Joao Garcia

Fitch Solutions

Independent Consultant

United Kingdom

http://www.sergeandjoao.com

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 14,917

SSRN RANKINGS

Top 14,917

in Total Papers Downloads

3,236

SSRN CITATIONS
Rank 34,524

SSRN RANKINGS

Top 34,524

in Total Papers Citations

4

CROSSREF CITATIONS

13

Scholarly Papers (11)

1.

Integrating Stress Tests and Scenario Analysis for Strategic Management of a Financial Institution

Number of pages: 34 Posted: 21 Feb 2009
Joao Garcia
Fitch Solutions
Downloads 902 (25,391)
Citation 2

Abstract:

Loading...

Correlation, Stress Tests, Scenario Analysis, Economic Capital, Grid System

2.

Dynamic Credit Portfolio Management: Linking Credit Risk Systems, Securitization and Standardised Credit Indices

Number of pages: 47 Posted: 29 Sep 2008
Joao Garcia, Serge Goossens and Jeroen Lamoot
Fitch Solutions, affiliation not provided to SSRN and Banking, Finance and Insurance Commission (CBFA)
Downloads 595 (44,802)
Citation 4

Abstract:

Loading...

Dynamic Credit Portfolio Management, CDO's, Securitization, Basel II, Correlation Mapping

3.

One Factor Models for the ABS Correlation Market: Pricing TABX Tranches

Number of pages: 15 Posted: 29 Sep 2008
Joao Garcia and Serge Goossens
Fitch Solutions and affiliation not provided to SSRN
Downloads 477 (59,350)
Citation 3

Abstract:

Loading...

Subprime CDO's, Standardised Credit Indices, ABX.HE, TABX, One Factor models, recursive approach, Levy process, gaussian copula, credit portfolio management

4.

One Credit Event Models for CDOs of ABS

Number of pages: 12 Posted: 08 Dec 2008
Joao Garcia and Serge Goossens
Fitch Solutions and affiliation not provided to SSRN
Downloads 280 (109,403)
Citation 2

Abstract:

Loading...

CDO of ABS, CDO, ABS, Monte Carlo Simulation

5.

Correlation Mapping Under Levy and Gaussian Base Correlation

Number of pages: 13 Posted: 29 Sep 2008
Joao Garcia and Serge Goossens
Fitch Solutions and affiliation not provided to SSRN
Downloads 256 (120,227)
Citation 1

Abstract:

Loading...

Correlation mapping, Levy Base Correlation, Base Expected Loss, Gaussian Copula, CDO

6.

Don't Fall from the Saddle: The Importance of Higher Moments of Credit Loss Distributions

Number of pages: 30 Posted: 16 Jun 2007
University of Antwerp Department of Accounting & Finance, Fitch Solutions, Banking, Finance and Insurance Commission (CBFA) and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 227 (135,716)
Citation 2

Abstract:

Loading...

CreditRisk+, saddlepoint approximations, Lugannani-Rice formula, Barndorff-Nielsen formula, credit VaR.

7.

Correlation: From Collateral to ABS Tranches

Number of pages: 7 Posted: 24 Nov 2008
Joao Garcia and Serge Goossens
Fitch Solutions and affiliation not provided to SSRN
Downloads 196 (156,017)

Abstract:

Loading...

Asset correlation, tranche correlation, asset backed security, dynamic credit portfolio management

8.

Let's Jump Together - Pricing of Credit Derivatives: From Index Swaptions to CPPIs

Number of pages: 14 Posted: 13 Mar 2009
Joao Garcia, Serge Goossens and Wim Schoutens
Fitch Solutions, affiliation not provided to SSRN and KU Leuven - Department of Mathematics
Downloads 184 (165,198)

Abstract:

Loading...

CPPI, Levy, Variance Gamma, CDO, Credit Derivatives

9.

Base Expected Loss Explains Levy Base Correlation Smile

Number of pages: 13 Posted: 24 Nov 2008
Joao Garcia and Serge Goossens
Fitch Solutions and affiliation not provided to SSRN
Downloads 119 (236,431)
Citation 9

Abstract:

Loading...

C, C5, C6

10.

Coco Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models

Posted: 27 Feb 2013
Damiano Brigo, Joao Garcia and Nicola Pede
Imperial College London - Department of Mathematics, Fitch Solutions and Imperial College London - Department of Mathematics

Abstract:

Loading...

Contingent Capital, CoCo Bonds, AT1P model, Firm Value Models, Credit Default Swap Calibration, Conversion Time, Default Time, Hybrid Credit-Equity Products, Basel III, Systemic Risk

11.

Linear and Non-Linear Credit Scoring by Combining Logistic Regression and Support Vector Machines

Journal of Credit Risk, Vol. 1, No. 4, Fall 2005
Posted: 10 May 2006
Dexia Group. Credit Risk Modelling. Group Risk Management, KU Leuven - Department of Applied Economics, Dexia Groupe - Credit Risk Modelling Group - Risk Management, KU Leuven, Fitch Solutions and Dexia Groupe - Credit Risk Modelling Group - Risk Management

Abstract:

Loading...

Basel II, internal rating models, linear logistic models, neural network, support vector machine models