Damiano Brigo

Imperial College London - Department of Mathematics

Professor and co-Head of Group

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

http://www.imperial.ac.uk/people/damiano.brigo

  • Imperial College London - Department of Mathematics

SCHOLARLY PAPERS

72

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69,911

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Top 3,487

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741

Scholarly Papers (72)

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1.

Impact of Robotics, RPA and AI on the Insurance Industry: Challenges and Opportunities

Journal of Financial Perspectives, Vol. 4, No. 1, May 2017
Number of pages: 13 Posted: 01 Dec 2017
Chris Lamberton, Damiano Brigo and Dave Hoy
Ernst & Young LLP, Imperial College London - Department of Mathematics and Ernst & Young LLP - United Kingdom
Downloads 8,354 (1,578)
Citation 2

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2.

A Stochastic Processes Toolkit for Risk Management

Number of pages: 43 Posted: 19 Mar 2008 Last Revised: 05 Oct 2008
Damiano Brigo, Antonio Dalessandro, Antonio Dalessandro, Matthias Neugebauer and Fares Triki
Imperial College London - Department of Mathematics, University College LondonUBS AG, Fitch Ratings Inc. and Paris School of Economics, Pantheon Sorbonne University
Downloads 6,997 (2,122)
Citation 20

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Risk Management, Stochastic Processes, Maximum Likelihood Estimation, Fat Tails, Mean Reversion, Monte Carlo Simulation

3.

Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending

Number of pages: 57 Posted: 05 Nov 2011 Last Revised: 18 Jun 2012
Damiano Brigo
Imperial College London - Department of Mathematics
Downloads 4,845 (4,008)
Citation 11

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Counterparty Risk, Credit Risk, Credit VaR, Exposure, Credit Valuation Adjustment, Debit Valuation Adjustment, Closeout, Netting, Collateral, Re-hypothecation, Wrong Way Risk, Base lII, Funding Costs, CCDS, Margin Lending

4.

A Formula for Interest Rate Swaps Valuation Under Counterparty Risk in Presence of Netting Agreements

Number of pages: 31 Posted: 09 May 2005
Damiano Brigo and Massimo Masetti
Imperial College London - Department of Mathematics and Royal Bank of Scotland (RBS)
Downloads 3,911 (5,705)
Citation 10

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Interest Rate Swap, Counterparty Risk Pricing, Netting Agreements, Analytical Tractability, Simulation, Libor Model

5.

An Empirically Efficient Analytical Cascade Calibration of the Libor Market Model Based Only on Directly Quoted Swaptions Data

Number of pages: 45 Posted: 02 Jun 2004
Damiano Brigo and Massimo Morini
Imperial College London - Department of Mathematics and Algorand Foundation
Downloads 2,618 (10,876)
Citation 3

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Libor Market Model, swaptions, calibration, cascade calibration

6.

Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default

Number of pages: 19 Posted: 23 Aug 2006 Last Revised: 31 Mar 2008
Damiano Brigo and Andrea Pallavicini
Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 2,189 (14,489)
Citation 29

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counterparty risk, contingent credit default swap, hybrid products, interest-rate default correlation, risk-neutral valuation, default risk, interest-rate models, default intensity models

7.

Arbitrage-Free Pricing of Credit Index Options: The No-Armageddon Pricing Measure and the Role of Correlation after the Subprime Crisis

Number of pages: 25 Posted: 03 Jan 2008 Last Revised: 22 Jun 2016
Damiano Brigo and Massimo Morini
Imperial College London - Department of Mathematics and Algorand Foundation
Downloads 1,992 (16,838)
Citation 1

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credit option, subprime, correlation, market models, arbitrage

8.

Approximated Moment-Matching Dynamics for Basket-Options Simulation

Number of pages: 39 Posted: 29 Apr 2001
Damiano Brigo, Fabio Mercurio, Francesco Rapisarda and Rita Scotti
Imperial College London - Department of Mathematics, Bloomberg L.P., Bloomberg L.P. and affiliation not provided to SSRN
Downloads 1,638 (22,834)
Citation 6

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9.

Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model

Number of pages: 36 Posted: 25 Aug 2004
Damiano Brigo and Marco Tarenghi
Imperial College London - Department of Mathematics and Mediobanca
Downloads 1,483 (26,522)
Citation 27

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Credit Derivatives, Structural Models, Black Cox Model, Credit Default Swaps, Calibration, Analytical Tractability, Monte Carlo Simulation, Equity Swaps, Counterparty Risk, Barrier Options

10.

Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation

Number of pages: 23 Posted: 07 Dec 2011
Andrea Pallavicini, Daniele Perini and Damiano Brigo
Intesa Sanpaolo, Mediobanca and Imperial College London - Department of Mathematics
Downloads 1,462 (27,110)
Citation 52

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funding cost, cost of funding, bilateral counterparty risk, credit valuation adjustment, debt valuation adjustment, collateral modeling, margining cost, close-out, re-hypothecation, default correlation

11.

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Downloads 1,449 (27,494)
Citation 33

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Number of pages: 19 Posted: 19 May 2008 Last Revised: 05 Oct 2008
Damiano Brigo and Kyriakos Chourdakis
Imperial College London - Department of Mathematics and FitchSolutions
Downloads 1,449 (27,015)
Citation 33

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Counterparty Risk, Credit Valuation adjustment, Credit Default Swaps, Contingent Credit Default Swaps, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Copula Functions, Wrong Way Risk

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1007-1026, 2009
Posted: 01 Dec 2009
Damiano Brigo and Kyriakos Chourdakis
Imperial College London - Department of Mathematics and University of Essex - Centre for Computational Finance and Economic Agents

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Counterparty risk, credit valuation adjustment, Credit Default Swaps, contingent credit default swaps, credit spread volatility, default correlation, stochastic intensity, copula functions, wrong way risk

12.

Candidate Market Models and the Calibrated Cir++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters

Number of pages: 35 Posted: 28 Feb 2004
Damiano Brigo
Imperial College London - Department of Mathematics
Downloads 1,357 (30,277)
Citation 13

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Credit Default Swaps, CDS Options, Callable Defaultable Floaters, CIR++ model, CDS options market models, CDS Calibration, Stochastic Intensity Models

13.

Implied Correlation in CDO Tranches: A Paradigm to be Handled with Care

Number of pages: 9 Posted: 25 Nov 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Università degli Studi di Milano, Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 1,352 (30,447)
Citation 8

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Implied Correlation, Base Correlation, Compound Correlation, Expected Tranche Loss, DJ iTraxx, CDX, CDO Tranche, Back-Test, No-Arbitrage Conditions

14.

Constant Maturity Credit Default Swap Pricing with Market Models

Number of pages: 24 Posted: 03 Jan 2005
Damiano Brigo
Imperial College London - Department of Mathematics
Downloads 1,341 (30,838)
Citation 7

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CDS Options, CDS Options Market Model, Constant Maturity CDS, Convexity Adjustment, Participation Rate, CDS rates volatility, CDS rates correlation

15.

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Number of pages: 32 Posted: 19 Dec 2008 Last Revised: 19 Nov 2009
Damiano Brigo and Agostino Capponi
Imperial College London - Department of Mathematics and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 1,279 (33,021)
Citation 69

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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

16.

Interpretability in deep learning for finance: a case study for the Heston model

Number of pages: 37 Posted: 20 Apr 2021
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini and Haitz Sáez de Ocáriz Borde
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics, Intesa Sanpaolo and Imperial College London
Downloads 1,236 (34,678)
Citation 3

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Volatility Smile, Smile parameters, Option Pricing, Heston model, Stochastic Volatility, Deep Learning, Interpretability Models, Surrogate Models, Shapley Values

17.

Charting a Course through the CDS Big Bang

Number of pages: 15 Posted: 09 Apr 2009 Last Revised: 02 Oct 2009
Johan G. B. Beumee, Damiano Brigo, Daniel Schiemert and Gareth Stoyle
JODE GROUP LTD, Imperial College London - Department of Mathematics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 1,232 (34,841)
Citation 12

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Credit Default Swap, Upfront Credit Default Swap, Running Credit Default Swap, Hazard Rates, Conversion Running Upfront

18.

