Nicola Pede

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

371

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

Multi Currency Credit Default Swaps: Quanto Effects and FX Devaluation Jumps

Number of pages: 40 Posted: 16 Dec 2015 Last Revised: 22 Jan 2018
Damiano Brigo, Nicola Pede and Andrea Petrelli
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Credit Suisse Securities
Downloads 371 (79,332)
Citation 4

Abstract:

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Credit Default Swaps, Liquidity spread, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis, Devaluation jump, FX devaluation, Quanto Credit effects, Quanto CDS, Multi currency CDS

2.

Coco Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models

Posted: 27 Feb 2013
Damiano Brigo, Joao Garcia and Nicola Pede
Imperial College London - Department of Mathematics, Fitch Solutions and Imperial College London - Department of Mathematics

Abstract:

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Contingent Capital, CoCo Bonds, AT1P model, Firm Value Models, Credit Default Swap Calibration, Conversion Time, Default Time, Hybrid Credit-Equity Products, Basel III, Systemic Risk