Alexander Herbertsson
From MaRDI portal
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective Recent Advances in Financial Engineering 2012 | 2015-06-19 | Paper |
| A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues Recent Advances in Financial Engineering 2012 | 2015-06-19 | Paper |
| Dynamic hedging of portfolio credit risk in a Markov copula model Journal of Optimization Theory and Applications | 2014-06-30 | Paper |
| A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries Communications in Statistics: Theory and Methods | 2014-06-11 | Paper |
| Parameter Estimation in Credit Models Under Incomplete Information Communications in Statistics: Theory and Methods | 2014-06-11 | Paper |
| Pricing basket default swaps in a tractable shot noise model Statistics & Probability Letters | 2011-07-26 | Paper |
| Modelling default contagion using multivariate phase-type distributions Review of Derivatives Research | 2011-05-27 | Paper |
Research outcomes over time
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