Publications
170 results found
Brigo D, 2008, CDS Options through Candidate Market Models and the CDS-Calibrated CIR++ Stochastic Intensity Model, Credit Risk: Models, Derivatives and Management, Editors: Wagner, Publisher: Taylor & Francis
Brigo D, Pallavicini A, Torresetti R, 2007, Cluster-based extension of the generalized poisson loss dynamics and consistency with single names, International Journal of Theoretical and Applied Finance, Vol: 10, ISSN: 0219-0249
We extend the common Poisson shock framework reviewed for example in Lindskog and McNeil [15] to a formulation avoiding repeated defaults, thus obtaining a model that can account consistently for single name default dynamics, cluster default dynamics and default counting process. This approach allows one to introduce significant dynamics, improving on the standard "bottom-up" approaches, and to achieve true consistency with single names, improving on most "top-down" loss models. Furthermore, the resulting GPCL model has important links with the previous GPL dynamical loss model in Brigo et al. [6], which we point out. Model extensions allowing for more articulated spread and recovery dynamics are hinted at. Calibration to both DJi-TRAXX and CDX index and tranche data across attachments and maturities shows that the GPCL model has the same calibration power as the GPL model while allowing for consistency with single names.
Brigo D, Pallavicini A, Torresetti R, 2007, CDO calibration with the dynamical Generalized Poisson Loss model, Risk Magazine
Brigo D, Pallavicini A, Torresetti R, 2007, Cluster-based extension of the generalized poisson loss dynamics and consistency with single names, Credit Correlation - Life After Copulas, Editors: Lipton A, Rennie A, Publisher: World Scientific
Brigo D, 2006, Constant Maturity CDS valuation with market models, Risk Magazine
Brigo D, Mercurio F, 2006, Interest Rate Models: Theory and Practice - with Smile, Inflation and Credit, Heidelberg, Publisher: Springer Verlag
Brigo D, Masetti M, 2006, Risk Neutral Pricing of Counterparty Risk, Counterparty Credit Risk Modeling: Risk Management, Pricing and Regulation, Editors: Pykhtin, Publisher: Risk Books
Brigo D, Cousot L, 2006, A Comparison between the SSRD Model and the Market Model for CDS Options Pricing, International Journal of Theoretical and Applied Finance, Vol: 9
BRIGO DAMIANO, COUSOT LAURENT, 2006, THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION, International Journal of Theoretical and Applied Finance, Vol: 09, Pages: 315-339
In this paper we investigate implied volatility patterns in the Shifted Square Root Diffusion (SSRD) model as functions of the model parameters. We begin by recalling the Credit Default Swap (CDS) options market model that is consistent with a market Black-like formula, thus introducing a notion of implied volatility for CDS options. We examine implied volatilities coming from SSRD prices and characterize the qualitative behavior of implied volatilities as functions of the SSRD model parameters. We introduce an analytical approximation for the SSRD implied volatility that follows the same patterns in the model parameters and that can be used to have a first rough estimate of the implied volatility following a calibration. We compute numerically the CDS-rate volatility smile for the adopted SSRD model. We find a decreasing pattern of SSRD implied volatilities in the interest-rate/intensity correlation. We check whether it is possible to assume zero correlation after the option maturity in computing the option price.
Brigo D, Morini M, 2006, Efficient Analytical Cascade Calibration of the LIBOR market model with Endogenous Interpolation, Journal of Derivatives
Brigo D, Liinev J, 2005, On the distributional distance between the lognormal LIBOR and swap market models, QUANTITATIVE FINANCE, Vol: 5, Pages: 433-442, ISSN: 1469-7688
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- Citations: 6
Brigo D, Mercurio F, Morini M, 2005, The LIBOR model dynamics: Approximations, calibration and diagnostics, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, Vol: 163, Pages: 30-51, ISSN: 0377-2217
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- Citations: 7
Brigo D, Alfonsi A, 2005, Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model, FINANCE AND STOCHASTICS, Vol: 9, Pages: 29-42, ISSN: 0949-2984
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- Citations: 68
Brigo D, 2005, Market Models for CDS Options and Callable Floaters, Risk Magazine
Alfonsi A, Brigo D, 2005, New families of copulas based on periodic functions, COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, Vol: 34, Pages: 1437-1447, ISSN: 0361-0926
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- Citations: 19
Brigo D, Mercurio F, Rapisarda F, 2005, Smile at Uncertainty, Derivatives Trading and Option Pricing, Editors: Dunbar, Publisher: Risk Books
Brigo D, Morini M, 2005, Efficient pricing of default risk: Different approaches for a single goal, Journal of Financial Transformation, Vol: 13, Pages: 151-160
With the rapid development of the credit derivatives market, efficient pricing of default has become an extremely important issue for the credit risk management of banks and other investors. We consider here some of the opportunities and problems that the development of this market poses to quantitative research in academia and industry. We describe different modeling choices pointing out the practical pros and cons of the different frameworks. For all different frameworks, we present innovative solutions allowing both computational efficiency and high consistency with the increasingly liquid credit reference market, the market of credit default swaps
Brigo D, 2005, Market Models for CDS Options and Callable Floaters, Derivatives Trading and Option Pricing, Editors: Dunbar, Publisher: Risk Books
Brigo D, Mercurio F, Rapisarda F, et al., 2004, Approximated moment-matching dynamics for basket-options pricing, QUANTITATIVE FINANCE, Vol: 4, Pages: 1-16, ISSN: 1469-7688
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- Citations: 30
Brigo D, Mercurio F, Sartorelli G, 2003, Alternative asset-price dynamics and volatility smile, QUANTITATIVE FINANCE, Vol: 3, Pages: 173-183, ISSN: 1469-7688
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- Citations: 11
Brigo D, Mercurio F, 2003, Analytical pricing of the smile in a forward LIBOR market model, Conference on Quantitative Methods in Finance (QMF 2002), Publisher: IOP PUBLISHING LTD, Pages: 15-27, ISSN: 1469-7688
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- Citations: 13
Brigo D, Mercurio F, 2003, Analytical pricing of the smile in a forward LIBOR market model, Quantitative Finance, Vol: 3
Brigo D, Mercurio F, 2003, A mixed-up smile, Exotic Options: The cutting edge collection, Editors: Lipton, Publisher: Risk Books, Pages: 45-50
Brigo D, Mercurio F, 2002, Lognormal-mixture dynamics and calibration to market volatility smiles, International Journal of Theoretical and Applied Finance, Vol: 5, Pages: 427-446
Brigo D, Mercurio F, 2002, Displaced and mixture diffusions for analytically-tractable smile models, 1st World Congress of the Bachelier-Finance-Society, Publisher: SPRINGER-VERLAG BERLIN, Pages: 151-174
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- Citations: 12
Brigo D, Mercurio F, 2001, A deterministic-shift extension of analytically tractable and time-homogeneous short rate models, Finance and stochastics, Vol: 5, Pages: 369-388
Brigo D, 2000, On SDEs with marginal laws evolving in finite-dimensional exponential families, STATISTICS & PROBABILITY LETTERS, Vol: 49, Pages: 127-134, ISSN: 0167-7152
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- Citations: 5
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