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Matteo Barbagli

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First Name:Matteo
Middle Name:
Last Name:Barbagli
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RePEc Short-ID:pba1841
[This author has chosen not to make the email address public]
https://www.linkedin.com/in/matteobarbagli/

Affiliation

Louvain Finance
Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM)
Université Catholique de Louvain

Louvain-la-Neuve, Belgium
https://uclouvain.be/en/research-institutes/lidam/lfin
RePEc:edi:lfuclbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
  2. Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," LIDAM Reprints LFIN 2023009, Université catholique de Louvain, Louvain Finance (LFIN).
  3. Barbagli, Matteo & Vrins, Frédéric, 2021. "Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default," LIDAM Discussion Papers LFIN 2021009, Université catholique de Louvain, Louvain Finance (LFIN).

Articles

  1. Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," Economic Modelling, Elsevier, vol. 125(C).

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