Joao Garcia

Fitch Solutions

Independent Consultant

United Kingdom

http://www.sergeandjoao.com

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 28,445

SSRN RANKINGS

Top 28,445

in Total Papers Downloads

3,874

TOTAL CITATIONS
Rank 45,911

SSRN RANKINGS

Top 45,911

in Total Papers Citations

28

Scholarly Papers (10)

Actions:
Email selected abstracts
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 952 (53,122)
Citation 6

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 660 (86,460)
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 592 (99,361)
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.

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

Number of pages: 30 Posted: 16 Jun 2007
Jan Annaert, Joao Garcia, Jeroen Lamoot and Gleb Lanine
University of Antwerp Department of Accounting & Finance, Fitch Solutions, Banking, Finance and Insurance Commission (CBFA) and Ghent University - Department of Financial Economics
Downloads 341 (190,249)
Citation 3

Abstract:

Loading...

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

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 325 (200,374)
Citation 1

Abstract:

Loading...

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

6.

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 317 (205,813)
Citation 2

Abstract:

Loading...

CDO of ABS, CDO, ABS, Monte Carlo Simulation

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 302 (216,898)

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 223 (294,541)

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 162 (394,473)
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