Matteo Barbagli

Assistant

SSH/LSM -- Louvain School of Management

SSH/IDAM -- Louvain Institute of Data Analysis and Modeling in economics and statistics (IDAM)

SSH/IDAM/LFIN -- Louvain Finance

Contact
Publications

Adresse postale

LSM
Place des Doyens 1/L2.01.01
1348 Louvain-la-Neuve

Courriel

matteo.barbagli@uclouvain.be

LSM -- Office: B.208

N° tél.

+32 10 47 84 49

Secrétariat

+32 10 47 83 26

JournalArticle

2023

Barbagli, Matteo ; Vrins, Frédéric. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. In: Economic Modelling, Vol. 125, p. 106321 (2023). doi:10.1016/j.econmod.2023.106321.

http://hdl.handle.net/2078.1/275625

Dissertation

2024

Barbagli, Matteo. Advances in credit risk management : extensions of the Basel ASRF framework and LGD empirical insights, prom. : Vrins, Frédéric, 24/09/2024.

http://hdl.handle.net/2078.1/292095

WorkingPaper

2024

Barbagli, Matteo ; François, Pascal ; Gauthier, Geneviève ; Vrins, Frédéric. The role of CDS spreads in explaining bond recovery rates (LIDAM Discussion Paper LFIN; 2024/02), 2024. 38 p.

http://hdl.handle.net/2078.1/285741

2021

Barbagli, Matteo ; Vrins, Frédéric. Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default (LIDAM Discussion Paper LFIN; 2021/09), 2021. 40 p.

http://hdl.handle.net/2078.1/250240