Damiano Brigo
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Damiano |
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Brigo |
Identifer
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Affiliations
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Imperial College, Department of Mathematics (weight: 50%)
- http://www3.imperial.ac.uk/mathematics/
- location: UK, London
Research profile
author of:
- Forecasting recovery rates on non-performing loans with machine learning (RePEc:ajf:louvlf:2020002)
by Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric - Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (RePEc:ajf:louvlr:2018012)
by Brigo, Damiano & Vrins, Frédéric - Forecasting recovery rates on non-performing loans with machine learning (RePEc:ajf:louvlr:2020002)
by Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric - SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (RePEc:ajf:louvlr:2020006)
by Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric - Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps (RePEc:arx:papers:0812.3705)
by Damiano Brigo & Agostino Capponi - Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing (RePEc:arx:papers:0812.4010)
by Damiano Brigo & Fabio Mercurio - On three filtering problems arising in mathematical finance (RePEc:arx:papers:0812.4050)
by Damiano Brigo & Bernard Hanzon - The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation (RePEc:arx:papers:0812.4052)
by Damiano Brigo - Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis (RePEc:arx:papers:0812.4156)
by Massimo Morini & Damiano Brigo - Constant Maturity Credit Default Swap Pricing with Market Models (RePEc:arx:papers:0812.4159)
by Damiano Brigo - Default correlation, cluster dynamics and single names: The GPCL dynamical loss model (RePEc:arx:papers:0812.4163)
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model (RePEc:arx:papers:0812.4199)
by Damiano Brigo & Naoufel El-Bachir - A Stochastic Processes Toolkit for Risk Management (RePEc:arx:papers:0812.4210)
by Damiano Brigo & Antonio Dalessandro & Matthias Neugebauer & Fares Triki - Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation (RePEc:arx:papers:0901.1099)
by Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar - Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations (RePEc:arx:papers:0911.3331)
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou - Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model (RePEc:arx:papers:0912.3028)
by Damiano Brigo & Marco Tarenghi - Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model (RePEc:arx:papers:0912.3031)
by Damiano Brigo & Marco Tarenghi - Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk (RePEc:arx:papers:0912.4404)
by Damiano Brigo & Massimo Morini & Marco Tarenghi - Credit models and the crisis, or: how I learned to stop worrying and love the CDOs (RePEc:arx:papers:0912.5427)
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - Credit Default Swaps Liquidity modeling: A survey (RePEc:arx:papers:1003.0889)
by Damiano Brigo & Mirela Predescu & Agostino Capponi - Liquidity-adjusted Market Risk Measures with Stochastic Holding Period (RePEc:arx:papers:1009.3760)
by Damiano Brigo & Claudio Nordio - Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions (RePEc:arx:papers:1011.3355)
by Damiano Brigo & Massimo Morini - Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting (RePEc:arx:papers:1101.3926)
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou - Impact of the first to default time on Bilateral CVA (RePEc:arx:papers:1106.3496)
by Damiano Brigo & Cristin Buescu & Massimo Morini - Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending (RePEc:arx:papers:1111.1331)
by Damiano Brigo - Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation (RePEc:arx:papers:1112.1521)
by Andrea Pallavicini & Daniele Perini & Damiano Brigo - Restructuring Counterparty Credit Risk (RePEc:arx:papers:1112.1607)
by Claudio Albanese & Damiano Brigo & Frank Oertel - Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas (RePEc:arx:papers:1204.2090)
by Damiano Brigo & Kyriakos Chourdakis - Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting (RePEc:arx:papers:1207.2316)
by Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu - Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments (RePEc:arx:papers:1210.3811)
by Andrea Pallavicini & Daniele Perini & Damiano Brigo - CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models (RePEc:arx:papers:1302.6629)
by Damiano Brigo & Jo~ao Garcia & Nicola Pede - The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles (RePEc:arx:papers:1302.7010)
