Similar Search Results

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

Credit Default Swaps Liquidity Modeling : A Survey

Brigo, Damiano - 2011

We review different theoretical and empirical approaches for measuring the impact of liquidity on CDS prices. We start by reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi and Sverdlove (2008) and Buhler and Trapp (2006, 2008), adopting different...

Persistent link: https://www.econbiz.de/10013133848

Dynamic credit investment in partially observed markets

Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939

Persistent link: https://www.econbiz.de/10011421091

Counterparty risk for CDS : default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42

Persistent link: https://www.econbiz.de/10011377294

Bilateral credit valuation adjustment for large credit derivatives portfolios

Bo, Lijun; Capponi, Agostino - In: Finance and stochastics 18 (2014) 2, pp. 431-482

Persistent link: https://www.econbiz.de/10010340674

Derivative clearinghouses : collateral management and policy implications

Capponi, Agostino - In: After the crash : financial crises and regulatory responses, (pp. 371-383). 2019

Persistent link: https://www.econbiz.de/10012120731

Optimal investment in credit derivatives portfolio under contagion risk

Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834

Persistent link: https://www.econbiz.de/10011583805

Optimal credit investment with borrowing costs

Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 2, pp. 546-575

Persistent link: https://www.econbiz.de/10011684545

Managing counterparty risk in OTC markets

Frei, Christoph; Capponi, Agostino; Brunetti, Celso - 2017

Persistent link: https://www.econbiz.de/10011710165

Systemic influences on optimal equity-credit investment

Capponi, Agostino; Frei, Christoph - In: Management science : journal of the Institute for … 63 (2017) 8, pp. 2756-2771

Persistent link: https://www.econbiz.de/10011741445