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A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries
Bielecki, Tomasz R.; Cousin, Areski; Crépy, Stéphane; … - 2012
Persistent link: https://www.econbiz.de/10009630172
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Dynmaic modelling of portfolio credit risk with common shocks
Bielecki, Tomasz R. (contributor) - 2011
Persistent link: https://www.econbiz.de/10009012001
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Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014431441
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CDS index options in Markov chain models
Herbertsson, Alexander - 2019
Persistent link: https://www.econbiz.de/10011965838
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Saddlepoint approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander - 2022
Persistent link: https://www.econbiz.de/10013369349
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Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014518798
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Pricing basket default swaps in a tractable shot-noise model
Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten - 2009
Persistent link: https://www.econbiz.de/10003828944
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Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach
Herbertsson, Alexander (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003571927
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Pricing synthetic CDO tranches in a model with default contagion using the matrix-analytic approach
Herbertsson, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571937
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Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571939