Till startsida

Alexander Herbertsson

Associate senior lecturer in Statistics and Quantitative finance at the
Department of Economics and Centre For Finance

Address:
P.O. Box 640, SE 405 30 Gothenburg
Visiting address: Vasagatan 1, D-building
Room: D-515
Tel: 46 (0)31-786 13 94
Fax: 46 (0)31-786 13 26
Email:
Alexander.Herbertsson@economics.gu.se

Research areas

Quantitative Credit Risk, Counterparty risk, Dependence modelling in portfolio credit risk, Systemic Risk, Pricing and hedging portfolio credit derivatives, Financial Enginnering, Applied mathematical finance, Applied probability and statistics

My CV

Peer-reviewed journal articles

  1. Pricing k-th-to-default-swaps under default contagion: The matrix-analytic approach, Journal of Computational Finance, 12 (1), 49-78, 2008 [Journal Link] (with Holger Rootzén)
     
  2. Pricing synthetic CDO tranches in a model with default Default Contagion using the Matrix-Analytic approach, Journal of Credit Risk, 4(4), 3-35, 2008 [Journal Link]
     
  3. Modelling default contagion using Multivariate Phase-Type distributions, Review of Derivatives Research, 14(1), 1-36, 2011 [Journal Link]
     
  4. Pricing basket default swaps in a tractable shot-noise model, Statistics and Probability Letters, 81(8), 1196-1207, 2011 [Journal Link] (joint with Jiwook Jang and Thorsten Schmidt)
     
  5. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula ModelJournal of Optimization Theory and Applications, 161 (1): 90-102, 2014 [Journal Link] (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey) 

  6. A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries 
    Communications in Statistics – Theory and Methods, 43 (7): 1362-1389, 2014 [Journal Link] (with T R. Bielecki, Areski CousinStéphane Crépey)
     
  7. Parameter estimation in credit models under incomplete informationCommunications in Statistics – Theory and Methods, 43 (7): 1409–1436, 2014 [Journal Link] (with Rüdiger Frey)
     

Book chapters

  1. Default contagion in large homogeneous portfolios, in The credit derivatives handbook, eds. Greg N. Gregoriou and Paul U. Ali, McGraw-Hill 2008 [Publisher Link]
     
  2. Markov Chain Models of Portfolio Credit Risk, in Oxford Handbook of Credit Derivatives, eds. A. Lipton and A.Rennie, OUP 2011 [Publisher Link] (with Tomasz R. Bielecki and Stéphane Crépey)
     
  3. A bottom-up dynamic model of portfolio credit risk - Part I: Markov copula perspectivein Recent Advances in Financial Engineering 2012, World Scientific [Publisher link] (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey)
     
  4. A bottom-up dynamic model of portfolio credit risk - Part II: Common-shock interpretation, calibration and hedging issues, in Recent Advances in Financial Engineering 2012, World Scientific [Publisher link] (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey)
     

Other published papers

  1. In search of a grand unifying theory, Creditflux Newsletter, July 2013, 20-21 [Journal link] (with Tomasz R. Bielecki, Areski Cousin and Stéphane Crépey)
     

Working papers   

  1. Pricing CDS index options under incomplete information, 2014 (with Rüdiger Frey)
     

Theses

  1. Implied binomial models, Master Thesis, M.Sc. Engineering Physics (Civ.ing Tekn.Fysik), Branch of Specialization: Enginnering Mathematics, Chalmers University of Technology. Defended October 2001. Performed at SHB, Handelsbanken Markets, Stockholm. Supervisor Prof. Christer Borell
     
  2. Dynamic Dependence Modelling in Credit Risk. Licentiate Thesis, Industrial Mathematics, Department of Mathematics, Chalmers University of Technology. Defended May 9, 2005. Opponent Prof. Dr. Rüdiger Frey. Supervisor Prof. Holger Rootzén. Cosupervisor Prof. Torgny Lindvall
     
  3. Pricing Portfolio Credit Derivatives,  Ph.D. thesis, Department of Economics, School of Business, Economics and Law, Göteborg University, Sweden (2007). Defended September 14, 2007. Opponent Prof. Jean-Paul Laurent. Supervisors: Prof. Lennart Hjalmarsson, Prof. Holger Rootzén

Conference Proceedings

  1. A model for the population dynamic and genetic impact of runaway farmed salmon on wild populations.

 

Teaching areas

Credit risk modelling, Quantitative Finance, Applied probability with statistics, Financial risk

 

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