Default contagion in large homogeneous portfolios

von Herbertsson, Alexander
Veröffentlicht in The credit derivatives handbook (2008)

Pricing portfolio credit derivatives

von Herbertsson, Alexander
Veröffentlicht 2007

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

von Herbertsson, Alexander
Veröffentlicht in The journal of credit risk (2008)

Pricing portfolio credit derivatives

von Herbertsson, Alexander
Veröffentlicht 2007

Modelling default contagion using multivariate phase-type distributions

von Herbertsson, Alexander
Veröffentlicht in Review of derivatives research (2011)

Pricing kth-to-default swaps under default contagion: the matrix analytic approach

von Herbertsson, Alexander
Veröffentlicht in The journal of computational finance (2008)

Markov chain models of portfolio credit risk

von Bielecki, Tomasz R.
Veröffentlicht in The Oxford handbook of credit derivatives (2011)

A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective

Veröffentlicht in International Workshop on Finance (2012 : Tokio) Recent advances in financial engineering 2012 (2014)

A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

Veröffentlicht in International Workshop on Finance (2012 : Tokio) Recent advances in financial engineering 2012 (2014)