activity
20082011
most citedImpact of the first to default time on Bilateral CVA

6 citations · 11 across the 4 of their papers we have counts for

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Showing 2009Show all

1 paper · 1 filter

q-fin.PR2009

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…