by Damiano Brigo & Francesco Rapisarda & Abir Sridi - Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs (RePEc:arx:papers:1304.1397)
by Andrea Pallavicini & Damiano Brigo - Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions (RePEc:arx:papers:1304.2942)
by Damiano Brigo & Giuseppe Di Graziano - Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization (RePEc:arx:papers:1306.0887)
by Damiano Brigo & Jan-Frederik Mai & Matthias Scherer - CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? (RePEc:arx:papers:1312.0128)
by Damiano Brigo & Andrea Pallavicini - CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach (RePEc:arx:papers:1401.3994)
by Damiano Brigo & Andrea Pallavicini - Inflation securities valuation with macroeconomic-based no-arbitrage dynamics (RePEc:arx:papers:1403.7799)
by Gabriele Sarais & Damiano Brigo - Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes (RePEc:arx:papers:1404.7314)
by Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth - An initial approach to Risk Management of Funding Costs (RePEc:arx:papers:1410.2034)
by Damiano Brigo & Cyril Durand - Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs (RePEc:arx:papers:1506.00686)
by Damiano Brigo & Marco Francischello & Andrea Pallavicini - Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization (RePEc:arx:papers:1507.08779)
by Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini - The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew (RePEc:arx:papers:1512.04741)
by Damiano Brigo & Camilla Pisani & Francesco Rapisarda - Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps (RePEc:arx:papers:1512.07256)
by Damiano Brigo & Nicola Pede & Andrea Petrelli - Funding, repo and credit inclusive valuation as modified option pricing (RePEc:arx:papers:1602.05998)
by Damiano Brigo & Cristin Buescu & Marek Rutkowski - Static vs adapted optimal execution strategies in two benchmark trading models (RePEc:arx:papers:1609.05523)
by Damiano Brigo & Clement Piat - Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment (RePEc:arx:papers:1611.02877)
by Damiano Brigo & Fr'ed'eric Vrins - An indifference approach to the cost of capital constraints: KVA and beyond (RePEc:arx:papers:1708.05319)
by Damiano Brigo & Marco Francischello & Andrea Pallavicini - Optimizing S-shaped utility and implications for risk management (RePEc:arx:papers:1711.00443)
by John Armstrong & Damiano Brigo - Risk-neutral valuation under differential funding costs, defaults and collateralization (RePEc:arx:papers:1802.10228)
by Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski - Option pricing models without probability: a rough paths approach (RePEc:arx:papers:1808.09378)
by John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass - Static vs Adaptive Strategies for Optimal Execution with Signals (RePEc:arx:papers:1811.11265)
by Claudio Bellani & Damiano Brigo & Alex Done & Eyal Neuman - The ineffectiveness of coherent risk measures (RePEc:arx:papers:1902.10015)
by John Armstrong & Damiano Brigo - Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility (RePEc:arx:papers:1904.01889)
by Damiano Brigo - On the consistency of jump-diffusion dynamics for FX rates under inversion (RePEc:arx:papers:1905.05310)
by Federico Graceffa & Damiano Brigo & Andrea Pallavicini - Mechanics of good trade execution in the framework of linear temporary market impact (RePEc:arx:papers:1909.10464)
by Claudio Bellani & Damiano Brigo - The importance of dynamic risk constraints for limited liability operators (RePEc:arx:papers:2011.03314)
by John Armstrong & Damiano Brigo & Alex S. L. Tse - Price Impact on Term Structure (RePEc:arx:papers:2011.10113)
by Damiano Brigo & Federico Graceffa & Eyal Neuman - Interpretability in deep learning for finance: a case study for the Heston model (RePEc:arx:papers:2104.09476)
by Damiano Brigo & Xiaoshan Huang & Andrea Pallavicini & Haitz Saez de Ocariz Borde - Non-average price impact in order-driven markets (RePEc:arx:papers:2110.00771)
by Claudio Bellani & Damiano Brigo & Mikko Pakkanen & Leandro Sanchez-Betancourt - Mild to classical solutions for XVA equations under stochastic volatility (RePEc:arx:papers:2112.11808)
by Damiano Brigo & Federico Graceffa & Alexander Kalinin - Risk-neutral versus objective loss distribution and CDO tranche valuation (RePEc:aza:rmfi00:y:2009:v:2:i:2:p:175-192)
by Torresetti, Roberto & Brigo, Damiano & Pallavicini, Andrea - A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models (RePEc:aza:rmfi00:y:2009:v:2:i:4:p:365-393)
by Brigo, Damiano & Dalessandro, Antonio & Neugebauer, Matthias & Triki, Fares - Guest Editorial (RePEc:aza:rmfi00:y:2011:v:4:i:3:p:212-215)
by Brigo, Damiano & D'Ecclesia, Rita L. - Credit models and the crisis: An overview (RePEc:aza:rmfi00:y:2011:v:4:i:3:p:243-253)
