Matteo Bissiri

Cassa Depositi e Prestiti S.p.A.

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

308

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Modeling Behavioral Risk

Number of pages: 52 Posted: 13 Nov 2014
Matteo Bissiri and Riccardo Cogo
Cassa Depositi e Prestiti S.p.A. and Cassa Depositi e Prestiti S.p.A.
Downloads 203 (178,287)

Abstract:

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behavioral risk, prepayment, mortgage, MBS, RMBS, credit risk, embedded option

2.

Behavioral Value Adjustments

Number of pages: 45 Posted: 28 Mar 2017
Matteo Bissiri and Riccardo Cogo
Cassa Depositi e Prestiti S.p.A. and Cassa Depositi e Prestiti S.p.A.
Downloads 105 (302,815)

Abstract:

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behavioral risk, prepayment mortgage, MBS. RMBS, XVA, CVA, KVA, credit risk, embedded option, OAS, IRRBB, Basel