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Alexander Herbertsson

Senior lecturer

Alexander Herbertsson
Senior lecturer
alexander.herbertsson@cff.gu.se
+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
www.economics.handels.gu.se
nek@handels.gu.se

Visiting Address: Vasagatan 1 , 405 30 Göteborg

About Alexander Herbertsson

On other web sites

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 with major in Applied  Mathematics, 2001
   Chalmers University of Technology

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

Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix Analytic Approach
Herbertsson, Alexander
Journal of Credit Risk, 4:4, s. 3-35, 2008

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, 2014

Showing 1 - 10 of 22

2016

2014

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, Journal article 2014
Journal article

Parameter Estimation in Credit Models Under Incomplete Information
Alexander Herbertsson, Rüdiger Frey
Communications in Statistics - Theory and Methods, Journal article 2014
Journal article

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, Journal article 2014
Journal article

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, New Jersey London Hong Kong, World Scientific, Chapter in book 2014
Chapter in book

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, New Jersey London Hong Kong, World Scientific, Chapter in book 2014
Chapter in book

2013

In search of a grand unifying theory
T.R. Bielecki, A. Cousin, S. Crépey, Alexander Herbertsson
Creditflux Newsletter, Magazine article 2013
Magazine article

2012

A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
Göteborg, University of Gothenburg, Report 2012
Report

2011

Pricing basket default swaps in a tractable shot noise model
Alexander Herbertsson, Jiwook Jang, Thorsten Schmidt
Statistics and Probability Letters, Journal article 2011
Journal article

Showing 1 - 10 of 22

Page Manager: Marie Andersson|Last update: 9/1/2016
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