Vasileios Papatheodorou

Barclays Capital

London

United Kingdom

SCHOLARLY PAPERS

2

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SSRN CITATIONS
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Top 20,191

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3

CROSSREF CITATIONS

48

Scholarly Papers (2)

1.

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, Intesa Sanpaolo and Barclays Capital
Downloads 633 (54,109)
Citation 39

Abstract:

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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

2.

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 562 (62,867)
Citation 24

Abstract:

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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