Pierre Collin-Dufresne

University of California-Berkeley -- Associate Professor
Haas School of Business F628
Student Services Building #1900
Berkeley, CA  94720-1900
USA

• HEC School of Management , Ph. D.  (Paris, 1998)
• Coauthor of "Martingale Pricing" Risk Publications, 1997
• Asset and Derivative Pricing, Fixed Income, and Credit Risk.

Publications: that are posted on DefaultRisk.com

Credit Pricing

On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
by Long Chen of Michigan State University,
Pierre Collin-Dufresne of the University of California Berkeley, and
Robert S. Goldstein of the University of Minnesota
(608K PDF) -- 58 pages -- March 17, 2006

Collin-Dufresne, Pierre, Robert S. Goldstein, and Julien Hugonnier, "A General Formula for Pricing Defaultable Claims", Econometrica, Vol. 72, No. 5 (September 2004), pp. 1377-1407. [Abstract]

Do Credit Spreads Reflect Stationary Leverage Ratios?
by Pierre Collin-Dufresne of Carnegie Mellon University, and
Robert S. Goldstein of Washington University, St. Louis
(410K PDF) -- 30 pages -- October 2001

Collin-Dufresne, Pierre , Robert S. Goldstein, and J. Spencer Martin, "The Determinants of Credit Spread Changes", Journal of Finance, Vol. 56, No. 6, (December 2001), pp. 2177-2207. [Abstract]

Collin-Dufresne, Pierre and Bruno Solnik, "On the Term Structure of Default Premia in the Swap and LIBOR Markets", Journal of Finance, Vol. 56, No. 3, (June 2001), pp. 1095-1115. [Abstract]

Credit Correlation

Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
by Pierre Collin-Dufresne of Carnegie-Mellon University,
Robert S. Goldstein of Washington University, and
Jean Helwege of Ohio State University
(857K PDF) -- 70 pages -- December 10, 2003

Other Credit Papers

Pricing and Hedging in the Presence of Extraneous Risks
by Pierre Collin-Dufresne of the University of California Berkeley, and
Julien Hugonnier of the Swiss Finance Institute and HEC Université de Lausanne
(314K PDF) -- 29 pages -- October 16, 2006

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