by Brigo, Damiano & Pallavicini, Andrea & Torresetti, Roberto - Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps (RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146)
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini - Option pricing models without probability: a rough paths approach (RePEc:bla:mathfi:v:31:y:2021:i:4:p:1494-1521)
by John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass - SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions (RePEc:cor:louvco:2016046)
by BRIGO, Damiano & JEANBLANC, Monique & VRINS, Frédéric - Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures (RePEc:cor:louvrp:2949)
by Damiano Brigo & Frédéric Vrins - SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (RePEc:cor:louvrp:3067)
by Damiano Brigo & Monique Jeanblanc & Frédéric Vrins - The LIBOR model dynamics: Approximations, calibration and diagnostics (RePEc:eee:ejores:v:163:y:2005:i:1:p:30-51)
by Brigo, Damiano & Mercurio, Fabio & Morini, Massimo - Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures (RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164)
by BRIGO, Damiano & VRINS, Frédéric - Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement (RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805)
by Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea - On some filtering problems arising in mathematical finance (RePEc:eee:insuma:v:22:y:1998:i:1:p:53-64)
by Brigo, Damiano & Hanzon, Bernard - Forecasting recovery rates on non-performing loans with machine learning (RePEc:eee:intfor:v:37:y:2021:i:1:p:428-444)
by Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric - Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility (RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135)
by Armstrong, John & Brigo, Damiano - Coherent risk measures alone are ineffective in constraining portfolio losses (RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621002673)
by Armstrong, John & Brigo, Damiano - SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (RePEc:eee:spapps:v:130:y:2020:i:7:p:3895-3919)
by Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric - Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law (RePEc:eee:stapro:v:114:y:2016:i:c:p:60-66)
by Brigo, Damiano & Mai, Jan-Frederik & Scherer, Matthias - On SDEs with marginal laws evolving in finite-dimensional exponential families (RePEc:eee:stapro:v:49:y:2000:i:2:p:127-134)
by Brigo, Damiano - Nonlinear Valuation with XVAs: Two Converging Approaches (RePEc:gam:jmathe:v:10:y:2022:i:5:p:791-:d:762470)
by Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski - Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model (RePEc:rdg:icmadp:icma-dp2006-13)
by Damiano Brigo & Naoufel El-Bachir - An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model (RePEc:rdg:icmadp:icma-dp2007-14)
by Damiano Brigo & Naoufel El-Bachir - An analytically tractable time-changed jump-diffusion default intensity model (RePEc:rdg:icmadp:icma-dp2008-06)
by Naoufel El-Bachir & Damiano Brigo - Journal of Financial Perspectives (RePEc:ris:jofipe)
from EY Global FS Institute as editor - Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities (RePEc:ris:jofipe:0098)
by Lamberton, Chris & Brigo, Damiano & Hoy, Dave - Journal of Financial Transformation (RePEc:ris:jofitr)
from Capco Institute as editor - Efficient pricing of default risk: Different approaches for a single goal (RePEc:ris:jofitr:0956)
by Brigo, Damiano & Morini, Massimo - The multivariate mixture dynamics model: shifted dynamics and correlation skew (RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03239-6)
by Damiano Brigo & Camilla Pisani & Francesco Rapisarda - Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices (RePEc:spr:finsto:v:4:y:2000:i:2:p:147-159)
by Damiano Brigo & Fabio Mercurio - A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models (RePEc:spr:finsto:v:5:y:2001:i:3:p:369-387)
by Damiano Brigo & Fabio Mercurio - Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model (RePEc:spr:finsto:v:9:y:2005:i:1:p:29-42)
by Damiano Brigo & Aurélien Alfonsi - Price Impact Without Averaging (RePEc:taf:apmtfi:v:30:y:2023:i:4:p:175-206)
by Claudio Bellani & Damiano Brigo & Mikko S. Pakkanen & Leandro Sánchez-Betancourt - Impact of multiple curve dynamics in credit valuation adjustments under collateralization (RePEc:taf:quantf:v:18:y:2018:i:1:p:31-44)
by Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini - Mechanics of good trade execution in the framework of linear temporary market impact (RePEc:taf:quantf:v:21:y:2021:i:1:p:143-163)
by Claudio Bellani & Damiano Brigo - Price impact on term structure (RePEc:taf:quantf:v:22:y:2022:i:1:p:171-195)
