Concepedia
Statistics
Publications
9
Citations
247
H-Index
Active since
2007
Affiliations
University of Gothenburg(Current)
Université d'Évry Val-d'Essonne
Illinois Institute of Technology
Université Claude Bernard Lyon 1
Alexander Herbertsson is an author at University of Gothenburg specializing in finance, financial economics, and business.
Publications per year
2007–2014
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey et al. · Journal of Optimization Theory and Applications · 2013 · 62 citations
Management, Finance, Risk Management +16
Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach
Alexander Herbertsson · The Journal of Credit Risk · 2008 · 39 citations
Business, Economics, Finance +15
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey et al. · Communication in Statistics- Theory and Methods · 2014 · 36 citations
Business, Economics, Finance +17
Modelling default contagion using multivariate phase-type distributions
Alexander Herbertsson · Review of Derivatives Research · 2010 · 29 citations
Engineering, Decision Sciences, Stochastic Processes +9
Pricing portfolio credit derivatives
Alexander Herbertsson · Gothenburg University Publications Electronic Archive (Gothenburg University) · 2007 · 21 citations · Full text
Business, Business Economics, Finance +12
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