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Philipp Schönbucher

Personal Details

First Name:Philipp
Middle Name:
Last Name:Schönbucher
Suffix:
RePEc Short-ID:psc6
http://www.schonbucher.de
Department of Mathematics ETH Zürich Rämistrasse 101 CH-8092 Zürich Switzerland
Terminal Degree:2000 Wirtschaftswissenschaftlicher Fachbereich; Rheinische Friedrich-Wilhelms-Universität Bonn (from RePEc Genealogy)

Affiliation

(in no particular order)

Wirtschaftswissenschaftlicher Fachbereich (Economics Department)
Rheinische Friedrich-Wilhelms-Universität Bonn (University of Bonn)

Bonn, Germany
http://www.econ.uni-bonn.de/

+49+228+73-7930
+49+228+73-9110
Adenauerallee 24-42, 53113 Bonn
RePEc:edi:wfbonde (more details at EDIRC)

Financial and Insurance Mathematics
Eidgenössische Technische Hochschule Zürich (ETHZ) (Federal Institute of Technology Zurich)

Zürich, Switzerland
http://www.math.ethz.ch/finance/




RePEc:edi:fiethch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Philippe Ehlers & Philipp J. Schoenbucher, 2006. "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series 07-07, Swiss Finance Institute.
  2. Philippe Ehlers & Philipp J. Schonbucher, 2006. "Pricing Interest Rate-SensitiveCredit Portfolio Derivatives," Swiss Finance Institute Research Paper Series 06-39, Swiss Finance Institute, revised Dec 2006.
  3. Philipp J. Schönbucher, 2000. "A Tree Implementation of a Credit Spread Model for Credit Derivatives," Bonn Econ Discussion Papers bgse17_2001, University of Bonn, Germany.
  4. Philipp J. Schönbucher, 2000. "Factor Models for Portofolio Credit Risk," Bonn Econ Discussion Papers bgse16_2001, University of Bonn, Germany.
  5. Philipp J. Schönbucher, 2000. "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers bgse15_2001, University of Bonn, Germany.
  6. D. Epstein & N.Mayor & P.Schonbucher & A.E. Whalley & P. Wilmott, 1999. "The Valuation of a Firm Advertising Optimally," OFRC Working Papers Series 1999mf01, Oxford Financial Research Centre.
  7. R. Haber & P. Schonbucher & P.Wilmott, 1999. "An American in Paris," OFRC Working Papers Series 1999mf14, Oxford Financial Research Centre.
  8. N. Mayor & P. Schonbucher & P.Wilmott & A.E. Whalley & D. Epstein, 1999. "The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering," OFRC Working Papers Series 1999mf13, Oxford Financial Research Centre.
  9. Philipp J. Schonbucher, 1997. "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers dp272, Financial Markets Group.
  10. Schönbucher, Philpp J., "undated". "A Market Model for Stochastic Implied Volatility," Discussion Paper Serie B 453, University of Bonn, Germany, revised May 1999.

Articles

  1. Philippe Ehlers & Philipp Schönbucher, 2009. "Background filtrations and canonical loss processes for top-down models of portfolio credit risk," Finance and Stochastics, Springer, vol. 13(1), pages 79-103, January.
  2. Schonbucher P., 2004. "Applied Computational Economics and Finance. Mario J. Miranda and Paul L. Fackler," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 565-566, January.
  3. Epstein, D. & Mayor, N. & Schonbucher, P. & Whalley, A. E. & Wilmott, P., 1998. "The valuation of a firm advertising optimally," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 149-166.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Philippe Ehlers & Philipp J. Schoenbucher, 2006. "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series 07-07, Swiss Finance Institute.

    Cited by:

    1. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2013. "Density approach in modelling multi-defaults," Working Papers hal-00870492, HAL.
    2. Ying Jiao, 2009. "Multiple defaults and contagion risks," Papers 0912.3132, arXiv.org.
    3. Jakob Sidenius & Vladimir Piterbarg & Leif Andersen, 2008. "A New Framework For Dynamic Credit Portfolio Loss Modelling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 163-197.
    4. El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2017. "Dynamics of multivariate default system in random environment," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3943-3965.
    5. Ernst Eberlein & Zorana Grbac & Thorsten Schmidt, 2010. "Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes," Papers 1006.2012, arXiv.org, revised Apr 2013.
    6. Ying Jiao, 2009. "Multiple defaults and contagion risks," Working Papers hal-00441500, HAL.

  2. Philippe Ehlers & Philipp J. Schonbucher, 2006. "Pricing Interest Rate-SensitiveCredit Portfolio Derivatives," Swiss Finance Institute Research Paper Series 06-39, Swiss Finance Institute, revised Dec 2006.

    Cited by:

    1. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 8.

  3. Philipp J. Schönbucher, 2000. "A Tree Implementation of a Credit Spread Model for Credit Derivatives," Bonn Econ Discussion Papers bgse17_2001, University of Bonn, Germany.

