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 | 57 | 2008 |

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 | 53 | 2008 |

Modelling default contagion using multivariate phase-type distributions A Herbertsson Review of Derivatives Research 14 (1), 1-36, 2011 | 40 | 2011 |

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 | 39 | 2014 |

Markov chain models of portfolio credit risk TR Bielelcki, S Crépey, A Herbertsson The Oxford Handbook of Credit Derivatives, 2011 | 24 | 2011 |

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 | 18 | 2014 |

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 | 16 | 2014 |

Default contagion in large homogeneous portfolios A Herbertsson The Credit Derivatives Handbook Global Perspectives, Innovations, and Market …, 2008 | 15 | 2008 |

Pricing basket default swaps in a tractable shot noise model A Herbertsson, J Jang, T Schmidt Statistics & probability letters 81 (8), 1196-1207, 2011 | 11 | 2011 |

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 | 10 | 2011 |

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 | 9 | 2014 |

Pricing portfolio credit derivatives A Herbertsson rapport nr.: Economics studies 164, 2007 | 9 | 2007 |

Credit risk modelling lecture notes A Herbertsson University of Gothenburg 13, 2011 | 8 | 2011 |

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 | 8 | 2011 |

Markov chain models of portfolio credit risk TR Bielecki, S Crépey, A Herbertsson Oxford Handbook of Credit Derivatives, 2009 | 7 | 2009 |

The Capital asset pricing model and the Arbitrage pricing theory T Nguyen, O Stalin, A Diagne, L Aukea, PH Rootzen, A Herbertsson Report). Gothenburg University, 1-11, 2017 | 4 | 2017 |

Dynamic dependence modelling in credit risk A Herbertsson Chalmers University of Technology, 2005 | 3 | 2005 |

Parameter estimation in credit models under incomplete information A Herbertsson, R Frey Communications in Statistics-Theory and Methods 43 (7), 1409-1436, 2014 | 2 | 2014 |

Pricing CDS index options under incomplete information A HERBERTSSON, R FREY | 2 | 2014 |

A Markov copula model of portfolio credit risk with stochastic intensities and random recoveries TR Bielecki, A Cousin, S Crépey, A Herbertsson | 2 | 2012 |