Roman Werpachowski

Independent

No Address Available

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

1.

Arbitrage-Free Rate Interpolation Scheme for Libor Market Model with Smooth Volatility Term Structure

Number of pages: 10 Posted: 24 Dec 2010 Last Revised: 29 Dec 2010
Roman Werpachowski
Independent
Downloads 400 (47,120)

Abstract:

LMM, BGM, rate interpolation, rate, interpolation ,Libor, volatility, volatility term structure

2.

Random Recovery for Both CDOs and First-to-Default Baskets

Number of pages: 16 Posted: 08 Sep 2009 Last Revised: 28 Jun 2011
Roman Werpachowski
Independent
Downloads 355 (60,438)

Abstract:

stochastic recovery, FtD, CDO, structured credit

3.

Accurate and Fast Integration Over the Market Factor in One-Factor Gaussian Copula CDO Model

Number of pages: 18 Posted: 14 Dec 2009 Last Revised: 11 Jan 2010
Roman Werpachowski
Independent
Downloads 266 (83,623)

Abstract:

CDO, Gaussian copula, structured credit

4.

Credit-IR-FX Hybrid Derivatives without Stochastic Hazard Rates

Number of pages: 16 Posted: 06 Dec 2012 Last Revised: 12 Dec 2012
Roman Werpachowski and Jerome Connor
Independent and Unicredit Bank AG
Downloads 191 (100,072)

Abstract:

hybrid credit jumps quanto CDS extinguisher CVA emerging

5.

Quasi-Markov Model for Extrapolating Observed Discrete Distributions

Number of pages: 10 Posted: 20 Mar 2014 Last Revised: 22 Sep 2014
Agnieszka Werpachowska and Roman Werpachowski
Independent and Independent
Downloads 52 (279,322)

Abstract:

Cohort study; Information theory; Markov model; Multinomial logistic regression; Repeated cross-sectional data