Sökning: "Alexander Herbertsson"

Hittade 3 avhandlingar innehållade orden Alexander Herbertsson.

1. 1. Dynamic dependence modelling in credit risk

   Författare :Alexander Herbertsson; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : .... LÄS MER

3. 2. Dynamic Modelling in Credit Risk

   Författare :Alexander Herbertsson; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : .... LÄS MER

4. 3. Pricing Portfolio Credit Derivatives

   Författare :Alexander Herbertsson; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Portfolio credit risk; intensity-based models; dynamic dependence modelling; default contagion; CDS; synthetic CDO tranches; index CDS; k-th-to-default swaps; CDS-correlation; default-correlation; Markov jump processes; multivariate phase-type distributions; matrix-analytic methods;

   Sammanfattning : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. LÄS MER