On Deterministic Shift Extensions of Short Rate Models

Number of pages: 25 Posted: 30 Nov 2001
Damiano Brigo and Fabio Mercurio
Imperial College London - Department of Mathematics and Bloomberg L.P.
Downloads 1,226 (35,044)
Citation 10

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Short-rate models, Analytical tractability, Yield-Curve fitting, Vasicek's model, Dothan's model, Cox-Ingersoll-Ross' model, Longstaff and Schwartz's model, Monte Carlo evaluation

19.

Lognormal-Mixture Dynamics and Calibration to Volatility Smiles and Skews

Number of pages: 21 Posted: 11 Jul 2001
Damiano Brigo, Gianvittorio Mauri and Fabio Mercurio
Imperial College London - Department of Mathematics, Banca IMI and Bloomberg L.P.
Downloads 1,171 (37,450)
Citation 11

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20.

Risk Neutral Versus Objective Loss Distribution and CDO Tranches Valuation

Number of pages: 15 Posted: 14 May 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Università degli Studi di Milano, Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 1,150 (38,445)
Citation 11

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Default Rate distribution, CDO, CDO tranches, Perfect Copula, Transition Matrices, Rating Classes, Risk Premium, Recovery Rate

21.

CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-Hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?

Number of pages: 56 Posted: 01 Dec 2013 Last Revised: 10 Dec 2013
Damiano Brigo and Andrea Pallavicini
Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 1,117 (40,164)
Citation 2

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CCPs, Central Clearing, CSA, Credit Risk, Collateral, Funding Costs Valuation, Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial Margin, Variation Margin, Multiple Discount Curves, FVA

22.

Credit Models and the Crisis, or: How I Learned to Stop Worrying and Love the CDOs

Number of pages: 66 Posted: 31 Dec 2009 Last Revised: 18 Feb 2010
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Intesa Sanpaolo and Università degli Studi di Milano
Downloads 1,089 (41,701)
Citation 5

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Credit Crisis, Credit Derivatives, Gaussian Copula Model, Implied Correlation, Base Correlation, Compound Correlation, Implied Copula, Dynamic Loss Model, GPL Model, Arbitrage Free Models, Collateralized Debt Obligations, DJi-Traxx and CDX Tranches, CDO Tranche Calibration

23.

Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments

Number of pages: 38 Posted: 14 Oct 2012 Last Revised: 12 Dec 2012
Andrea Pallavicini, Daniele Perini and Damiano Brigo
Intesa Sanpaolo, Mediobanca and Imperial College London - Department of Mathematics
Downloads 994 (47,423)
Citation 40

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Funding Cost, Cost of Funding, Bilateral Counterparty Risk, Credit Valuation Adjustment, Debit Valuation Adjustment, Collateral Modeling, Margining Cost, Close-Out, Re-hypothecation, Default Correlation, Gap Risk, Central Counterparty

24.

Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Number of pages: 35 Posted: 11 May 2006 Last Revised: 30 Apr 2010
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Intesa Sanpaolo and Università degli Studi di Milano
Downloads 865 (57,447)
Citation 53

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Loss Distribution, Loss Dynamics, Calibration, CDO Tranches and Tranchelets, Generalized Poisson Processes, Gamma intensity, Spread Dynamics

25.

Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs

Number of pages: 25 Posted: 04 Apr 2013
Andrea Pallavicini and Damiano Brigo
Intesa Sanpaolo and Imperial College London - Department of Mathematics
Downloads 858 (58,099)
Citation 18

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Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Central Clearing Counterparties

26.

A Dynamic Programming Approach for Pricing CDS and CDS Options

Number of pages: 22 Posted: 06 May 2005
Eymen Errais, Hatem Ben Ameur and Damiano Brigo
Stanford University, HEC Montreal - Department of Management Sciences and Imperial College London - Department of Mathematics
Downloads 797 (64,202)

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Credit Derivatives, Credit Default Swaps, Bermudan Options, Dynamic Programming, Doubly Stochastic Process, Cox Process

27.

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 793 (64,734)
Citation 8

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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

28.

Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation

Number of pages: 21 Posted: 24 Jun 2008
Damiano Brigo, Kyriakos Chourdakis and Imane Bakkar
Imperial College London - Department of Mathematics, FitchSolutions and Fitch Ratings Inc. - FitchSolutions
Downloads 780 (66,048)
Citation 8

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Counterparty Risk, Credit Valuation adjustment, Commodities, Swaps, Oil models, Convenience Yield models, Stochastic Intensity models

29.

