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Pricing portfolio credit derivatives

Herbertsson, Alexander - 2007

Persistent link: https://www.econbiz.de/10004885952

Pricing synthetic CDO tranches in a model with default contagion using the matrix analytic approach

Herbertsson, Alexander - In: The journal of credit risk : published quarterly by … 4 (2008/09) 4, pp. 2-35

Persistent link: https://www.econbiz.de/10009932459

Modelling default contagion using multivariate phase-type distributions

Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009272496

Pricing synthetic CDO tranches in a model with default contagion using the matrix analytic approach

Herbertsson, Alexander - In: The journal of credit risk : published quarterly by … 4 (2008/09) 4, pp. 2-35

Persistent link: https://www.econbiz.de/10003806412

Default contagion in large homogeneous portfolios

Herbertsson, Alexander - In: The credit derivatives handbook : global perspectives, …, (pp. 303-334). 2008

Persistent link: https://www.econbiz.de/10003748427

CDS index options in Markov chain models

Herbertsson, Alexander - 2019

Persistent link: https://www.econbiz.de/10011965838

Saddlepoint approximations for credit portfolios with stochastic recoveries

Herbertsson, Alexander - 2022

Persistent link: https://www.econbiz.de/10013369349

Saddlepoint approximations for credit portfolio distributions with applications in equity risk management

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014518798

Markov Chain Models of Portfolio Credit Risk

Bielelcki, Tomasz R.; Crépey, Stéphane; Herbertsson, … - In: The Oxford handbook of credit derivatives. 2012

Persistent link: https://www.econbiz.de/10012882005

A Bottom-Up Dynamic Model of Portfolio Credit Risk : Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Bielecki, Tomasz R. - 2013

In this paper, we prove that the conditional dependence structure of default times in the Markov model of "A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective" belongs to the class of Marshall-Olkin copulas. This allows us to derive a factor representation in...

Persistent link: https://www.econbiz.de/10013083831