26 citations · 157 across the 57 of their papers we have counts for
8 papers · 1 filter
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Damiano Brigo, Massimo Morini, Marco Tarenghi
In this paper we develop structural first passage models (AT1P and SBTV) with time-varying volatility and characterized by high tractability, moving from the original work of Brigo…
Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
Damiano Brigo, Marco Tarenghi
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatility ideally associated w…
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
Damiano Brigo, Marco Tarenghi
In this paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a ch…
Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied co…
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Damiano Brigo, Andrea Pallavicini, Vasileios Papatheodorou
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In doing so…
A finite dimensional filter with exponential conditional density
Damiano Brigo
In this paper we consider the continuous--time nonlinear filtering problem, which has an infinite--dimensional solution in general, as proved by Chaleyat--Maurel and Michel. There…