6 citations · 11 across the 4 of their papers we have counts for
4 papers
Impact of the first to default time on Bilateral CVA
Damiano Brigo, Cristin Buescu, Massimo Morini
We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Val…
Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions
Damiano Brigo, Massimo Morini
We analyze the practical consequences of the bilateral counterparty risk adjustment. We point out that past literature assumes that, at the moment of the first default, a risk-free…
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…
Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
Massimo Morini, Damiano Brigo
In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually…