Access Statistics for Damiano Brigo

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Stochastic Processes Toolkit for Risk Management 0 0 1 72 0 0 3 184
An analytically tractable time-changed jump-diffusion default intensity model 0 0 4 45 0 0 5 128
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model 0 0 0 27 0 0 2 115
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model 0 0 0 24 0 0 1 120
An indifference approach to the cost of capital constraints: KVA and beyond 0 0 0 7 0 2 3 31
An initial approach to Risk Management of Funding Costs 0 0 1 9 0 0 2 17
Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis 0 0 1 29 0 0 3 99
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations 0 0 0 145 0 0 3 360
Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps 0 0 0 50 0 0 3 214
CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach 0 0 2 22 0 0 3 62
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? 0 0 0 22 43 43 45 132
CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models 0 0 3 90 0 0 4 185
Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting 0 0 0 42 0 1 4 121
Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization 0 0 0 7 0 0 0 26
Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas 0 0 0 12 0 0 1 59
Constant Maturity Credit Default Swap Pricing with Market Models 0 0 0 41 0 0 4 156
Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending 0 1 4 868 1 8 30 2,658
Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation 0 0 2 55 0 0 3 154
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk 0 0 1 54 0 0 8 184
Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model 0 0 0 51 0 0 2 172
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model 0 0 0 91 0 0 3 269
Credit Default Swaps Liquidity modeling: A survey 0 0 0 214 0 0 4 525
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model 0 1 1 67 0 1 5 235
Credit models and the crisis, or: how I learned to stop worrying and love the CDOs 0 0 0 126 0 0 3 254
Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions 0 0 0 49 0 0 0 110
Deep learning interpretability for rough volatility 0 0 0 0 0 0 6 6
Default correlation, cluster dynamics and single names: The GPCL dynamical loss model 0 0 0 17 0 0 2 75
Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing 0 0 0 30 0 0 3 138
Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures 0 0 0 0 0 0 0 30
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment 0 1 1 14 0 1 2 35
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 0 0 0 0 1 4 20
Forecasting recovery rates on non-performing loans with machine learning 0 0 0 0 0 3 6 28
Forecasting recovery rates on non-performing loans with machine learning 0 0 1 31 0 0 3 44
Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation 1 1 1 216 121 244 387 1,074
Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments 1 2 2 27 2 4 5 138
Funding, repo and credit inclusive valuation as modified option pricing 0 0 0 14 0 0 1 41
Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting 0 0 0 16 2 2 5 86
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization 0 0 0 6 0 0 0 27
Impact of the first to default time on Bilateral CVA 0 0 0 63 1 1 2 165
Inflation securities valuation with macroeconomic-based no-arbitrage dynamics 0 0 0 41 1 2 5 67
Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs 0 0 0 32 0 0 1 74
Interpretability in deep learning for finance: a case study for the Heston model 0 0 1 38 1 1 8 54
Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs 0 0 0 12 0 1 2 38
Liquidity-adjusted Market Risk Measures with Stochastic Holding Period 0 0 0 32 0 0 2 97
Mechanics of good trade execution in the framework of linear temporary market impact 0 0 0 0 0 0 0 19
Mild to classical solutions for XVA equations under stochastic volatility 0 0 0 2 0 0 4 10
Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps 0 1 4 18 1 3 8 58
Non-average price impact in order-driven markets 0 0 1 8 0 0 4 17
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes 0 0 0 22 0 1 2 66
On the consistency of jump-diffusion dynamics for FX rates under inversion 0 0 0 3 1 1 4 23
On three filtering problems arising in mathematical finance 0 0 0 29 0 0 2 84
Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions 0 0 0 5 0 0 0 23
Optimizing S-shaped utility and implications for risk management 0 0 5 25 1 1 10 41
Option pricing models without probability: a rough paths approach 0 0 1 23 0 1 6 71
Price Impact on Term Structure 0 0 0 5 0 1 2 13
Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility 0 0 1 15 0 2 6 45
Restructuring Counterparty Credit Risk 0 0 0 31 0 0 2 122
Restructuring counterparty credit risk 0 0 1 77 0 0 7 164
Risk-neutral valuation under differential funding costs, defaults and collateralization 0 0 1 14 0 0 4 37
SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 2 10
SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions 0 0 0 7 0 0 2 37
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 0 0 0 0 0 9
Static vs Adaptive Strategies for Optimal Execution with Signals 0 1 1 1 1 2 3 37
Static vs adapted optimal execution strategies in two benchmark trading models 0 0 0 7 1 2 4 35
The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew 0 0 0 15 0 0 0 19
The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles 0 1 1 4 0 2 3 38
The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation 0 0 0 13 0 0 4 81
The importance of dynamic risk constraints for limited liability operators 0 0 0 6 0 1 2 18
The ineffectiveness of coherent risk measures 0 0 1 15 0 1 4 41
Total Working Papers 2 9 43 3,153 177 333 673 9,925


