Alexander Herbertsson

University of Gothenburg - Department of Economics/Centre for Finance

Box 640

Vasagatan 1, E-building, floor 5 & 6

Göteborg, 40530

Sweden

  • University of Gothenburg - Department of Economics/Centre for Finance

SCHOLARLY PAPERS

9

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18

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20

Scholarly Papers (9)

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1.

Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach

Number of pages: 31 Posted: 09 Feb 2007 Last Revised: 25 Jul 2008
Alexander Herbertsson
University of Gothenburg - Department of Economics/Centre for Finance
Downloads 639 (52,514)
Citation 9

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Credit risk, intensity-based models, CDO tranches, index CDS, k(th)-to-default swaps, dependence modelling, default contagion, Markov jump processes, Matrix-analytic methods

2.

Pricing kth-to-Default Swaps Under Default Contagion: The Matrix-Analytic Approach

Number of pages: 27 Posted: 09 Feb 2007
Alexander Herbertsson and Holger Rootzén
University of Gothenburg - Department of Economics/Centre for Finance and Chalmers University of Technology
Downloads 235 (164,021)
Citation 4

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Portfolio credit risk, intensity-based models, default dependence modelling, default contagion, CDS, kth-to-default swaps, Markov jump processes, Matrix-analytic methods

3.

Modelling Default Contagion Using Multivariate Phase-Type Distributions

Number of pages: 35 Posted: 20 Jun 2007
Alexander Herbertsson
University of Gothenburg - Department of Economics/Centre for Finance
Downloads 196 (194,425)
Citation 2

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Portfolio credit risk, intensity-based models, dynamic dependence modelling, CDS-correlation, default contagion, Markov jump processes, multivariate phase-type distributions, matrix-analytic methods

4.

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 193 (197,101)
Citation 4

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

5.

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 172 (218,096)
Citation 9

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

6.

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 126 (280,118)
Citation 3

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

7.

Pricing Basket Default Swaps in a Tractable Shot-Noise Model

Number of pages: 18 Posted: 15 Apr 2009 Last Revised: 12 Mar 2011
Alexander Herbertsson, Jiwook Jang and Thorsten Schmidt
University of Gothenburg - Department of Economics/Centre for Finance, Macquarie University and University of Freiburg
Downloads 104 (320,819)
Citation 3

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Credit risk, intensity-based models, dependence modelling, shot noise, CDS, kth-to-default swaps

8.

Parameter Estimation in Credit Models Under Incomplete Information

Number of pages: 30 Posted: 13 Jan 2014
Alexander Herbertsson and Rüdiger Frey
University of Gothenburg - Department of Economics/Centre for Finance and ETH Zürich
Downloads 65 (423,730)
Citation 10

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Credit risk, intensity-based models, filtering, estimation, Markov process

9.

Default Contagion in Large Homogeneous Portfolios

THE CREDIT DERIVATIVES HANDBOOK: GLOBAL PERSPECTIVES, INNOVATIONS AND MARKET DRIVERS, Gregoriou, Greg N., Ali, Paul, eds., Chapter 14, McGraw-Hill, 2007
Posted: 26 Jun 2007
Alexander Herbertsson
University of Gothenburg - Department of Economics/Centre for Finance

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Credit risk, intensity-based models, dependence modelling, default contagion, Markov jump processes, Matrix-analytic methods, synthetic CDO-s, index CDS-s