1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.PM2016
Robust Optimization of Credit Portfolios
Agostino Capponi, Lijun Bo
We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor m…
q-fin.RM2011★ 1 cited
Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
Damiano Brigo, Agostino Capponi, Andrea Pallavicini +1
This paper generalizes the framework for arbitrage-free valuation of bilateral counterparty risk to the case where collateral is included, with possible re-hypotecation. We analyze…