Forecasting Recovery Rates on Non-Performing Loans with Machine Learning

Credit Scoring and Credit Control Conference XVI
Number of pages: 29 Posted: 12 Aug 2019 Last Revised: 06 Sep 2019
Anthony Bellotti, Damiano Brigo, Paolo Gambetti and Frédéric D. Vrins
University of Nottingham Ningbo China, Imperial College London - Department of Mathematics, Louvain Finance Center (LFIN), UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 760 (68,329)
Citation 15

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Risk Management, Recovery Rate, Non-Performing Loans, Forecasting

30.

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 - Department of Industrial Engineering and Operations Research, Intesa Sanpaolo and Barclays Capital
Downloads 735 (71,477)
Citation 39

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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

31.

CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins Under Credit, Funding and Wrong-Way Risks: A Unified Valuation Approach

Number of pages: 52 Posted: 17 Jan 2014
Damiano Brigo and Andrea Pallavicini
Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 669 (80,555)
Citation 14

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Central Counterparty Clearing, Credit Support Annex, ISDA, Interest Rate Derivatives, Funding Costs, Bilateral Counterparty Risk, Credit Valuation Adjustment, CVA, Collateral Modeling, Initial Margin, Variation Margin, Close-Out, Re-hypothecation, Gap Risk, Margin Period of Risk, Backward Stochastic

32.

Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes

Veronesi, P. (Editor), Handbook in Fixed-Income Securities, Wiley, 2014
Number of pages: 28 Posted: 29 Apr 2014
Damiano Brigo, Qing Liu, Andrea Pallavicini and David Sloth
Imperial College London - Department of Mathematics, Imperial College London-Department of Mathematics, Intesa Sanpaolo and Danske Bank - Danske Markets
Downloads 617 (89,252)
Citation 2

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Credit Valuation Adjustment, Counterparty Credit Risk, Funding Valuation Adjustment, Funding Costs, Collateralization, Non-linearity Valuation Adjustment, Derivatives Pricing, CVA, DVA, LVA, FVA, NVA, Funding-DVA, semi-linear PDE, BSDE, Nonlinear Valuation, Nonlinear Feynman-Kac, Least-squares Monte

33.

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, Intesa Sanpaolo and Barclays Capital
Downloads 612 (90,229)
Citation 24

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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

34.

Dangers of Bilateral Counterparty Risk: The Fundamental Impact of Closeout Conventions

Number of pages: 24 Posted: 18 Nov 2010 Last Revised: 22 Feb 2011
Damiano Brigo and Massimo Morini
Imperial College London - Department of Mathematics and Algorand Foundation
Downloads 610 (90,593)
Citation 25

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Bilateral Counterparty Risk, Credit Valuation Adjustment, Debit Valuation Adjustment, Closeout, Default Contagion, Bond Pricing, Default Correlation, Co-monotonic Defaults, Collateral Modeling

35.

Discrete Time vs Continuous Time Stock-Price Dynamics and Implications for Option Pricing

Number of pages: 19 Posted: 30 Nov 2001
Damiano Brigo and Fabio Mercurio
Imperial College London - Department of Mathematics and Bloomberg L.P.
Downloads 585 (95,559)

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Stochastic Differential Equations, Fokker--Planck Equation, Exponential Families, Stock Price Models, Black and Scholes model, Option Pricing, Trading Time Grid, Delta-Markovianity, Market Incompleteness, Option replication error

36.

Credit Default Swaps Liquidity Modeling: A Survey

Number of pages: 36 Posted: 05 Mar 2010 Last Revised: 12 Sep 2011
Damiano Brigo, Mirela Predescu and Agostino Capponi
Imperial College London - Department of Mathematics, BNP Paribas, London and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 579 (96,840)
Citation 6

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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

37.

Implied Expected Tranched Loss Surface from CDO Data

Number of pages: 13 Posted: 28 Sep 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Università degli Studi di Milano, Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 569 (99,229)
Citation 17

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expected tranche loss, loss surface, implied correlation, CDO, tranches, interpolation

38.

