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~person:"Brigo, Damiano"
~type_genre:"Advisory report"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
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Credit risk
15
Kreditrisiko
15
Derivat
11
Derivative
11
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Theory
11
Credit derivative
7
Kreditderivat
7
Collateral
6
Kreditsicherung
6
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5
Optionspreistheorie
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Counterparty risk
4
Credit insurance
4
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Multivariate Verteilung
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Swap
4
Volatility
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credit valuation adjustment
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Finanzdienstleistung
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default correlation
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Brigo, Damiano
Rösch, Daniel
38
Altman, Edward I.
35
Fabozzi, Frank J.
32
Scheule, Harald
27
Jarrow, Robert A.
25
Ongena, Steven
24
Capponi, Agostino
23
Schulte-Mattler, Hermann
23
Hammoudeh, Shawkat
22
Gouriéroux, Christian
21
Wang, Xingchun
21
Crook, Jonathan N.
20
Schiereck, Dirk
20
Jacobs, Michael <Jr.>
18
Acharya, Viral V.
17
Belke, Ansgar
17
Goodman, Laurie Sharon
17
Lucas, André
17
Mayordomo, Sergio
17
Norden, Lars
17
Saunders, Anthony
17
Das, Sanjiv R.
16
Ghosh, Saibal
16
Hasan, Iftekhar
16
Wu, Chunchi
16
Zhang, Gaiyan
16
Andreeva, Galina
15
Chi, Guotai
15
Gürtler, Marc
15
Jeanblanc, Monique
15
Tang, Dragon Yongjun
15
Thomas, Lyn C.
15
Apergēs, Nikolaos
14
Bielecki, Tomasz R.
14
Crépey, Stéphane
14
Kanno, Masayasu
14
Kiesel, Florian
14
Monfort, Alain
14
Schuermann, Til
14
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International journal of theoretical and applied finance
8
Journal of risk management in financial institutions
2
Credit risk : models, derivatives, and management
1
Finance and stochastics
1
International journal of financial engineering
1
International journal of forecasting
1
Journal of financial engineering
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Operations research letters
1
Quantitative finance
1
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ECONIS (ZBW)
18
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1
Multi-currency credit
default
swaps
Brigo, Damiano
;
Pede, Nicola
;
Petrelli, Andrea
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012030890
Saved in:
2
Forecasting recovery rates on non-performing loans with machine learning
Bellotti, Anthony
;
Brigo, Damiano
;
Gambetti, Paolo
; …
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 428-444
Persistent link: https://www.econbiz.de/10012693089
Saved in:
3
CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano
;
Garcia, João
;
Pede, Nicola
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403242
Saved in:
4
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
Saved in:
5
On the design of sovereign bond-backed securities
Barucci, Emilio
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
International journal of financial engineering
9
(
2022
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10013188811
Saved in:
6
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
Saved in:
7
Funding, repo and credit inclusive valuation as modified option pricing
Brigo, Damiano
;
Buescu, C.
;
Rutkowski, Marek
- In:
Operations research letters
45
(
2017
)
6
,
pp. 665-670
Persistent link: https://www.econbiz.de/10011783094
Saved in:
8
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
Saved in:
9
Counterparty risk for credit
default
swaps : impact of spread volatility and
default
correlation
Brigo, Damiano
;
Chourdakis, Kyriakos
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
Saved in:
10
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
Saved in:
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