Details about Philipp Schönbucher

Access statistics for papers by Philipp Schönbucher.

Last updated 2009-08-19. Update your information in the RePEc Author Service.

Short-id: psc6

Working Papers

2007

1. Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
   See also Journal Article Background filtrations and canonical loss processes for top-down models of portfolio credit risk, Finance and Stochastics, Springer (2009) View citations (7) (2009)

2006

2. Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2000

3. A Libor Market Model with Default Risk
   Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) View citations (24)
4. A Tree Implementation of a Credit Spread Model for Credit Derivatives
   Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) View citations (4)
5. Factor Models for Portofolio Credit Risk
   Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) View citations (19)

1999

6. An American in Paris
   OFRC Working Papers Series, Oxford Financial Research Centre View citations (1)
7. The Valuation of a Firm Advertising Optimally
   OFRC Working Papers Series, Oxford Financial Research Centre View citations (2)
   See also Journal Article The valuation of a firm advertising optimally, The Quarterly Review of Economics and Finance, Elsevier (1998) View citations (7) (1998)
8. The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering
   OFRC Working Papers Series, Oxford Financial Research Centre View citations (4)

1997

9. Team Structure Modelling of Defaultable Bonds
   FMG Discussion Papers, Financial Markets Group View citations (22)

Journal Articles

2009

1. Background filtrations and canonical loss processes for top-down models of portfolio credit risk
   Finance and Stochastics, 2009, 13, (1), 79-103 View citations (7)
   See also Working Paper Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk, Swiss Finance Institute Research Paper Series (2007) View citations (1) (2007)

2004

2. Applied Computational Economics and Finance. Mario J. Miranda and Paul L. Fackler
   Journal of the American Statistical Association, 2004, 99, 565-566

1998

3. The valuation of a firm advertising optimally
   The Quarterly Review of Economics and Finance, 1998, 38, (2), 149-166 View citations (7)
   See also Working Paper The Valuation of a Firm Advertising Optimally, OFRC Working Papers Series (1999) View citations (2) (1999)

Chapters

2022

1. Making Data Pay
   Springer