    Cited by:

    1. Jérôme Lelong & Antonino Zanette, 2010. "Tree methods," Post-Print hal-00776713, HAL.
    2. Gunter Meissner & Seth Rooder & Kristofor Fan, 2013. "The impact of different correlation approaches on valuing credit default swaps with counterparty risk," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1903-1913, December.
    3. Norbert Jobst & Stavros A. Zenios, 2001. "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers 01-25, Wharton School Center for Financial Institutions, University of Pennsylvania.

  4. Philipp J. Schönbucher, 2000. "Factor Models for Portofolio Credit Risk," Bonn Econ Discussion Papers bgse16_2001, University of Bonn, Germany.

    Cited by:

    1. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit Risk in General Equilibrium," CESifo Working Paper Series 4602, CESifo Group Munich.
    2. Diana Barro & Antonella Basso, 2008. "A network of business relations to model counterparty risk," Working Papers 171, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    3. Gagliardini, Patrick & Gouriéroux, Christian, 2013. "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2241-2269.
    4. Albrecht, Peter, 2005. "Kreditrisiken - Modellierung und Management: Ein Überblick," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 1(2), pages 22-152.
    5. Egon Kalotay, 2007. "Discussion of Hensher and Jones," Abacus, Accounting Foundation, University of Sydney, vol. 43(3), pages 265-270.
    6. Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent) 007, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    7. Crook, Jonathan N. & Edelman, David B. & Thomas, Lyn C., 2007. "Recent developments in consumer credit risk assessment," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1447-1465, December.
    8. Andrea Cipollini & Giuseppe Missaglia, 2008. "Measuring bank capital requirements through Dynamic Factor analysis," Center for Economic Research (RECent) 010, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    9. Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006. "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers 06-023/2, Tinbergen Institute.
    10. Diana Barro & Antonella Basso, 2008. "Credit contagion in a network of firms with spatial interaction," Working Papers 186, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    11. Dominique Guegan & Julien Houdain, 2006. "Hedging tranches index products : illustration of model dependency," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179325, HAL.
    12. Perli, Roberto & Nayda, William I., 2004. "Economic and regulatory capital allocation for revolving retail exposures," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 789-809, April.
    13. Zheng, Harry, 2006. "Interaction of credit and liquidity risks: Modelling and valuation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 391-407, February.
    14. Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305.
    15. Sylvain Prado, 2009. "Hedging residual value risk using derivatives," EconomiX Working Papers 2009-31, University of Paris Nanterre, EconomiX.
    16. Düllmann, Klaus & Trapp, Monika, 2004. "Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures," Discussion Paper Series 2: Banking and Financial Studies 2004,02, Deutsche Bundesbank.

  5. Philipp J. Schönbucher, 2000. "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers bgse15_2001, University of Bonn, Germany.

    Cited by:

    1. Bao, Qunfang & Li, Shenghong & Liu, Guimei, 2010. "Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing," MPRA Paper 27698, University Library of Munich, Germany, revised 27 Dec 2010.
    2. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 31.
    3. Zorana Grbac & Antonis Papapantoleon, 2012. "A tractable LIBOR model with default risk," Papers 1202.0587, arXiv.org, revised Oct 2012.
    4. Houweling, Patrick & Vorst, Ton, 2005. "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1200-1225, December.
    5. Joao B. C. Garcia & Helmut van Ginderen & Reinaldo C. Garcia, 2003. "On the Pricing of Credit Spread Options: A Two Factor HW–BK Algorithm," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 491-505.
    6. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "On the Hedging of Options On Exploding Exchange Rates," Papers 1202.6188, arXiv.org, revised Nov 2013.
    7. Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest," MPRA Paper 26277, University Library of Munich, Germany.
    8. Gaspar, Raquel M. & Schmidt, Thorsten, 2005. "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance 616, Stockholm School of Economics.
    9. Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong, 2010. "Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest," MPRA Paper 28250, University Library of Munich, Germany, revised 27 Dec 2010.
    10. Calice, Giovanni, 2011. "The Impact of Collateral Policies on Sovereign CDS Spreads," ECMI Papers 12234, Centre for European Policy Studies.
    11. Elena Loukoianova & Salih N. Neftci & Sunil Sharma, 2006. "Pricing and Hedging of Contingent Credit Lines," IMF Working Papers 06/13, International Monetary Fund.
    12. Ernst Eberlein & Fehmi Özkan, 2005. "The Lévy LIBOR model," Finance and Stochastics, Springer, vol. 9(3), pages 327-348, July.
    13. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.

  6. D. Epstein & N.Mayor & P.Schonbucher & A.E. Whalley & P. Wilmott, 1999. "The Valuation of a Firm Advertising Optimally," OFRC Working Papers Series 1999mf01, Oxford Financial Research Centre.