A Comparison between the Stochastic Intensity Ssrd Model and the Market Model for CDS Options Pricing

Number of pages: 28 Posted: 16 Sep 2004
Damiano Brigo and Laurent Cousot
Imperial College London - Department of Mathematics and BNP Paribas
Downloads 552 (102,838)
Citation 10

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39.

Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting

Number of pages: 8 Posted: 10 Jul 2012 Last Revised: 17 Jul 2012
Damiano Brigo, Cristin Buescu, Andrea Pallavicini and Qing Liu
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Intesa Sanpaolo and Imperial College London-Department of Mathematics
Downloads 535 (107,695)

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Funding cost, cost of funding, funding and discounting, self-financing strategy, trading strategies, hedging

40.

The General Mixture Diffusion Sde and its Relationship with an Uncertain-Volatility Option Model with Volatility-Asset Decorrelation

Number of pages: 21 Posted: 03 Nov 2003
Damiano Brigo
Imperial College London - Department of Mathematics
Downloads 500 (116,055)

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Stochastic Differential Equations, Mixtures of Densities, Mixtures of Gaussians, Mixtures of Lognormals, Risk-Neutral Valuation, Option Pricing, Volatility-Underlying Correlation, Smile Modeling

41.

Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario Based First Passage Model

Number of pages: 22 Posted: 06 Apr 2005
Damiano Brigo and Marco Tarenghi
Imperial College London - Department of Mathematics and Mediobanca
Downloads 476 (123,121)
Citation 13

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Credit Derivatives, Structural Models, Black Cox Model, Credit Default Swaps, Calibration, Analytical Tractability, Monte Carlo Simulation, Equity Return Swaps, Counterparty Risk, Barrier Options, Scenario Default Barrier, Scenario Volatility

42.

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Number of pages: 22 Posted: 08 Dec 2006
Damiano Brigo and Naoufel El-Bachir
Imperial College London - Department of Mathematics and University of Reading - ICMA Centre
Downloads 475 (123,439)
Citation 12

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Credit Derivatives, Credit Default Swap, Credit Default Swaption, Jump-Diffusion, Stochastic Intensity, Doubly Stochastic Poisson Process, Cox Process

43.

Restructuring Counterparty Credit Risk

Downloads 467 (125,913)
Citation 4

Restructuring Counterparty Credit Risk

Number of pages: 27 Posted: 07 Dec 2011 Last Revised: 24 Jun 2012
Claudio Albanese, Damiano Brigo and Frank Oertel
Global Valuation, Imperial College London - Department of Mathematics and The London School of Economics and Political Science (LSE)
Downloads 344 (176,937)
Citation 4

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Restructuring Counterparty Credit Risk

Bundesbank Discussion Paper No. 14/2013
Number of pages: 40 Posted: 21 Jun 2016
Claudio Albanese, Damiano Brigo and Frank Oertel
Global Valuation, Imperial College London - Department of Mathematics and The London School of Economics and Political Science (LSE)
Downloads 123 (465,446)

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counterparty credit risk, CVA, DVA, margin lending, securitisation, Basel III, CCP, clearing, collateral, OTC

44.

Credit Calibration with Structural Models: The Lehman Case and Equity Swaps Under Counterparty Risk

Number of pages: 21 Posted: 04 Jan 2010
Damiano Brigo, Massimo Morini and Marco Tarenghi
Imperial College London - Department of Mathematics, Algorand Foundation and Mediobanca
Downloads 461 (127,938)
Citation 5

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Credit Default Swaps, Structural Models, Black Cox Model, Calibration, Analytical Tractability, Monte Carlo Simulation, Equity Return Swaps, Counterparty Risk, Barrier Options, Uncertain Credit Quality, Lehman Brothers Default

45.

Impact of the First to Default Time on Bilateral CVA

Number of pages: 14 Posted: 21 Jun 2011
Damiano Brigo, Cristin Buescu and Massimo Morini
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics and Algorand Foundation
Downloads 372 (163,707)
Citation 14

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Credit Valuation Adjustment, Unilateral CVA, Bilateral CVA, Simplified Bilateral CVA, Debit Valuation Adjustment, Closeout, Equity Forward Contract, Zero coupon bond, Bivariate exponential distributions, Gumbel bivariate exponential distributions

46.

