Philipp J. Schönbucher
Eidgenössische Technische Hochschule (ETH) Zürich -- Department of Mathematics
HG F 42.2 Eth Zentrum
CH-8092 Zürich
Switzerland - Bonn University, Ph. D. (Credit Risk Modelling and Credit Derivatives) (1995-2000)
- Derivative Pricing and hedging, financial market and mathematical finance. Credit risk and credit derivatives. Stochastic volatility. Term structure of interest-rate modeling.
| Contact: | | Email address secured by Enkoder. | | Phone | +41 1 632 6409 | | Fax | +41 1 632 1085 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Pricing Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
by Philippe Ehlers of ETH Zurich, and
Philipp J. Schönbucher of ETH Zurich
(326K PDF) -- 34 pages -- December 2006 A LIBOR Market Model with Default Risk
by Philipp J. Schönbucher of Bonn University
(254K PDF) -- 30 pages -- December 2000 Schönbucher, Philipp J., " Term Structure Modelling of Defaultable Bonds", Review of Derivatives Research, Vol. 2, No. 2-3 (December 1998), pp. 161-192. Credit Modeling Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers of ETH Zurich, and
Philipp J. Schönbucher of ETH Zurich
(536K PDF) -- 25 pages -- January 2009 Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives
by Philipp J. Schönbucher of ETH Zürich
(350K PDF) -- 27 pages -- June 2006 Modelling Dynamic Portfolio Credit Risk
by Ebbe Rogge of the Imperial College of London & ABN AMRO Bank, and
Philipp J. Schönbucher of EHT Zurich
(379K PDF) -- 28 pages -- February 2003 Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions
by Philipp J. Schönbucher of Bonn University
(410K PDF) -- 23 pages -- August 2002 Factor Models for Portfolio Credit Risk
by Philipp J. Schönbucher of Bonn University
(142K PDF) -- 20 pages -- December 2000 Credit Derivatives A Note on Survival Measures and the Pricing of Options on Credit Default Swaps
by Philipp J. Schönbucher of ETH Zürich
(274K PDF) -- 9 pages -- May 2003 A Tree Implementation of a Credit Spread Model for Credit Derivatives
by Philipp J. Schönbucher of the Department of Statistics, Bonn University, Bonn University
(253K PDF) -- 35 pages -- June 1999 Credit Risk Derivatives and Competition in the Loan Market: (Simplified Version)
by Philipp J. Schönbucher of Bonn University, and
Erik Schlögl of the University of Technology, Sydney
(197K PDF) -- 10 pages -- February 8, 1999 Pricing Credit Risk Derivatives
by Philipp J. Schönbucher of the London School of Economics
(222K PDF) -- 16 pages -- January 1998 Credit Correlation Information-driven Default Contagion
by Philipp J. Schönbucher of ETH Zürich
(351K PDF) -- 27 pages -- December 2003 Copula-Dependent Default Risk in Intensity Models
by Philipp J. Schönbucher of Bonn University, and
Dirk Schubert of Bonn University
(299K PDF) -- 30 pages -- December 2001 Other Credit The Influence of FX Risk on Credit Spreads
by Philippe Ehlers of ETH Zürich, and
Philipp Schönbucher of ETH Zürich
(372K PDF) -- 35 pages -- January 2006 Book: | Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann
by Klaus Sandmann (Editor), Philip J. Schönbucher (Editor),
Springer, (December 3, 2010), Paperback, 312 pages |  | Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages |  | Derivatives Trading and Option Pricing
by Nicholas Dunbar (Editor)
Risk Books, (March 2005), Hardcover, 415 pages |  | Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher
John Wiley & Sons, (January 15, 2003), Hardcover, 600 pages |
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