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Results 1-10 of 13
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Issue DateTitleAuthor(s)
1-Jan-2014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPSBrigo, D; Capponi, A; Pallavicini, A
1-Jan-2018Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under CollateralizationBormetti, G; Brigo, D; Francischello, M; Pallavicini, A
1-Jun-2007Cluster-based extension of the generalized poisson loss dynamics and consistency with single namesBrigo, D; Pallavicini, A; Torresetti, R
-Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecationPallavicini, A; Perini, D; Brigo, D
31-Dec-2016Nonlinear Valuation Under Collateralization, Credit Risk, and Funding CostsBrigo, D; Liu, Q; Pallavicini, A; Sloth, D
31-Dec-2016Impact of Multiple Curve Dynamics in Credit Valuation AdjustmentsBormetti, G; Brigo, D; Francischello, M; Pallavicini, A
31-Dec-2016Analysis Of Nonlinear Valuation Equations Under Credit And Funding EffectsBrigo, D; Francischello, M; Pallavicini, A
-Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlationsBrigo, D; Pallavicini, A; Papatheodorou, V
-Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and NettingBrigo, D; Capponi, A; Pallavicini, A; Papatheodorou, V
-Default correlation, cluster dynamics and single names: The GPCL dynamical loss modelBrigo, D; Pallavicini, A; Torresetti, R

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