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING 0 0 0 18 0 0 3 60
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models 1 2 5 715 2 6 24 2,126
A dynamic programming approach for pricing CDS and CDS options 0 0 0 50 1 1 2 179
A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models 0 0 1 9 1 1 9 31
A stochastic processes toolkit for risk management: Mean reverting processes and jumps 0 0 1 1 0 1 4 4
ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS 0 1 2 32 0 3 7 95
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS 0 0 0 3 0 1 4 28
Alternative asset-price dynamics and volatility smile 0 0 3 27 0 0 11 92
Analytical pricing of the smile in a forward LIBOR market model 0 0 2 18 0 0 6 55
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES 0 0 1 4 0 1 4 16
COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS 0 0 1 28 0 0 3 69
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION 0 0 0 9 0 1 1 45
COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES 0 0 0 9 0 0 0 27
Coherent risk measures alone are ineffective in constraining portfolio losses 0 0 0 2 1 2 3 13
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model 0 0 1 136 0 0 3 456
Credit models and the crisis: An overview 0 0 1 2 0 0 2 4
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures 0 2 4 17 1 3 7 72
Efficient pricing of default risk: Different approaches for a single goal 0 0 0 0 0 0 5 109
Forecasting recovery rates on non-performing loans with machine learning 1 2 7 30 3 7 24 142
Guest Editorial 0 0 0 0 0 0 0 0
Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities 0 0 0 0 3 12 25 448
Impact of multiple curve dynamics in credit valuation adjustments under collateralization 0 0 0 6 0 0 1 21
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES 0 2 6 36 0 3 11 108
MULTI-CURRENCY CREDIT DEFAULT SWAPS 0 0 0 7 3 7 21 98
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law 0 0 0 3 0 0 0 20
Mechanics of good trade execution in the framework of linear temporary market impact 0 0 0 0 0 0 12 22
Nonlinear Valuation with XVAs: Two Converging Approaches 0 0 0 3 0 0 0 10
Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks 0 1 2 32 1 3 7 88
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement 1 1 2 25 1 1 7 65
On SDEs with marginal laws evolving in finite-dimensional exponential families 0 0 0 16 1 1 2 59
On some filtering problems arising in mathematical finance 0 0 1 83 0 0 2 180
On the consistency of jump-diffusion dynamics for FX rates under inversion 0 0 0 1 0 0 3 12
On the design of sovereign bond-backed securities 0 0 0 0 1 1 4 6
On the distributional distance between the lognormal LIBOR and swap market models 0 2 2 61 0 2 3 197
Optimal trade execution under displaced diffusions dynamics across different risk criteria 0 0 0 3 0 0 3 22
Optimal trading: The importance of being adaptive 0 0 0 2 0 1 7 18
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices 0 0 0 128 0 0 2 775
Option pricing models without probability: a rough paths approach 1 1 3 4 1 1 4 14
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK 0 0 3 16 0 5 15 57
Price Impact Without Averaging 0 0 1 3 0 0 4 9
Price impact on term structure 0 0 0 0 0 0 2 3
RESTRUCTURING COUNTERPARTY CREDIT RISK 0 0 0 3 0 1 1 45
Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility 0 2 7 32 0 5 14 111
Risk-neutral versus objective loss distribution and CDO tranche valuation 0 0 0 0 0 0 2 2
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions 0 0 1 4 0 0 3 12
THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION 0 0 1 6 0 0 4 20
The LIBOR model dynamics: Approximations, calibration and diagnostics 0 1 1 167 1 2 2 267
The importance of dynamic risk constraints for limited liability operators 0 0 0 0 0 2 5 6
The multivariate mixture dynamics model: shifted dynamics and correlation skew 0 0 0 2 0 1 5 20
The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles 0 0 2 4 0 0 4 16
Total Journal Articles 4 17 61 1,757 21 75 297 6,354


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES 0 0 2 4 0 0 5 9
Consistent Iterated Simulation of Multivariate Defaults: Markov Indicators, Lack of Memory, Extreme-Value Copulas, and the Marshall–Olkin Distribution 0 0 0 1 0 0 2 12
Examples of Wrong-Way Risk in CVA Induced by Devaluations on Default 0 1 2 3 0 1 4 11
Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility 0 0 0 1 0 2 7 16
Static Versus Adapted Optimal Execution Strategies in Two Benchmark Trading Models 0 0 0 1 0 0 0 7
Wrong-Way Risk Adjusted Exposure: Analytical Approximations for Options in Default Intensity Models 0 0 1 9 0 0 2 26
Total Chapters 0 1 5 19 0 3 20 81


Statistics updated 2025-07-04