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person:"Ben-David, Itzhak"
~person:"Brigo, Damiano"
~person:"Gambacorta, Leonardo"
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Ben-David, Itzhak
Brigo, Damiano
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ECONIS (ZBW)
40
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1
Fintech vs bank credit: how do they react to monetary policy?
Cornelli, Giulio
;
De Fiore, Fiorella
;
Gambacorta, Leonardo
-
2023
Persistent link: https://www.econbiz.de/10014463773
Saved in:
2
Data versus collateral
Gambacorta, Leonardo
;
Huang, Yiping
;
Li, Zhenhua
;
Qiu, Han
- In:
Review of finance : journal of the European Finance …
27
(
2023
)
2
,
pp. 369-398
Persistent link: https://www.econbiz.de/10014317800
Saved in:
3
Data vs collateral
Gambacorta, Leonardo
;
Huang, Yiping
;
Li, Zhenhua
;
Qiu, Han
-
2020
Persistent link: https://www.econbiz.de/10012385092
Saved in:
4
Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization
Brigo, Damiano
-
2018
We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has not yet been studied previously and reaching valuation when replication is not assumed. This unifying theoretical...
Persistent link: https://www.econbiz.de/10012926351
Saved in:
5
Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs : A Numerical Case Study Extending Black-Scholes
Brigo, Damiano
-
2017
We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach first proposed by Pallavicini and co-authors in 2011. Based on the risk-neutral pricing principle, we derive a...
Persistent link: https://www.econbiz.de/10012973284
Saved in:
6
Data vs collateral
Gambacorta, Leonardo
;
Huang, Yiping
;
Li, Zhenhua
;
Qiu, Han
-
2020
Persistent link: https://www.econbiz.de/10012301890
Saved in:
7
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
Bormetti, Giacomo
-
2015
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized valuation measure, can be helpful in defining the key...
Persistent link: https://www.econbiz.de/10013018414
Saved in:
8
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
Saved in:
9
Collateral Valuation and Borrower Financial Constraints : Evidence from the Residential Real Estate Market
Agarwal, Sumit
-
2014
Financially constrained borrowers have the incentive to influence the appraisal process in order to increase borrowing or reduce the interest rate. We document that the average valuation bias for residential refinance transactions is above 5%. The bias is larger for highly leveraged...
Persistent link: https://www.econbiz.de/10013065882
Saved in:
10
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
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