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Alexander Herbertsson - University of Gothenburg, Sweden Till startsida
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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 , 411 24 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 21 - 23 of 23



Dynamic dependence modelling in credit risk
Alexander Herbertsson
Göteborg, Chalmers University of Technology, Licentiate thesis 2005
Licentiate thesis

Dynamic Modelling in Credit Risk
Alexander Herbertsson
Göteborg, Chalmers University of Technology, Licentiate thesis 2005
Licentiate thesis

Showing 21 - 23 of 23

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