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Publications



Publications in refereed journals

(with Christian Skov Jensen and Lasse Heje Pedersen): Generalized Recovery, Journal of Financial Economics, Vol 133(1), July 2019, pp. 154-174 (with Sven Klingler): Safe-Haven CDS Premiums, The Review of Financial Studies, Vol 31(5), 1 May 2018, pp 1856–1895 (with Thais Lærkholm-Jensen and Mamdouh Medhat): Cyclicality and Firm-size in Private Firm Defaults, International Journal of Central Banking, vol. 13 (4), December 2017, pp. 97-145 (with René Kallestrup and Agatha Murgoci): Financial sector linkages and the dynamics of bank and sovereign credit spreads, Journal of Empirical Finance, Vol 38 (A), September 2016, pp. 374–393 (with Cathrine Jessen): Robustness of Distance-to-Default. Journal of Banking and Finance, 2015, vol. 50 (1), pp. 493–505 (with Peter Ove Christensen, Christian Riis Flor and Kristian R. Miltersen): , Journal of Corporate Finance, 2014, vol. 29, pp. 644–661 (with Mamdouh Medhat, Mads Stenbo Nielsen and Søren Feodor Nielsen) Additive intensity regression models in corporate default analysis, Journal of Financial Econometrics, 2013, vol. 11, No. 3, 443—485 (with Peter Feldhütter and Jens Dick-Nielsen) Corporate bond liquidity before and after the onset of the subprime crisis, Journal of Financial Economics, 2012, vol.103, 471-492 (with Mads Stenbo Nielsen) Correlation in corporate defaults: Contagion or conditional independence? Journal of Financial Intermediation, 2010, vol. 19, pp. 355-372 (with Peter Feldhütter) Decomposing Swap Spreads, Journal of Financial Economics, 2008, vol. 88, pp.375-405. Winner of Award for Best Paper on Quantitative Investments at Western Finance Association’s 2006 meeting (with Allan Mortensen) Revisiting the slope of the credit spread curve, Journal of Investment Management, 2005, vol. 3, pp. 1-27 (with Allan Mortensen) Mispricing of step-up bonds in the European telecom sector, The Journal of Credit Risk, 2004/05, vol. 1, no 1, pp. 71-110 (with Robert Jarrow and Fan Yu) Default risk and Diversification: Theory and empirical implications, Mathematical Finance, 2005, vol. 15, no.1, pp. 1-26 (with Jens Christensen and Ernst Hansen) Confidence sets for continuous-time rating transition probabilities, Journal of Banking and Finance, 2004, vol. 28, no. 11, pp. 2575-2602 (with Peter Fledelius and Jens Perch Nielsen) Non-parametric analysis of rating transition and default data, Journal of Investment Management, 2004, vol. 2, no.2, pp. 71-85 (with Torben Skødeberg) Analyzing rating transitions and rating drift with continuous observations, Journal of Banking and Finance, 2002, vol. 26, pp. 423-444 (with Darrell Duffie) Term structures of credit spreads with incomplete accounting information, Econometrica, 2001, vol. 69, no. 3 (May), pp. 633-664 Hvad praktikere bør vide om… Rating-baserede modeller for erhvervsobligationer. (In Danish) Finans/Invest, 2000, pp. 21-27 (with Brian Huge) Swap pricing with two-sided default risk in a rating based model, European Finance Review, 1999, vol. 3, pp. 239-268 On Cox processes and credit risky securities, Review of Derivatives Research, 1998, vol. 2, pp. 99-120 (See the pdf here: (1998). On Cox Processes and Credit Risky Securities (with Peter Ove Christensen and Kristian R. Miltersen) State dependent realignments in target zone currency regimes, Review of Derivatives Research, 1998, vol. 1, no. 4, pp. 295-323 (with Robert Jarrow and Stuart Turnbull) A Markov model for the term structure of credit risk spreads, Review of Financial Studies, 1997, vol. 10, pp. 481-523 On jump-diffusion option pricing from the viewpoint of semimartingale characteristics, Surveys in Applied and Industrial Mathematics, 1999, vol. 2, no. 4, pp. 605-625

Books etc.

Credit Risk Modeling – Theory and Applications, 2004, Princeton University Press (320 pages). Three Essays on Contingent Claims Pricing, PhD Thesis, 1994, Cornell University

Contributions to books, encyclopedias and other publications

(with Jens Dick-Nielsen) Corporate bonds, (2016). In Handbook of Fixed-Income Securities, Pietro Veronesi (ed.), ch. 22, 541-560, Wiley.
Link: http://eu.wiley.com/WileyCDA/WileyTitle/productCd-1118709195.html
Some Lessons from CDO Markets on Mathematical Models, (2013). In Global Asset Management – Strategies, Risks, Processes, and Technologies, Michael Pinedo and Ingo Walter (Eds). Palgrave Macmillan Rating transition matrices, (2010). In Encyclopedia of Quantitative Finance, R. Cont (ed), John Wiley and Sons Ltd (with René Kallestrup) The collapse of the Icelandic Banking System, 2010. In Lessons from the Financial Crisis. Arthus Berd (ed). Risk Books, pp.51-105 Some thoughts on the role of mathematical models in the light of the crisis, 2009. In Understanding the financial crisis: Investment, risk and governance, S. Thomsen, O. Risager and C. Rose (eds), SimCorp Strategy Lab Credit risk Modeling, 2009. In Handbook of Financial Time Series, Andersen, T.G.; Davis, R.A.; Kreiß, J.-P.; Mikosch, Th. (Eds). Springer Verlag, pp. 787-797. Intensity Modeling: The Cox process, 2008. In Encyclopedia of quantitative risk assessment and analysis, Melnich, E. and Everitt, B. (eds),Wiley Om Credit Default Swaps of finanskrisen (In Danish), 2008, Aktionæren, December, pp. 24-26. On Transparency of quantitative work in finance, 2006, Financial Engineering News, November/December issue, pp.1-2 Modellering af kreditrisiko (In Danish), 2005. In Udviklingslinier i finansiering, Michael Christensen (ed), Jurist- og Økonomforbundets Forlag, Copenhagen, pp. 183-214 On correlation in intensity models, 2004. In Pricing, Rating, Risk Management and Basel II, William Perraudin (ed), Risk Books, Incisive Financial Publishing, pp. 69-83 Some elements of rating-based credit risk modeling, 2000. In Advanced Tools for the Fixed Income Professional, N. Jegadeesh and B. Tuckman (eds), Wiley, pp. 193-215 Introduction. In Derivative Credit Risk. RISK Publications, pp. xi-xiv, 1999 On rating transition analysis and correlation, 1998. In Credit Derivatives. Applications for Risk Management, Investment and Portfolio Optimisation. Risk Books, Risk Publications, pp. 147-155 Modelling bonds and derivatives with credit risk, 1997. In Mathematics of Derivative Securities, M. Dempster and S. Pliska (eds), Cambridge University Press, pp. 369-393


Last updated by Administrator 04/10/2016