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~person:"Herbertsson, Alexander"
~type_genre:"Book section"
~type_genre:"Non-commercial literature"
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Herbertsson, Alexander
Platen, Eckhard
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Maurer, Raimond
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McAleer, Michael
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Mitchell, Olivia S.
37
Campbell, John Y.
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Working papers in economics
7
Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012
2
The Oxford handbook of credit derivatives
2
The credit derivatives handbook : global perspectives, innovations, and market drivers
1
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ECONIS (ZBW)
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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
Saved in:
2
Markov chain models of portfolio credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Herbertsson, …
- In:
The Oxford handbook of credit derivatives
,
(pp. 327-382)
.
2011
Persistent link: https://www.econbiz.de/10008858174
Saved in:
3
A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 51-73)
.
2014
Persistent link: https://www.econbiz.de/10010359906
Saved in:
4
A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 25-49)
.
2014
Persistent link: https://www.econbiz.de/10010359909
Saved in:
5
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
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6
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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7
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
Saved in:
8
Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003571939
Saved in:
9
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
Saved in:
10
Saddlepoint approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander
-
2022
Persistent link: https://www.econbiz.de/10013369349
Saved in:
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