Cathrine Jessen

Copenhagen Business School - Department of Finance

post doc

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Constant Proportion Debt Obligations (CPDO): Modeling and Risk Analysis

Number of pages: 34 Posted: 08 May 2009 Last Revised: 14 Nov 2010
Rama Cont and Cathrine Jessen
University of Oxford and Copenhagen Business School - Department of Finance
Downloads 945 (23,524)
Citation 2

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CPDO, credit risk, top down models, credit rating, structured product, credit derivatives

2.

Empirical Performance of Models for Valuation and Risk-Management of Barrier Options

Number of pages: 12 Posted: 17 Feb 2009
Cathrine Jessen and Rolf Poulsen
Copenhagen Business School - Department of Finance and University of Copenhagen - Department of Statistics and Operations Research
Downloads 301 (100,518)

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Barrier options, risk-management, valuation, empirical performance

3.

Robustness of Distance-to-Default

26th Australasian Finance and Banking Conference 2013
Number of pages: 25 Posted: 17 Aug 2013
Cathrine Jessen and David Lando
Copenhagen Business School - Department of Finance and Copenhagen Business School
Downloads 294 (103,170)
Citation 7

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Default risk, default prediction, distance-to-default, stochastic volatility

4.

Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap Risk Coverage

23rd Australasian Finance and Banking Conference 2010 Paper
Posted: 30 Nov 2009 Last Revised: 06 Feb 2014
Cathrine Jessen
Copenhagen Business School - Department of Finance

Abstract:

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CPPI, gap risk, discrete portfolio rebalancing, Sortino ratio, kinked CRRA utility