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Capponi, Agostino's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,929 |
Total
Citations
25 |
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1.
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Brigo, Damiano
Department of Mathematics, Imperial College, London Capponi, Agostino
Purdue University - School of Industrial Engineering
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19 Dec 08
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Last Revised:
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19 Nov 09
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894
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15
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Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Credit Default Swaps, Contingent Credit Default Swaps, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Copula Functions, Wrong Way Risk
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2.
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Brigo, Damiano
Department of Mathematics, Imperial College, London Predescu, Mirela
BNP Paribas, London Capponi, Agostino
Purdue University - School of Industrial Engineering
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05 Mar 10
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Last Revised:
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12 Sep 11
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364
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2
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Credit Default Swaps, Liquidity spread, Liquidity Premium, Credit Liquidity correlation, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis
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3.
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Brigo, Damiano
Department of Mathematics, Imperial College, London Capponi, Agostino
Purdue University - School of Industrial Engineering Pallavicini, Andrea
Imperial College London - Department of Mathematics Papatheodorou, Vasileios
Barclays Capital
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311
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8
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Counterparty Risk, Bilateral CVA, Collateral Management, Collateral Re-Hypothecation, Close-Out Amount, Margining Procedure, Netting Rules, Hybrid Products, Correlation, Risk Neutral Valuation, Default Risk, Interest Rate Models, Default Intensity Models
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4.
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Credit Risk Modeling with Misreporting and Incomplete Information
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Show Abstracts |
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Versions (2)
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Capponi, Agostino
Purdue University - School of Industrial Engineering Cvitanic, Jaksa
California Institute of Technology - Division of the Humanities and Social Sciences
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Posted:
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19 Dec 08
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Last Revised:
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14 Feb 10
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211
(70,758)
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Capponi, Agostino
Purdue University - School of Industrial Engineering Cvitanic, Jaksa
California Institute of Technology - Division of the Humanities and Social Sciences
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0
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Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat, structural models
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Capponi, Agostino
Purdue University - School of Industrial Engineering Cvitanic, Jaksa
California Institute of Technology - Division of the Humanities and Social Sciences
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19 Dec 08
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Last Revised:
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08 Feb 09
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211
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Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat
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5.
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Capponi, Agostino
Purdue University - School of Industrial Engineering Larsson, Martin
Cornell University - School of Operations Research and Industrial Engineering
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70
(169,323)
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contagion, systemic risk, default risk, equilibrium
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6.
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Capponi, Agostino
Purdue University - School of Industrial Engineering
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57
(188,555)
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counterparty risk, systemic risk, default contagion, credit valuation adjustment
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7.
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Capponi, Agostino
Purdue University - School of Industrial Engineering Pagliarani, Stefano
University of Padua - Department of Pure and Applied Mathematics Vargiolu, Tiziano
University of Padua - Department of Pure and Applied Mathematics
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22
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default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function
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Records 1 -
7
of 7 matches
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