3 citations · 3 across the 1 of their papers we have counts for
2 papers
q-fin.PR2009★ 3 cited
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…
q-fin.PR2008
Default correlation, cluster dynamics and single names: The GPCL dynamical loss model
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
We extend the common Poisson shock framework reviewed for example in Lindskog and McNeil (2003) to a formulation avoiding repeated defaults, thus obtaining a model that can account…