All Posts By

Francesco Pierangeli

Francesco Pierangeli
1
Research Papers
April 19, 2017

Constant Maturity Credit Default SWAP Pricing With Market Models

Abstract In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options…
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Francesco Pierangeli
2
Research Papers
April 19, 2017

Counterparty Risk FAQ: Credit VAR, PFE, CVA, DVA, Closout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS And Margin Lending

Abstract We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future Exposure (PFE), Expected Exposure (EE), Expected…
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Francesco Pierangeli
1
Research Papers
April 19, 2017

Impact Of Multiple Curve Dynamics In Credit Valuation Adjustments Under Collateralization

Abstract We present a detailed analysis of interest rate derivatives valuation undercredit risk and collateral modeling. We show how the credit and collateral extendedvaluation framework…
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Francesco Pierangeli
1
Research Papers
April 19, 2017

Extrinsic Projection Of ITO SDES On Submanifolds With Applications To Nonlinear Ltering

Abstract We define the notion of the extrinsic Itˆo projection of astochastic differential equation (SDE) on a submanifold. This allows oneto systematically develop low dimensional…
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Francesco Pierangeli
2
Research Papers
April 19, 2017

Restructuring Counterparty Credit Risk

Abstract We introduce an innovative theoretical framework to model derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the…
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Francesco Pierangeli
1
Research Papers
April 18, 2017

Core-Periphery Structure In The Overnight Money Market: Evidence From the E-Mid Trading Platform

Abstract We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December…
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Francesco Pierangeli
1
Research Papers
April 18, 2017

Network Approaches To Interbank Markets: Foreword

Abstract The 2007-2009 global financial crisis has brought to the fore the importance of the network of claims and liabilities emanating from the close ties…
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Francesco Pierangeli
2
Research Papers
April 18, 2017

Has The Banking System Become More Homogenous? Evidence From Banks’ Loans Portfolios

Abstract Have banks become more similar? In this paper we test this hypothesis using data on Japanese banks’ loan portfolios over the period 1996 –…
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Francesco Pierangeli
1
Research Papers
April 18, 2017

Are Specialists ‘Special’? The Case Of Institutional Investors

Abstract Are specialists ‘special’? We answer this question using data on the stock portfolios of U.S. institutional investors for the period 1990-2014. Our main findings…
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Francesco Pierangeli
2
Research Papers
April 18, 2017

Community Analysis Of Global Financial Markets

Abstract We analyze the daily returns of stock market indices and currencies of 56 countries over the period of 2002–2012. We build a network model…
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