AMS Classification 62H20
"Measures of association (correlation, canonical correlation, etc.)"These are all the papers that have the " 62H20 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and funding value adjustments
by Antonio Castagna of iason Ltd.
(538K PDF) -- 30 pages -- March 20, 2013 Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
by Claudio Nordio of Banco Popolare, and
Lorenzo Giada of Banco Popolare
(175K PDF) -- 10 pages -- January 24, 2013 Funding, Collateral and Hedging: Uncovering the mechanics and the subtleties of funding valuation adjustments
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of Imperial College, London
(422K PDF) -- 38 pages -- December 13, 2012 Consistent Single- and Multi-step Sampling of Multivariate Arrival Times: A characterization of self-chaining copulas
by Damiano Brigo of King's College, London, and
Kyriakos Chourdakis of King's College, London
(215K PDF) -- 23 pages -- May 1, 2012 Funding Valuation Adjustment: A consistent framework including CVA, DVA, collateral, netting rules and re-hypothecation
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of King's College, London
(260K PDF) -- 23 pages -- December 12, 2011 A Hierarchical Model of Tail Dependent Asset Returns for Assessing Portfolio Credit Risk
by Natalia Puzanova of Deutsche Bundesbank
(711K PDF) -- 56 pages -- December 2011 Impact of the First to Default Time on Bilateral CVA
by Damiano Brigo of the King's College, London,
Cristin Buescu of the King's College, London, and
Massimo Morini of the Banca IMI & Bocconi University, Milan
(204K PDF) -- 14 pages -- June 20, 2011 Dangers of Bilateral Counterparty Risk: The fundamental impact of closeout conventions
by Damiano Brigo of the King's College, London, and
Massimo Morini of the Banca IMI
(561K PDF) -- 24 pages -- November 16, 2010 An Econometric Model to Quantify Benchmark Downturn LGD on Residential Mortgages
by Marco Morone of Intesa Sanpaolo, and
Marco Cornaglia of Intesa Sanpaolo
(499K PDF) -- 28 pages -- May 28, 2010 Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010 Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(213K PDF) -- 19 pages -- October 3, 2008 Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 2008 Copula Methods vs Canonical Multivariate Distributions: the multivariate Student T distribution with general degrees of freedom
by William T. Shaw of King's College London, and
K.T. Amber Lee of King's College London
(484K PDF) -- 25 pages -- April 24, 2007 Non-parametric Estimation of Elliptical Copulae With Application to Credit Risk
by Krassimir Kostadinov of the Munich University of Technology
(458K PDF) -- 37 pages -- April 10, 2005
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