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
This page was built for person: Alexander Herbertsson
