Alexander Herbertsson

University of Gothenburg - Department of Economics/Centre for Finance

Box 640

Vasagatan 1, E-building, floor 5 & 6

Göteborg, 40530

Sweden

SCHOLARLY PAPERS

12

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2,226

SSRN CITATIONS
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Top 22,680

in Total Papers Citations

32

CROSSREF CITATIONS

22

Scholarly Papers (12)

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 682 (71,175)
Citation 11

Abstract:

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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 286 (196,165)
Citation 7

Abstract:

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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 249 (225,457)
Citation 2

Abstract:

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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 248 (226,316)
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 206 (269,995)
Citation 9

Abstract:

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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 153 (350,543)
Citation 3

Abstract:

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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 139 (378,466)
Citation 5

Abstract:

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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 90 (517,645)
Citation 10

Abstract:

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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 75 (577,040)
Citation 1

Abstract:

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

10.

Risk Management of Stock Portfolios With Jumps at Exogenous Default Events

Number of pages: 42 Posted: 20 Aug 2023 Last Revised: 05 Sep 2023
Alexander Herbertsson
University of Gothenburg - Department of Economics/Centre for Finance
Downloads 64 (628,350)

Abstract:

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equity portfolio risk; stock price modelling; credit portfolio risk; risk management; Value-at-Risk, intensity-based models; credit copula models, numerical methods

11.

Saddlepoint Approximations for Credit Portfolio Distributions with Applications in Equity Risk Management

Number of pages: 47 Posted: 10 Jan 2024
Alexander Herbertsson
University of Gothenburg - Department of Economics/Centre for Finance
Downloads 34 (818,002)

Abstract:

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Credit portfolio risk; intensity-based models; factor models; credit copula models; Value-at-Risk; conditional independent dependence modelling; saddlepoint-methods; Fourier-transform methods; numerical methods; equity portfolio risk; stock price modelling with jumps

12.

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:

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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