Alexander Herbertsson
Alexander Herbertsson
Lecturer, Centre For Finance, Department of economics, University of Gothenburg
Verified email at cff.gu.se - Homepage
TitleCited byYear
Pricing kth-to-default swaps under default contagion: the matrix-analytic approach
A Herbertsson, H Rootzén
Journal of Computational Finance 12 (1), 49-78, 2008
572008
Pricing synthetic CDO tranches in a model with Default Contagion using the Matrix-Analytic approach
A Herbertsson
Journal of Credit Risk 4 (4), 3-35, 2008
502008
Dynamic hedging of portfolio credit risk in a Markov copula model
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Journal of Optimization Theory and Applications 161 (1), 90-102, 2014
382014
Modelling default contagion using multivariate phase-type distributions
A Herbertsson
Review of Derivatives Research 14 (1), 1-36, 2011
372011
Markov chain models of portfolio credit risk
TR Bielecki, S Crépey, A Herbertsson
The Oxford Handbook of Credit Risk, 327-382, 2011
222011
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Communications in Statistics-Theory and Methods 43 (7), 1362-1389, 2014
182014
A Bottom-Up Dynamic Model of Portfolio Credit Risk; Part I: Markov Copula Perspective
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Recent Advances in Financial Engineering 2012, 25-49, 2014
162014
Default contagion in large homogeneous portfolios
A Herbertsson
The Credit Derivatives Handbook Global Perspectives, Innovations, and Market …, 2008
152008
Pricing basket default swaps in a tractable shot noise model
A Herbertsson, J Jang, T Schmidt
Statistics & Probability Letters 81 (8), 1196-1207, 2011
112011
Dynamic modeling of portfolio credit risk with common shocks
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Institutionen för nationalekonomi med statistik, Handelshögskolan vid …, 2011
102011
A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Recent Advances in Financial Engineering 2012, 51-73, 2014
92014
Pricing portfolio credit derivatives
A Herbertsson
rapport nr.: Economics studies 164, 2007
92007
Pricing and hedging portfolio credit derivatives in a bottom-up model with simultaneous defaults
TR Bielecki, A Cousin, S Crépey, A Herbertsson
Work in Progress, 2011
82011
Credit risk modelling lecture notes
A Herbertsson
University of Gothenburg 13, 2011
72011
Markov chain models of portfolio credit risk
TR Bielecki, S Crépey, A Herbertsson
Oxford Handbook of Credit Derivatives, 2009
62009
Dynamic dependence modelling in credit risk
A Herbertsson
Chalmers University of Technology, 2005
32005
The Capital asset pricing model and the Arbitrage pricing theory
T Nguyen, O Stalin, A Diagne, L Aukea, PH Rootzen, A Herbertsson
Gothenburg University,(May 15, 2017), 2017
22017
Parameter estimation in credit models under incomplete information
A Herbertsson, R Frey
Communications in Statistics-Theory and Methods 43 (7), 1409-1436, 2014
22014
Pricing CDS index options under incomplete information
A HERBERTSSON, R FREY
22014
A Markov copula model of portfolio credit risk with stochastic intensities and random recoveries
TR Bielecki, A Cousin, S Crépey, A Herbertsson
22012
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