by Damiano Brigo & Federico Graceffa & Eyal Neuman - Analytical pricing of the smile in a forward LIBOR market model (RePEc:taf:quantf:v:3:y:2003:i:1:p:15-27)
by D. Brigo & F. Mercurio - Alternative asset-price dynamics and volatility smile (RePEc:taf:quantf:v:3:y:2003:i:3:p:173-183)
by Damiano Brigo & Fabio Mercurio & Giulio Sartorelli - On the distributional distance between the lognormal LIBOR and swap market models (RePEc:taf:quantf:v:5:y:2005:i:5:p:433-442)
by Damiano Brigo & Jan Liinev - A dynamic programming approach for pricing CDS and CDS options (RePEc:taf:quantf:v:9:y:2009:i:6:p:717-726)
by Hatem Ben-Ameur & Damiano Brigo & Eymen Errais - The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles (RePEc:taf:uiiexx:v:50:y:2018:i:1:p:27-44)
by Damiano Brigo & Francesco Rapisarda & Abir Sridi - On the consistency of jump-diffusion dynamics for FX rates under inversion (RePEc:wsi:ijfexx:v:07:y:2020:i:04:n:s2424786320500462)
by Federico Graceffa & Damiano Brigo & Andrea Pallavicini - Optimal trading: The importance of being adaptive (RePEc:wsi:ijfexx:v:08:y:2021:i:04:n:s242478632050022x)
by Claudio Bellani & Damiano Brigo & Alex Done & Eyal Neuman - On the design of sovereign bond-backed securities (RePEc:wsi:ijfexx:v:09:y:2022:i:01:n:s242478632150033x)
by Emilio Barucci & Damiano Brigo & Marco Francischello & Daniele Marazzina - Lognormal-Mixture Dynamics And Calibration To Market Volatility Smiles (RePEc:wsi:ijtafx:v:05:y:2002:i:04:n:s0219024902001511)
by Damiano Brigo & Fabio Mercurio - The Stochastic Intensity Ssrd Model Implied Volatility Patterns For Credit Default Swap Options And The Impact Of Correlation (RePEc:wsi:ijtafx:v:09:y:2006:i:03:n:s0219024906003597)
by Damiano Brigo & Laurent Cousot - Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names (RePEc:wsi:ijtafx:v:10:y:2007:i:04:n:s0219024907004342)
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - Counterparty Risk For Credit Default Swaps: Impact Of Spread Volatility And Default Correlation (RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s0219024909005567)
by Damiano Brigo & Kyriakos Chourdakis - Arbitrage-Free Valuation Of Bilateral Counterparty Risk For Interest-Rate Products: Impact Of Volatilities And Correlations (RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006759)
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou - Counterparty Risk Pricing: Impact Of Closeout And First-To-Default Times (RePEc:wsi:ijtafx:v:15:y:2012:i:06:n:s0219024912500392)
by Damiano Brigo & Cristin Buescu & Massimo Morini - Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation And Wrong-Way Risk (RePEc:wsi:ijtafx:v:16:y:2013:i:02:n:s0219024913500076)
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou - Restructuring Counterparty Credit Risk (RePEc:wsi:ijtafx:v:16:y:2013:i:02:n:s0219024913500106)
by Claudio Albanese & Damiano Brigo & Frank Oertel - A Note On The Self-Financing Condition For Funding, Collateral And Discounting (RePEc:wsi:ijtafx:v:18:y:2015:i:02:n:s0219024915500119)
by Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu - Coco Bonds Pricing With Credit And Equity Calibrated First-Passage Firm Value Models (RePEc:wsi:ijtafx:v:18:y:2015:i:03:n:s0219024915500156)
by Damiano Brigo & João Garcia & Nicola Pede - Multi-Currency Credit Default Swaps (RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500183)
by Damiano Brigo & Nicola Pede & Andrea Petrelli - Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (RePEc:wsi:jfexxx:v:01:y:2014:i:01:n:s2345768614500019)
by Damiano Brigo & Andrea Pallavicini - Optimal trade execution under displaced diffusions dynamics across different risk criteria (RePEc:wsi:jfexxx:v:01:y:2014:i:02:n:s2345768614500184)
by Damiano Brigo & Giuseppe Di Graziano - Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility (RePEc:wsi:wschap:9789811259142_0004)
by D. Brigo - Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names (RePEc:wsi:wschap:9789812709509_0002)
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models (RePEc:wsi:wschap:9789813272569_0002)
by Damiano Brigo & Thomas Hvolby & Frédéric Vrins - Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution (RePEc:wsi:wschap:9789813272569_0003)
by Damiano Brigo & Jan-Frederik Mai & Matthias Scherer & Henrik Sloot - Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default (RePEc:wsi:wschap:9789813272569_0004)
by Damiano Brigo & Nicola Pede - Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models (RePEc:wsi:wschap:9789813272569_0010)
by Damiano Brigo & Clément Piat - Restructuring counterparty credit risk (RePEc:zbw:bubdps:142013)
by Albanese, Claudio & Brigo, Damiano & Oertel, Frank