Resources
BNET Resources
- sort by:
- Relevance
- Date
- Popularity
- Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk With a Tractable Structural Model
- Modelling firms default is becoming important, especially in recent times where the market is experiencing a large development in credit derivatives trading. This paper develops a tractable structural model with analytical default probabilities depending on some dynamics parameters, and shows how to calibrate the model using a chosen number of...
- White papers 2004-08-24
- Credit Default Swaps Calibration and Option Pricing With the SSRD Stochastic Intensity and Interest-Rate Model
- This paper introduces a two-dimensional shifted square-root diffusion SSRD model for interest rate derivatives and single-name credit derivatives, in a stochastic intensity framework. It discusses the impact of interest-rate and default-intensity correlation on calibration and pricing, and tests it by means of Monte Carlo simulation. It uses a variant of...
- White papers 2004-02-18
- Constant Maturity Credit Default Swap Pricing With Market Models
- This paper derives an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps CMCDS. It moves from the CDS options market model in Brigo (2004), and derives a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market...
- White papers 2004-12-23
Additional Resources
- Derivative Fitch Names Damiano Brigo Head of Global CDO Risk Modelling
- NEW YORK & LONDON -- Derivative Fitch has hired Damiano Brigo as a Managing Director to lead the rating agency's Global CDO risk modelling efforts as part of Fitch's Quantitative Financial Research QFR group. Mr. Brigo is based in London and will focus on Fitch's efforts regarding modeling of innovative...
- Research articles 2007-07-03
- << Previous
- page 1 of 1
- Next >>
Presented by American Express