011905822