Vasileios Papatheodorou

Barclays Capital

London

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 38,504

SSRN RANKINGS

Top 38,504

in Total Papers Downloads

1,118

SSRN CITATIONS
Rank 16,695

SSRN RANKINGS

Top 16,695

in Total Papers Citations

2

CROSSREF CITATIONS

46

Scholarly Papers (2)

1.

Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting

Number of pages: 39 Posted: 20 Jan 2011
Damiano Brigo, Agostino Capponi, Andrea Pallavicini and Vasileios Papatheodorou
Imperial College London - Department of Mathematics, Columbia University, Banca IMI and Barclays Capital
Downloads 577 (46,158)
Citation 34

Abstract:

Loading...

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

2.

Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations

Number of pages: 23 Posted: 17 Nov 2009 Last Revised: 04 Feb 2010
Damiano Brigo, Andrea Pallavicini and Vasileios Papatheodorou
Imperial College London - Department of Mathematics, Banca IMI and Barclays Capital
Downloads 541 (50,070)
Citation 20

Abstract:

Loading...

Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Interest Rate Swaps, Interest Rate Derivatives, Credit Valuation Adjustment, Bilateral Risk, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Short Rate Models, Copula Functions, Wrong Way Risk