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

10

DOWNLOADS
Rank 39,771

SSRN RANKINGS

Top 39,771

in Total Papers Downloads

1,884

SSRN CITATIONS
Rank 24,320

SSRN RANKINGS

Top 24,320

in Total Papers Citations

18

CROSSREF CITATIONS

21

Scholarly Papers (10)

Actions:
Email selected abstracts
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 658 (61,196)
Citation 9

Abstract:

Loading...

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 261 (177,561)
Citation 7

Abstract:

Loading...

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 215 (214,184)
Citation 2

Abstract:

Loading...

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 209 (219,962)
Citation 4

Abstract:

Loading...

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 186 (244,189)
Citation 9

Abstract:

Loading...

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 138 (313,161)
Citation 3

Abstract:

Loading...

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 111 (367,426)
Citation 3

Abstract:

Loading...

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 76 (466,805)
Citation 10

Abstract:

Loading...

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

9.

Saddlepoint Approximations for Credit Portfolios With Stochastic Recoveries

Number of pages: 68 Posted: 04 Aug 2022
Alexander Herbertsson
University of Gothenburg - Department of Economics/Centre for Finance
Downloads 30 (690,129)

Abstract:

Loading...

portfolio credit risk; intensity-based models; factor models, Value-at-Risk, conditional independent dependence modelling, saddlepoint-methods, Fourier-transform methods, numerical methods

10.

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

Abstract:

Loading...

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