Alexander Herbertsson
Universitetslektor
Institutionen för nationalekonomi medOm Alexander Herbertsson
Universitetslektor i statistik och kvantitativ finans, CFF-Centrum för finans
- 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 (Engineering Mathematics/Teknisk Matematik), 2001, Chalmers University of Technology
På andra webbplatser
Forskningsområden
- Tillämpad finansiell matematik
- Tillämpad sannolikhetsteori och statistik
- Financial Engineering, Kvantitativ Finans, kreditrisk
- Motpartsrisk , beroendemodellering i portföljkreditrisk, systemrisker
- Finansiell riskhantering, prissättning och hedgning av portfölj kreditderivat
Undervisningsområden
- Kreditrisk modellering
- Kvantitativ Finans
- Matematik
- finansiell risk
- Tillämpad sannolikhetsteori med statistik
Utvalda publikationer
Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix Analytic Approach Herbertsson, AlexanderJournal of Credit Risk, 4:4, s. 3-35, 2008
Parameter Estimation in Credit Models Under Incomplete Information Herbertsson, Alexander, Frey, RüdigerCommunications 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, HolgerJournal of Computational Finance, 12:1, s. 49-78, 2008
Modelling default contagion using multivariate phase-type distributions Herbertsson, AlexanderReview 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, AlexanderJournal of Optimization Theory and Applications, 161:1, s. 90-102, 2014
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Risk management of stock portfolios with jumps at exogenous default
events
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Saddlepoint approximations for credit portfolios with stochastic
recoveries
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CDS index options in Markov chain
models
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CDS INDEX OPTIONS UNDER INCOMPLETE
INFORMATION
Alexander Herbertsson, Rüdiger Frey
2016 -
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random
Recoveries
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
Communications in Statistics - Theory and Methods - 2014 -
Parameter Estimation in Credit Models Under Incomplete
Information
Alexander Herbertsson, Rüdiger Frey
Communications in Statistics - Theory and Methods - 2014 -
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula
Model
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
Journal of Optimization Theory and Applications - 2014 -
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula
Perspective
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
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
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
Recent Advances in Financial Engineering 2012 - 2014 -
In search of a grand unifying
theory
T.R. Bielecki, A. Cousin, S. Crépey, Alexander Herbertsson
Creditflux Newsletter - 2013 -
A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random
Recoveries
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
2012 -
Modelling default contagion using multivariate phase-type
distributions
Alexander Herbertsson
Review of Derivatives Research - 2011 -
Pricing basket default swaps in a tractable shot noise
model
Alexander Herbertsson, Jiwook Jang, Thorsten Schmidt
Statistics and Probability Letters - 2011 -
Dynamic Modeling of Portfolio Credit Risk with Common
Shocks
T.R. Bielecki, A. Cousin, A.H. Crépey, Alexander Herbertsson
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) - 2011 -
Pricing basket default swaps in a tractable shot-noise
model
Alexander Herbertsson, Jiwook Jang, Thorsten Schmidt
2009 -
Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix Analytic
Approach
Alexander Herbertsson
Journal of Credit Risk - 2008 -
Default contagion in large homogeneous
portfolios
Alexander Herbertsson
Credit Derivatives Handbook Global Perspectives, Innovations, and Market Drivers - 2008 -
Pricing k-th to default swaps under default contagion: The matrix analytic
approach
Alexander Herbertsson, Holger Rootzén
Journal of Computational Finance - 2008 -
Pricing Portfolio Credit
Derivatives
-
Default Contagion in Large Homogeneous
Portfolios
-
Modelling Default Contagion Using Multivariate Phase-Type
Distributions
-
Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic
Approach
-
Dynamic dependence modelling in credit
risk
-
Dynamic Modelling in Credit
Risk