These are all the papers that have the " 91B70 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
by Andrea Pallavicini of Banca IMI, Milan, and
Damiano Brigo of Imperial College, London
(286K PDF) -- 25 pages -- April 5, 2013 A Model for Dependent Defaults and Pricing Contingent Claims with Counterparty Risk
by Dariusz Gatarek of Unicredit, and
Juliusz Jabłecki of National Bank of Poland
(1146K PDF) -- 27 pages -- April 2013 Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and funding value adjustments
by Antonio Castagna of iason Ltd.
(538K PDF) -- 30 pages -- March 20, 2013 Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation and Wrong-Way Risk
by Damiano Brigo of Imperial College London,
Agostino Capponi of Purdue University,
Andrea Pallavicini of Imperial College London, and
Vasileios Papatheodorou of Barclays Capital
(659K PDF) -- 39 pages -- March 2013 CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
by Damiano Brigo of Imperial College, London,
João Garcia - Independent Consultant, UK, and
Nicola Pede of Imperial College, London
(329K PDF) -- 29 pages -- February 28, 2013 Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
by Claudio Nordio of Banco Popolare, and
Lorenzo Giada of Banco Popolare
(175K PDF) -- 10 pages -- January 24, 2013 The Art of PD Curve Calibration
by Dirk Tasche of Financial Services Authority, UK
(518K PDF) -- 36 pages -- January 24, 2013 Funding, Collateral and Hedging: Uncovering the mechanics and the subtleties of funding valuation adjustments
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of Imperial College, London
(422K PDF) -- 38 pages -- December 13, 2012 Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
by Damiano Brigo of King's College London,
Cristin Buescu of King's College London,
Andrea Pallavicini of Banca IMI, and
Qing Liu of King's College London
(119K PDF) -- 8 pages -- July 17, 2012 Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo of King's College, London
(570K PDF) -- 57 pages -- June 19, 2012 Funding Valuation Adjustment: A consistent framework including CVA, DVA, collateral, netting rules and re-hypothecation
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of King's College, London
(260K PDF) -- 23 pages -- December 12, 2011 Impact of the First to Default Time on Bilateral CVA
by Damiano Brigo of the King's College, London,
Cristin Buescu of the King's College, London, and
Massimo Morini of the Banca IMI & Bocconi University, Milan
(204K PDF) -- 14 pages -- June 20, 2011 Collateralized CDS and Default Dependence: Implications for the central clearing
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(511K PDF) -- 17 pages -- April 11, 2011 Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne & Sharif University of Technology
(950K PDF) -- 38 pages -- February 18, 2011 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(268K PDF) -- 31 pages -- February 15, 2011 American Step-up and Step-down Credit Default Swaps Under Lévy Models
by Tim S.T. Leung of the Johns Hopkins University, and
Kazutoshi Yamazaki of the Osaka University
(561K PDF) -- 24 pages -- December 25, 2010 Dangers of Bilateral Counterparty Risk: The fundamental impact of closeout conventions
by Damiano Brigo of the King's College, London, and
Massimo Morini of the Banca IMI
(561K PDF) -- 24 pages -- November 16, 2010 Explicit Solutions to Optimal Risk-Averse Trading of Defaultable Bonds Under Heterogeneous Beliefs
by Tim S.T. Leung of the Johns Hopkins University
(514K PDF) -- 27 pages -- October 22, 2010 Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010 Credit Risk Premia and Quadratic BSDEs with a Single Jump
by Stefan Ankirchner of the Universtät Bonn,
Christophette Blanchet-Scalliet of the Université de Lyon, and
Anne Eyraud-Loisel of the Université Lyon 1
(303K PDF) -- 27 pages -- June 8, 2010 Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Credit Default Swaps Liquidity Modeling: A survey
by Damiano Brigo of Imperial College,
Mirela Predescu of Lloyds TSB, and
Agostino Capponi of the California Institute of Technology
(436K PDF) -- 36 pages -- March 20, 2010 Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,106K PDF) -- 66 pages -- February 17, 2010 Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010 A Note on Construction of Multiple Swap Curves with and without Collateral
by Masaaki Fujii of the University of Tokyo,
Yasufumi Shimada of Shinsei Bank, Limited, and
Akihiko Takahashi of the University of Tokyo
(179K PAGES) -- 21 pages -- January 25, 2010 Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009 Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009 Stressing Rating Criteria Allowing for Default Clustering: The CPDO case
by Roberto Torresetti of Banco Bilbao Vizcaya Argentaria, and
Andrea Pallavicini of Banca Leonardo
(653K PDF) -- 37 pages -- September 4, 2009 Interacting Particle Systems for the Computation of Rare Credit Portfolio Losses
by René Carmona of Princeton University,
Jean-Pierre Fouque of the University of California, Santa Barbara, and
Douglas Vestal of Julius Finance
(752K PDF) -- 21 pages -- September 2009 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(213K PDF) -- 19 pages -- October 3, 2008 Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 2008 Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
by Damiano Brigo of FitchSolutions & Imperial College, London, and
Andrea Pallavicini of Banca Leonardo
(201K PDF) -- 19 pages -- March 26, 2008 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007 Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
by Damiano Brigo of Banca IMI,
Andrea Pallavicini of Banca IMI, and
Roberto Torresetti of Banca IMI
(299K PDF) -- 35 pages -- May 3, 2007 Tails of Credit Default Portfolios
by Gabriel Kuhn of the Munich University of Technology
(355K PDF) -- 32 pages -- December 21, 2004 The Stochastic Intensity SSRD Model Implied Volatility Patterns for Credit Default Swap Options and the Impact of Correlation
by Damiano Brigo of Banca IMI, and
Laurent Cousot of Courant Institute
(257K PDF) -- 28 pages -- September 12, 2004 Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Aurélien Alfonsi of Banca IMI
(291K PDF) -- 27 pages -- February 18, 2004 Dependent Defaults and Credit Migrations
by Tomasz R. Bielecki of The Northeastern Illinois University, and
Marek Rutkowski of the Warsaw University of Technology
(296K PDF) -- 25 pages -- March 11, 2003 Optimal Default Boundary in Discrete Time Models
by Agata Altieri of the Universitá di Padova, and
Tiziano Vargiolu of the Universitá di Padova
(212K PDF) -- 16 pages -- June 2002
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