Philipp Schönbucher

ETH Zürich - Department of Mathematics

Assistant Professor for Risk Management

ETH Zentrum HG-F 42.1

Raemistr. 101

CH-8092 Zurich, 8092

Switzerland

http://www.schonbucher.de

SCHOLARLY PAPERS

9

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8

CROSSREF CITATIONS

117

Scholarly Papers (9)

1.

Copula-Dependent Defaults in Intensity Models

Number of pages: 30 Posted: 10 Mar 2002
Philipp Schönbucher and Dirk Schubert
ETH Zürich - Department of Mathematics and KPMG
Downloads 4,008 (2,400)
Citation 134

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Credit Risk, Default Correlation, Credit Derivatives

2.

A Tree Implementation of a Credit Spread Model for Credit Derivatives

EFA 0245
Number of pages: 35 Posted: 04 Oct 2000
Philipp Schönbucher
ETH Zürich - Department of Mathematics
Downloads 3,361 (3,224)
Citation 9

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3.

A Libor Market Model with Default Risk

Number of pages: 36 Posted: 21 Feb 2001
Philipp Schönbucher
ETH Zürich - Department of Mathematics
Downloads 3,318 (3,294)
Citation 32

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Credit Risk, Credit Derivatives, Libor Market Models

4.

A Market Model for Stochastic Implied Volatility

SFB 303 Working Paper No. B - 453
Number of pages: 23 Posted: 15 Oct 1999
Philipp Schönbucher
ETH Zürich - Department of Mathematics
Downloads 3,210 (3,471)
Citation 22

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5.

Taken to the Limit: Simple and Not-so-Simple Loan Loss Distributions

Number of pages: 23 Posted: 03 Apr 2003
Philipp Schönbucher
ETH Zürich - Department of Mathematics
Downloads 1,464 (12,831)
Citation 13

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credit risk, default correlation, CreditMetrics, copula functions

6.

Pricing Interest Rate-Sensitive Credit Portfolio Derivatives

Swiss Finance Institute Research Paper No. 06-39
Number of pages: 37 Posted: 18 Jan 2007
Philippe Ehlers and Philipp Schönbucher
ETH Zürich - Department of Mathematics and ETH Zürich - Department of Mathematics
Downloads 409 (74,826)
Citation 8

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AP, MI, Credit Portfolio Risk, Top-Down, Forward Model, Contagion, Collateralized Debt Obligations

7.

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Swiss Finance Institute Research Paper No. 07-07
Number of pages: 28 Posted: 25 May 2007
Philippe Ehlers and Philipp Schönbucher
ETH Zürich - Department of Mathematics and ETH Zürich - Department of Mathematics
Downloads 240 (134,057)

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credit risk, default correlation, point processes, generalized Cox processes, hypothesis H

8.

Pricing Parisian Options

Journal of Derivatives, Spring 1999
Posted: 07 Jun 1999
Richard J. Haber, Philipp Schönbucher and Paul Wilmott
University of Oxford - Nomura Centre for Mathematical Finance, ETH Zürich - Department of Mathematics and University of Oxford - Nomura Centre for Mathematical Finance

Abstract:

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9.

The Valuation of a Firm Advertising Optimally

Quarterly Review of Economics and Finance, Vol. 38 No. 2, Summer 1998, WBS Finance Group Research Paper No. 1
Posted: 03 May 1998
University of Oxford - Nomura Centre for Mathematical Finance, University of Warwick - Finance Group, ETH Zürich - Department of Mathematics, ABN Amro and J.P. Morgan Chase & Co.

Abstract:

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