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numerical methods
Credit risk
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Kreditrisiko
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Portfolio selection
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Kreditderivat
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intensity-based models
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Numerisches Verfahren
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Portfolio credit risk
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Stochastischer Prozess
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default contagion
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dependence modelling
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CDS-correlation
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Estimation theory
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Multivariate Verteilung
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Multivariate distribution
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Schätztheorie
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kth-to-default swaps
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CDS
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Common Shocks
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Default contagion
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Dynamic dependence modelling
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Fourier-transform methods
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Hedging
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Intensity-based models
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Markov Copula Model
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Multivariate phase-type distributions
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Herbertsson, Alexander
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ECONIS (ZBW)
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CDS index options in Markov chain models
Herbertsson, Alexander
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2019
Persistent link: https://www.econbiz.de/10011965838
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Saddlepoint approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander
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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
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2023
Persistent link: https://www.econbiz.de/10014518798
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