Optimal Execution Comparison Across Risks and Dynamics, with Solutions for Displaced Diffusions

Number of pages: 21 Posted: 11 Apr 2013 Last Revised: 10 May 2014
Damiano Brigo and Giuseppe Di Graziano
Imperial College London - Department of Mathematics and Deutsche Bank AG
Downloads 352 (175,666)
Citation 2

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Optimal trade execution, Algorithmic trading, Displaced Diffusion, HJB equation, calculus of variations, risk measures, Value at Risk, Expected Shortfall, Squared-Asset Expectation, Market Impact

47.

Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period

Number of pages: 11 Posted: 21 Sep 2010 Last Revised: 22 Oct 2010
Damiano Brigo and Claudio Nordio
Imperial College London - Department of Mathematics and illimity bank
Downloads 303 (204,471)
Citation 3

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Liquidity Risk, Random Holding Period, Systemic Risk, Basel Agreement, Value at Risk, Expected Shortfall, Stochastic Holding Period, Variance Normal Mixture, Tail Dependence, Heavy Tailed Distributions

48.

Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model

Number of pages: 35 Posted: 14 Jan 2007
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Intesa Sanpaolo and Università degli Studi di Milano
Downloads 299 (207,383)
Citation 6

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Loss Distribution, Loss Dynamics, Single Name Default Dynamics, Cluster Default Dynamics, Calibration, Generalized Poisson Process, Stochastic Intensity, Spread Dynamics, Common Poisson Shock Models

49.

The Arbitrage-Free Multivariate Mixture Dynamics Model: Consistent Single-Assets and Index Volatility Smiles

Number of pages: 47 Posted: 01 Mar 2013 Last Revised: 24 Sep 2014
Damiano Brigo, Francesco Rapisarda and Abir Sridi
Imperial College London - Department of Mathematics, Bloomberg L.P. and Université Paris I Panthéon-Sorbonne
Downloads 289 (214,863)
Citation 2

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Mixture of densities, Volatility smile, Lognormal density, Multivariate local volatility, Complete Market, Option on a weighted Arithmetic average of a basket, Spread option, Option on a weighted geometric average of a basket, Markovian projection, Copula function

50.

Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

Number of pages: 28 Posted: 31 Jul 2015 Last Revised: 14 Sep 2015
Giacomo Bormetti, Damiano Brigo, Marco Francischello and Andrea Pallavicini
University of Pavia - Department of Economics and Management, Imperial College London - Department of Mathematics, Imperial College Business School and Intesa Sanpaolo
Downloads 288 (215,637)

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Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Collateral Modeling, Overnight Rates

51.

An Exact Formula for Default Swaptions' Pricing in the SSRJD Stochastic Intensity Model

ICMA Centre Discussion Papers in Finance No. 2007-14
Number of pages: 18 Posted: 14 Nov 2007
Damiano Brigo and Naoufel El-Bachir
Imperial College London - Department of Mathematics and University of Reading - ICMA Centre
Downloads 268 (231,967)
Citation 6

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Credit derivatives, Credit Default Swap, Credit Default Swaption, Jump-diffusion, Stochastic intensity, Doubly stochastic poisson process, Cox process, Semi-Analytic formula, Numerical integration

52.

Funding, Repo and Credit Inclusion in Option Pricing via Dividends

Number of pages: 13 Posted: 20 Feb 2016
Damiano Brigo, Cristin Buescu and Marek Rutkowski
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics and The University of Sydney - School of Mathematics and Statistics
Downloads 254 (244,888)

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Hedging, funding costs, counterparty risk, credit risk, re-purchase agreement, repo market, valuation adjustments, dividends

53.

Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs

Number of pages: 13 Posted: 02 Jun 2015 Last Revised: 28 Nov 2015
Damiano Brigo, Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College Business School and Intesa Sanpaolo
Downloads 231 (268,867)
Citation 17

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Counterparty Credit Risk, Funding Valuation Adjustment, Funding Costs, Collateralization, Non-linearity Valuation Adjustment, Nonlinear Valuation, Derivatives Valuation, semi-linear PDE, FBSDE, BSDE, Existence and Uniqueness of solutions, Viscosity Solutions

54.

