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Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity

Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor); … - 2011

innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances … financial crisis world. Contains information regarding various aspects of the credit derivative market as well as cutting edge … innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances …

Persistent link: https://www.econbiz.de/10008903488

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

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

Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - 2010

The recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions. It has become commonplace to blame the inadequacy of credit risk...

Persistent link: https://www.econbiz.de/10014275651

Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity

Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor); … - 2011

pt. 1. Expert views -- pt. 2. Credit derivatives : methods -- pt. 3. Credit derivatives : products -- pt. 4. Counterparty risk pricing and credit valuation adjustment -- pt. 5. Equity to credit -- pt. 6. Miscellanea : liquidity, ratings, risk contributions, and simulation.

Persistent link: https://www.econbiz.de/10013331595

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

Integrating credit derivatives and securitisation technology: the collateralised synthetic obligation

Choudhry, Moorad - In: Credit derivatives : the definitive guide, (pp. 193-236). 2004

Persistent link: https://www.econbiz.de/10002798927

Counterparty Risk FAQ : Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending

Brigo, Damiano - 2012

Adjustment (DVA), DVA Hedging, Closeout conventions, Netting clauses, Collateral modeling, Gap Risk, Re-hypothecation, Wrong Way …

Persistent link: https://www.econbiz.de/10013113616

An introduction to credit derivatives

Choudhry, Moorad - 2004

Persistent link: https://www.econbiz.de/10001808903

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

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