Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models

By Damiano Brigo, Andrea Pallavicini, Roberto Torresetti. 2010

79 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/806d8b04e44f6ed184ed60d67fc9c6cf764fb860

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. St'ephane Cr'epey
2. Damiano Brigo
3. Tomasz R. Bielecki
4. Andrea Pallavicini
5. Massimo Morini
6. Agostino Capponi
7. Monique Jeanblanc
8. Rüdiger Frey

Citations in the corpus

• Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013, background): “A: Weren’t you the one complaining about the situation being already too complicated? But indeed, the modeling problems have been highlighted for example in [35].”
• Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “We refer the reader to Brigo, Pallavicini, and Torresetti (2010) for the notions of compound correlation and base correlation of a CDO tranche.”