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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

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

A stochastic processes toolkit for risk management : mean reverting processes and jumps

Brigo, Damiano; Dalessandro, Antonio; Neugebauer, Matthias - In: Journal of risk management in financial institutions 3 (2009/10) 1, pp. 65-83

Persistent link: https://www.econbiz.de/10003939684

Optimal trade execution under displaced diffusions dynamics across different risk criteria

Brigo, Damiano; Di Graziano, Giuseppe - In: Journal of financial engineering 1 (2014) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10010508077

Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period

Brigo, Damiano - 2010

Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a 'liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market...

Persistent link: https://www.econbiz.de/10013138014

Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility

Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 101 (2019), pp. 122-135

Persistent link: https://www.econbiz.de/10012162636

Coherent risk measures alone are ineffective in constraining portfolio losses

Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 140 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013463123