26 citations · 157 across the 57 of their papers we have counts for
4 papers · 2 filters
CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?
Damiano Brigo, Andrea Pallavicini
We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through…
Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
Andrea Pallavicini, Damiano Brigo
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In…
CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
Damiano Brigo, João Garcia, Nicola Pede
After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms…
The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
Damiano Brigo, Francesco Rapisarda, Abir Sridi
We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a…