Macroeconomic-Based No-Arbitrage Dynamics for Inflation Securities Valuation

Number of pages: 40 Posted: 31 Mar 2014 Last Revised: 17 Feb 2015
Damiano Brigo and Gabriele Sarais
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 219 (282,853)

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Inflation, Derivatives, DSGE Models, Monetary Macroeconomic Models, Calibration, Hull-White Model, Central Bank Policy, Risk-Neutral Valuation, Option Pricing, Taylor Rule, Inflation-Linked Securities, Stress Testing, Macro-Hedging

55.

Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models

Number of pages: 51 Posted: 21 Sep 2016
Damiano Brigo and Clément Piat
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 193 (318,229)
Citation 2

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Optimal Trade Execution, Optimal Scheduling, Algorithmic Trading, Calculus of Variations, Risk Measures, Value at Risk, Market Impact, Permanent Impact, Temporary Impact, Static Solutions, Adapted Solutions, Dynamic Programming

56.

Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization

Number of pages: 33 Posted: 07 Mar 2018
Damiano Brigo, Cristin Buescu, Marco Francischello, Andrea Pallavicini and Marek Rutkowski
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Imperial College Business School, Intesa Sanpaolo and The University of Sydney - School of Mathematics and Statistics
Downloads 188 (325,930)
Citation 7

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risk-neutral valuation, replication, funding costs, default, collateral

57.

Deep Learning Interpretability for Rough Volatility

Number of pages: 28 Posted: 04 Dec 2024
Bo Yuan, Damiano Brigo, Antoine (Jack) Jacquier and Nicola Pede
University of Cambridge - Cambridge Judge Business School, Imperial College London - Department of Mathematics, Imperial College London and Imperial College London - Department of Mathematics
Downloads 186 (329,106)

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rough volatility, deep learning, interpretability, Shapley values, surrogate models, option pricing

58.

The Capco Exit Probability Index (CEPIX): Methodology and History of an Index Expressing Euro Exit Likelihoods

Journal of Financial Transformation, No. 41, Forthcoming
Number of pages: 6 Posted: 26 Jun 2015
Tomasz Borkowski, Damiano Brigo and Michal Cieciorski
Capco, Imperial College London - Department of Mathematics and Capco
Downloads 166 (363,917)

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Sovereign Default, Eurozone, Euro Exit, Exit Probability, CEPIX Index, Market Implied Default Probability, Hazard Rate.

59.

The Multivariate Mixture Dynamics Model: Shifted Dynamics and Correlation Skew

Number of pages: 24 Posted: 16 Dec 2015 Last Revised: 09 Nov 2018
Damiano Brigo, Camilla Pisani and Francesco Rapisarda
Imperial College London - Department of Mathematics, Aarhus University - Department of Economics and Business Economics and Bloomberg L.P.
Downloads 160 (375,400)
Citation 1

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MVMD model, Mixture of densities, Multivariate local volatility, Correlation Skew, Random Correlation, Calibration, Cross exchange rates, FX smile, Index volatility smile, renminbi-USD smile, renminbi-EUR smile, CNY-USD smile, CNY-EUR smile, SCMD model

60.

On the Design of Sovereign Bond-Backed Securities

Number of pages: 29 Posted: 17 Dec 2019
Emilio Barucci, Damiano Brigo, Marco Francischello and Daniele Marazzina
Politecnico di Milano - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College Business School and Polytechnic University of Milan - Department of Mathematics
Downloads 151 (394,180)

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Sovereign bond-backed securities, tranches, diversification, Euro

61.

Disentangling Wrong-Way Risk: Pricing CVA via Change of Measures and Drift Adjustment

Number of pages: 29 Posted: 22 Apr 2019
Damiano Brigo and Frédéric D. Vrins
Imperial College London - Department of Mathematics and LFIN/LIDAM, UCLouvain
Downloads 145 (407,346)
Citation 10

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counterparty risk, CVA, wrong-way risk, stochastic intensity, jump-diffusions, change of measure, drift adjustment, wrong way measure

62.

Efficient Pricing of Default Risk: Different Approaches for a Single Goal

Journal of Financial Transformation, No. 13, March 2005, pp. 151-160.
Number of pages: 10 Posted: 17 Nov 2015
Damiano Brigo and Massimo Morini
Imperial College London - Department of Mathematics and Algorand Foundation
Downloads 141 (416,477)

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Credit Default Swaps, Default Risk, Credit Risk, Intensity Models, Firm Value Models

63.

