11 citations · 12 across the 2 of their papers we have counts for
2 papers
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…
q-fin.PR2009★ 11 cited
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Damiano Brigo, Andrea Pallavicini, Vasileios Papatheodorou
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In doing so…