Imperial College London
Alternate

ProfessorDamianoBrigo

Faculty of Natural Sciences, Department of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo CV

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{BRIGO:2013:10.1142/s0219024913500076,
author = {BRIGO, D and CAPPONI, A and PALLAVICINI, A and PAPATHEODOROU, V},
doi = {10.1142/s0219024913500076},
journal = {International Journal of Theoretical and Applied Finance},
pages = {1350007--1350007},
title = {PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK},
url = {http://dx.doi.org/10.1142/s0219024913500076},
volume = {16},
year = {2013}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - <jats:p> This article is concerned with the arbitrage-free valuation of bilateral counterparty risk through stochastic dynamical models when collateral is included, with possible rehypothecation. The payout of claims is modified to account for collateral margining in agreement with International Swap and Derivatives Association (ISDA) documentation. The analysis is specialized to interest-rate and credit derivatives. In particular, credit default swaps are considered to show that a perfect collateralization cannot be achieved under default correlation. Interest rate and credit spread volatilities are fully accounted for, as is the impact of re-hypothecation, collateral margining frequency, and dependencies. </jats:p>
AU  - BRIGO,D
AU  - CAPPONI,A
AU  - PALLAVICINI,A
AU  - PAPATHEODOROU,V
DO  - 10.1142/s0219024913500076
EP  - 1350007
PY  - 2013///
SN  - 0219-0249
SP  - 1350007
TI  - PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
T2  - International Journal of Theoretical and Applied Finance
UR  - http://dx.doi.org/10.1142/s0219024913500076
VL  - 16
ER  -
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