13 citations · 17 across the 24 of their papers we have counts for
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q-fin.RM2017
Risk-Minimizing Hedging of Counterparty Risk
Lijun Bo, Agostino Capponi, Claudia Ceci
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up a…
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…