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Philipp Schönbucher · Study
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Author
Philipp Schönbucher
16 works
· latest 2023
· 3 institutions
cluster: provisional
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16
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16
Citations
2,034
Works here
16
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23
Most cited in this library
Credit Derivatives Pricing Models
2003 · 366 citations
Credit Derivatives Pricing Models: Models, Pricing and Implementation
2003 · 355 citations
Copula-Dependent Defaults in Intensity Models
2002 · 302 citations
A market model for stochastic implied volatility
1999 · 158 citations
Advances in Finance and Stochastics
2002 · 154 citations
Works
16 shown
Modelling Dynamic Portfolio Credit Risk
SSRN Electronic Journal
·
2023
·
2 authors
·
preprint
·
Open access
35
citations
Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
Finance and Stochastics
·
2006
·
2 authors
·
chapter
·
Open access
31
citations
Credit Derivatives Pricing Models: Models, Pricing and Implementation
Thammasat University Digital Collections
·
2003
·
1 author
355
citations
Credit Derivatives Pricing Models
·
2003
·
1 author
·
book
366
citations
Taken to the limit: Simple and not-so-simple loan loss distributions
Wilmott
·
2003
·
1 author
·
Open access
65
citations
Copula-Dependent Defaults in Intensity Models
SSRN Electronic Journal
·
2002
·
2 authors
·
preprint
·
Open access
302
citations
Advances in Finance and Stochastics
Springer eBooks
·
2002
·
2 authors
·
book
154
citations
Advances in finance and stochastics : essays in honour of Dieter Sondermann
·
2002
·
3 authors
85
citations
A tree implementation of a credit spread model for credit derivatives
The Journal of Computational Finance
·
2002
·
1 author
·
Open access
69
citations
Factor Models: Portfolio Credit Risks When Defaults are Correlated
The Journal of Risk Finance
·
2001
·
1 author
67
citations
A Libor Market Model with Default Risk
SSRN Electronic Journal
·
2001
·
1 author
·
preprint
·
Open access
46
citations
A Libor Market Model with Default Risk
RePEc: Research Papers in Economics
·
2000
·
1 author
·
preprint
·
Open access
49
citations
The Feedback Effect of Hedging in Illiquid Markets
SIAM Journal on Applied Mathematics
·
2000
·
2 authors
153
citations
Credit Risk Modelling and Credit Derivatives
·
2000
·
1 author
27
citations
A market model for stochastic implied volatility
Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences
·
1999
·
1 author
·
Open access
158
citations
Pricing Parisian Options
·
1997
·
2 authors
72
citations