Mirela Predescu

BNP Paribas, London

10 Harewood Avenue

London, NW1 6AA

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 12,044

SSRN RANKINGS

Top 12,044

in Total Papers Downloads

7,535

SSRN CITATIONS
Rank 8,885

SSRN RANKINGS

Top 8,885

in Total Papers Citations

161

CROSSREF CITATIONS

29

Scholarly Papers (6)

1.

Bond Prices, Default Probabilities and Risk Premiums

Number of pages: 11 Posted: 11 Nov 2012
John C. Hull, Mirela Predescu and Alan White
University of Toronto - Rotman School of Management, BNP Paribas, London and University of Toronto - Rotman School of Management
Downloads 3,497 (6,311)
Citation 32

Abstract:

Loading...

risk-neutral default probabilities, historical default probabilities, credit default swaps

2.

The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements

Rotman School of Management Working Paper No. 2173171
Number of pages: 38 Posted: 10 Nov 2012
Mirela Predescu, John C. Hull and Alan White
BNP Paribas, London, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,608 (21,519)
Citation 114

Abstract:

Loading...

3.

The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model

Number of pages: 36 Posted: 21 Mar 2005
John C. Hull, Mirela Predescu and Alan White
University of Toronto - Rotman School of Management, BNP Paribas, London and University of Toronto - Rotman School of Management
Downloads 1,493 (24,139)
Citation 39

Abstract:

Loading...

Credit derivatives, correlation, structural model, CDO, valuation

4.

Credit Default Swaps Liquidity Modeling: A Survey

Number of pages: 36 Posted: 05 Mar 2010 Last Revised: 12 Sep 2011
Damiano Brigo, Mirela Predescu and Agostino Capponi
Imperial College London - Department of Mathematics, BNP Paribas, London and Columbia University - Department of Industrial Engineering and Operations Research
Downloads 566 (91,320)
Citation 6

Abstract:

Loading...

Credit Default Swaps, Liquidity spread, Liquidity Premium, Credit Liquidity correlation, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis

5.

Mean-Reverting Jump Diffusion Processes: Drift Adjustment to Preserve a Fixed Long-Term Mean

Number of pages: 14 Posted: 10 Sep 2011 Last Revised: 08 Nov 2012
Mirela Predescu and Sascha Wilkens
BNP Paribas, London and Independent
Downloads 371 (151,940)
Citation 2

Abstract:

Loading...

mean reversion, jump diffusion, stochastic process, drift, Black-Karasinski

6.

Model Risk in the Fundamental Review of the Trading Book: The Case of the Default Risk Charge

Journal of Risk Model Validation, Vol. 12, No. 4, 2018, pp. 1-26
Posted: 16 Oct 2017 Last Revised: 28 Mar 2018
Sascha Wilkens and Mirela Predescu
Independent and BNP Paribas, London

Abstract:

Loading...

Banking Regulation, Market Risk, Model Risk, Fundamental Review of the Trading Book, Default Risk Charge