Tomasz R. Bielecki

Illinois Institute of Technology

Department of Applied Mathematics

10 W. 32nd Street

Chicago, IL 60616

United States

  • Illinois Institute of Technology

    • Email
    • Tel: 312 567 3185
    • Fax: 312 567 3135
SCHOLARLY PAPERS

5

DOWNLOADS

638

SSRN CITATIONS
Rank 18,380

SSRN RANKINGS

Top 18,380

in Total Papers Citations

15

CROSSREF CITATIONS

62

Scholarly Papers (5)

Actions:
Email selected abstracts
1.

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Number of pages: 24 Posted: 15 Oct 2012 Last Revised: 07 Apr 2013
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey and Alexander Herbertsson
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 268 (219,534)
Citation 4

Abstract:

Loading...

Portfolio Credit Risk, Markov Copula Model, Common Shocks, Stochastic Spreads, Random Recoveries

2.

A Bottom-Up Dynamic Model of Portfolio Credit Risk; Part I: Markov Copula Perspective

Number of pages: 22 Posted: 18 May 2011 Last Revised: 07 Apr 2013
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey and Alexander Herbertsson
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 213 (277,829)
Citation 9

Abstract:

Loading...

Portfolio Credit Risk, Credit Derivatives, Markov Copula Model, Common Shocks, Dynamic Hedging

3.

A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Number of pages: 20 Posted: 06 Apr 2013
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey and Alexander Herbertsson
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 157 (359,681)
Citation 3

Abstract:

Loading...

Portfolio credit risk, Basket credit derivatives, Markov copula model, Common shocks, Pricing, Calibration, Min-variance hedging

4.

Risk Sensitive Icapm, with Application to Fixed Income Management

IEEE Transactions on Automatic Control, Vol. 49, No. 3, pp. 420-432, March 2004
Posted: 02 May 2005
Tomasz R. Bielecki and Stanley R. Pliska
Illinois Institute of Technology and University of Illinois at Chicago - Department of Finance

Abstract:

Loading...

risk sensitive control, optimal portfolios, fixed income management,

5.

Risk Sensitive Asset Management with Transaction Costs

Posted: 23 Feb 2000
Tomasz R. Bielecki and Stanley R. Pliska
Illinois Institute of Technology and University of Illinois at Chicago - Department of Finance

Abstract:

Loading...