Imperial College London

ProfessorDamianoBrigo

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inproceedings{Bormetti:2016:10.1007/978-3-319-33446-2_12,
author = {Bormetti, G and Brigo, D and Francischello, M and Pallavicini, A},
doi = {10.1007/978-3-319-33446-2_12},
pages = {251--266},
publisher = {Springer},
title = {Impact of Multiple Curve Dynamics in Credit Valuation Adjustments},
url = {http://dx.doi.org/10.1007/978-3-319-33446-2_12},
year = {2016}
}

RIS format (EndNote, RefMan)

TY  - CPAPER
AB - We present a detailed analysis of interest rate derivatives valuation undercredit risk and collateral modeling. We show how the credit and collateral extendedvaluation framework in Pallavicini et al (2011) can be helpful in defining the keymarket rates underlying the multiple interest rate curves that characterize currentinterest rate markets. We introduce the collateralized valuation measures and formulatea consistent realistic dynamics for the rates emerging from our analysis. Wepoint out limitations of multiple curve models with deterministic basis consideringvaluation of particularly sensitive products such as basis swaps.
AU - Bormetti,G
AU - Brigo,D
AU - Francischello,M
AU - Pallavicini,A
DO - 10.1007/978-3-319-33446-2_12
EP - 266
PB - Springer
PY - 2016///
SN - 2194-1009
SP - 251
TI - Impact of Multiple Curve Dynamics in Credit Valuation Adjustments
UR - http://dx.doi.org/10.1007/978-3-319-33446-2_12
UR - http://hdl.handle.net/10044/1/41717
ER -