26 citations · 157 across the 57 of their papers we have counts for
11 papers · 1 filter
The ineffectiveness of coherent risk measures
John Armstrong, Damiano Brigo
We show that coherent risk measures are ineffective in curbing the behaviour of investors with limited liability or excessive tail-risk seeking behaviour if the market admits stati…
Optimizing S-shaped utility and implications for risk management
John Armstrong, Damiano Brigo
We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at…
An indifference approach to the cost of capital constraints: KVA and beyond
Damiano Brigo, Marco Francischello, Andrea Pallavicini
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This…
An initial approach to Risk Management of Funding Costs
Damiano Brigo, Cyril Durand
In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from…
Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization
Damiano Brigo, Jan-Frederik Mai, Matthias Scherer
We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent…
Restructuring Counterparty Credit Risk
Claudio Albanese, Damiano Brigo, Frank Oertel
We introduce an innovative theoretical framework to model derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends th…