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Alexander Herbertsson

SENIOR LECTURER

Department of
Economics
Telephone
Visiting address
Vasagtan 1, Hus D
41124 Göteborg
Room number
D515
Postal address
Box 640
40530 Göteborg

About Alexander Herbertsson

Senior lecturer in Statistics and Quantitative finance at the Department of Economics and Centre For Finance.

- Ph.D. in Economics: Quantitative Finance, 2007
   University of Gothenburg

- Licentiate of Engineering in Industrial Mathematics, 2005
   Chalmers University of Technology

- M.Sc. in Engineering Physics - major in Applied Mathematics, 2001     Chalmers University of Technology

On other web sites

Research areas

  • Applied mathematical finance
  • Applied probability and statistics
  • Financial Engineering, Quantitative Finance, Credit Risk
  • Counterparty credit risk, dependence modelling in portfolio credit risk, systemic risk
  • Financial Risk Management, Pricing and hedging portfolio credit derivatives

Teaching areas

  • Credit risk modelling
  • Quantitative Finance
  • Mathematics
  • Financial risk
  • Applied probability with statistics

Selected publications

Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix Analytic Approach
Herbertsson, Alexander
Journal of Credit Risk, 4:4, s. 3-35, 2008

Parameter Estimation in Credit Models Under Incomplete Information
Herbertsson, Alexander, Frey, Rüdiger
Communications in Statistics - Theory and Methods, 43:7, s. 1409-1436, 2014

Pricing k-th to default swaps under default contagion: The matrix analytic approach
Herbertsson, Alexander, Rootzén, Holger
Journal of Computational Finance, 12:1, s. 49-78, 2008

Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander
Review of Derivatives Research, 14:1, s. 1-36, 2011

Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
Bielecki, Tomasz R., Cousin, Areski, Crépey, Stéphane, Herbertsson, Alexander
Journal of Optimization Theory and Applications, 161:1, s. 90-102, 2014