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Alexander Herbertsson

Senior lecturer

Alexander Herbertsson
Senior lecturer
+46 31 786 1394

Room number: D515
Postal Address: Box 640, 40530 Göteborg
Visiting Address: Vasagtan 1, Hus D , 41124 Göteborg

Department of Economics (More Information)
Box 640
405 30 Göteborg

Visiting Address: Vasagatan 1 , 405 30 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

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

Showing 11 - 20 of 22


Dynamic Modeling of Portfolio Credit Risk with Common Shocks
T.R. Bielecki, A. Cousin, A.H. Crépey, Alexander Herbertsson
Göteborg, University of Gothenburg, Report 2011

Markov Chain Models of Portfolio Credit Risk
Alexander Herbertsson, T.R. Bielecki, S. Crepey
The Oxford Handbook of Credit Derivatives (ed. Lipton, A. and A.J.O. Rennie), Oxford, UK, Oxford University Press, Chapter in book 2011
Chapter in book


Pricing basket default swaps in a tractable shot-noise model
Alexander Herbertsson, Jiwook Jang, Thorsten Schmidt
Göteborg, University of Gothenburg, Report 2009


Default contagion in large homogeneous portfolios
Alexander Herbertsson
Credit Derivatives Handbook Global Perspectives, Innovations, and Market Drivers, McGraw-Hill, Chapter in book 2008
Chapter in book


Pricing Portfolio Credit Derivatives
Alexander Herbertsson
Göteborg, Göteborg University, Doctoral thesis 2007
Doctoral thesis

Default Contagion in Large Homogeneous Portfolios
Alexander Herbertsson
Göteborg, Göteborg University, Report 2007

Showing 11 - 20 of 22

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