Mirela Predescu

BNP Paribas, London

10 Harewood Avenue

London, NW1 6AA

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
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SSRN RANKINGS

Top 8,747

in Total Papers Downloads

4,230

CITATIONS
Rank 2,746

SSRN RANKINGS

Top 2,746

in Total Papers Citations

203

Scholarly Papers (7)

1.

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 1,123 (12,464)
Citation 11

Abstract:

Credit derivatives, correlation, structural model, CDO, valuation

2.

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 1,057 (8,605)
Citation 24

Abstract:

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

3.

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 483 (25,556)
Citation 165

Abstract:

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
Downloads 434 (47,107)
Citation 3

Abstract:

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 BNP Paribas, London
Downloads 217 (96,784)

Abstract:

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

6.

Default Risk Charge: Modeling Framework for the 'Basel' Risk Measure

Journal of Risk, Vol. 19, No. 4, 2017, pp. 23-50.
Posted: 02 Aug 2015 Last Revised: 31 Mar 2017
Sascha Wilkens and Mirela Predescu
BNP Paribas, London and BNP Paribas, London

Abstract:

Banking Regulation; Risk Modeling; Market Risk; Fundamental Review of the Trading Book; Default Risk Charge

7.

Default Risk Charge: Modeling Framework for the 'Basel' Risk Measure

Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 28 Posted: 30 Mar 2017
Sascha Wilkens and Mirela Predescu
BNP Paribas, London and BNP Paribas, London
Downloads 0 (527,910)

Abstract:

banking regulation, risk modeling, market risk, Fundamental Review of the TradingBook (FRTB), default risk charge (DRC)