    Cited by:

    1. Christian-Oliver Ewald & Zhaojun Yang, 2008. "Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 97-123, August.
    2. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
    3. Bouasker, O. & Letifi, N. & Prigent, J.-L., 2016. "Optimal funding and hiring/firing policies with mean reverting demand," Economic Modelling, Elsevier, vol. 58(C), pages 569-579.
    4. Steven Li, 2002. "A valuation model for firms with stochastic earnings," School of Economics and Finance Discussion Papers and Working Papers Series 122, School of Economics and Finance, Queensland University of Technology.
    5. Marcel Philipp Müller & Sebastian Stöckl & Steffen Zimmermann & Bernd Heinrich, 2016. "Decision Support for IT Investment Projects," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 58(6), pages 381-396, December.
    6. Steven Li, 2003. "A valuation model for firms with stochastic earnings," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(3), pages 229-243.
    7. Pineiro-Chousa, Juan & Vizcaíno-González, Marcos, 2016. "A quantum derivation of a reputational risk premium," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 304-309.

  7. N. Mayor & P. Schonbucher & P.Wilmott & A.E. Whalley & D. Epstein, 1999. "The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering," OFRC Working Papers Series 1999mf13, Oxford Financial Research Centre.

    Cited by:

    1. S H Martzoukos, 2009. "Real R&D options and optimal activation of two-dimensional random controls," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(6), pages 843-858, June.
    2. Martzoukos, Spiros H. & Zacharias, Eleftherios, 2013. "Real option games with R&D and learning spillovers," Omega, Elsevier, vol. 41(2), pages 236-249.

  8. Philipp J. Schonbucher, 1997. "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers dp272, Financial Markets Group.

    Cited by:

    1. Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
    2. Philipp J. Schönbucher, 2000. "A Tree Implementation of a Credit Spread Model for Credit Derivatives," Bonn Econ Discussion Papers bgse17_2001, University of Bonn, Germany.
    3. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios, 2013. "Credit Derivatives Pricing With Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-28.
    4. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009. "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
    5. Alejandro Revéiz Hérault, 2002. "Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos," LECTURAS EN FINANZAS 002710, BANCO DE LA REPÚBLICA.
    6. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246 Elsevier.
    7. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6.
    9. Colino, Jesús P. & Stute, Winfried, 2008. "Credit risk with semimartingales and risk-neutrality," DES - Working Papers. Statistics and Econometrics. WS ws085417, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. Acharya, Viral V & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers 4098, C.E.P.R. Discussion Papers.
    11. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 8.
    12. Matti Koivu & Teemu Pennanen, 2010. "Reduced form models of bond portfolios," Papers 1011.3246, arXiv.org.
    13. Blackburn, Craig & Sherris, Michael, 2013. "Consistent dynamic affine mortality models for longevity risk applications," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 64-73.
    14. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
    15. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5.
    16. Gunter Meissner & Seth Rooder & Kristofor Fan, 2013. "The impact of different correlation approaches on valuing credit default swaps with counterparty risk," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1903-1913, December.
    17. Norbert Jobst & Stavros A. Zenios, 2001. "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers 01-25, Wharton School Center for Financial Institutions, University of Pennsylvania.

  9. Schönbucher, Philpp J., "undated". "A Market Model for Stochastic Implied Volatility," Discussion Paper Serie B 453, University of Bonn, Germany, revised May 1999.

    Cited by:

    1. Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015. "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 187(2), pages 418-435.
    2. T. F. Coleman & Y. Kim & Y. Li & M. Patron, 2007. "Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 347-376.
    3. Bedendo, Mascia & Hodges, Stewart D., 2009. "The dynamics of the volatility skew: A Kalman filter approach," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1156-1165, June.
    4. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
    5. David Heath & Eckhard Platen, 2003. "Pricing of index options under a minimal market model with log-normal scaling," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 442-450.
    6. Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
    7. Truc Le, 2014. "Intrinsic Prices Of Risk," Papers 1403.0333, arXiv.org, revised Aug 2014.
    8. K. Hamza & F. C. Klebaner, 2005. "On nonexistence of non-constant volatility in the Black-Scholes formula," Papers math/0502201, arXiv.org.

Articles

  1. Philippe Ehlers & Philipp Schönbucher, 2009. "Background filtrations and canonical loss processes for top-down models of portfolio credit risk," Finance and Stochastics, Springer, vol. 13(1), pages 79-103, January. See citations under working paper version above.
  2. Epstein, D. & Mayor, N. & Schonbucher, P. & Whalley, A. E. & Wilmott, P., 1998. "The valuation of a firm advertising optimally," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 149-166.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (3) 2001-09-26 2001-09-26 2001-09-26
  2. NEP-FIN: Finance (1) 2000-02-07
  3. NEP-RMG: Risk Management (1) 2007-10-20

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