Alexander Herbertsson

Available identifiers

zbMath Open herbertsson.alexanderMaRDI QIDQ539142

List of research outcomes

Publication	Date of Publication	Type
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective	2015-06-19	Paper
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues	2015-06-19	Paper
Dynamic hedging of portfolio credit risk in a Markov copula model	2014-06-30	Paper
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries	2014-06-11	Paper
Parameter Estimation in Credit Models Under Incomplete Information	2014-06-11	Paper
Pricing basket default swaps in a tractable shot noise model	2011-07-26	Paper
Modelling default contagion using multivariate phase-type distributions	2011-05-27	Paper

Research outcomes over time

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