Non-average price impact in order-driven markets

Number of pages: 29 Posted: 20 Jan 2022
Claudio Bellani, Damiano Brigo, Mikko Pakkanen and Leandro Sánchez-Betancourt
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Mathematical Institute, University of Oxford
Downloads 133 (436,129)

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market microstructure, price impact, Hawkes processes

64.

An Initial Approach to Risk Management of Funding Costs

Number of pages: 29 Posted: 10 Oct 2014 Last Revised: 15 Dec 2014
Damiano Brigo and Cyril Durand
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 130 (444,011)
Citation 1

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Credit valuation adjustment, CVA, Funding valuation adjustment, FVA, Funding risk adjustment, FRA, Funding risk credit valuation adjustment, FRCVA, Wrong way funding risk, Systemic funding risk, Interest rate swap, Weighted Cost of Funding Spread, WCFS, Term structure of funding costs, Funding loss

65.

Price Impact on Term Structure

Number of pages: 48 Posted: 03 Dec 2020
Damiano Brigo, Federico Graceffa and Eyal Neuman
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 128 (449,330)
Citation 1

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Price impact, term structure models, fixed-income market impact, cross impact, impacted risk-neutral measure, impacted yield curve, optimal execution, impacted bond price, impacted Eurodollar futures price

66.

Consistent Iterated Simulation of Multi-Variate Default Times: A Markovian Indicators Characterization

Number of pages: 24 Posted: 05 Jun 2013 Last Revised: 02 May 2014
Damiano Brigo, Jan-Frederik Mai and Matthias A. Scherer
Imperial College London - Department of Mathematics, Technische Universität München (TUM) - HVB Institute for Mathematical Finance and Technische Universität München (TUM)
Downloads 109 (507,441)
Citation 2

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Stepwise default simulation, default modeling, credit modeling, default dependence, default correlation, default simulation, arrival times, credit risk, Marshall-Olkin distribution, nested margining, Freund distribution, looping default models

67.

An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond

Number of pages: 15 Posted: 21 Aug 2017
Damiano Brigo, Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College Business School and Intesa Sanpaolo
Downloads 102 (532,125)
Citation 4

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KVA, Capital Constraints, Indifference Pricing, RAROC

68.

Consistent Single- and Multi-Step Sampling of Multivariate Arrival Times: A Characterization of Self-Chaining Copulas

Number of pages: 23 Posted: 29 Apr 2012
Damiano Brigo and Kyriakos Chourdakis
Imperial College London - Department of Mathematics and University of Essex - Centre for Computational Finance and Economic Agents
Downloads 90 (577,147)
Citation 5

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Dependence Modeling, Arrival Times, Sampling, Archimedean Copula, Gumbel-Hougaard Copula, Marshall-Olkin Copula, Self-Chaining Copula, Multi-Step Simulation, Extreme Value Copulas, Copula Iteration, Copula Chaining

69.

Optimizing S-Shaped Utility and Implications for Risk Management

Number of pages: 29 Posted: 07 Feb 2018
John Armstrong and Damiano Brigo
King’s College London and Imperial College London - Department of Mathematics
Downloads 85 (597,532)

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optimal product design under risk constraints, value at risk constraints, expected shortfall constraints, concave utility constraints, S-shaped utility maximization, limited liability investors, tail risk seeking investors, effective risk constraints, concave utility risk constraints

70.

Mechanics of Good Trade Execution in the Framework of Linear Temporary Market Impact

Number of pages: 31 Posted: 02 Oct 2019 Last Revised: 08 Jul 2020
Claudio Bellani and Damiano Brigo
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 84 (601,735)

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Trade execution, Market impact

71.

Mild to Classical Solutions for XVA Equations Under Stochastic Volatility

Number of pages: 39 Posted: 25 Feb 2022
Damiano Brigo, Federico Graceffa and Alexander Kalinin
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 68 (675,085)

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XVA, valuation, collateral, funding costs, default time, stochastic volatility, stochastic differential equation, mild solution, semilinear parabolic PDE

72.

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

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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