6 citations · 11 across the 3 of their papers we have counts for
3 papers
q-fin.PR2011★ 6 cited
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…
q-fin.PR2010★ 5 cited
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…
q-fin.CP2008
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…