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Pierre Collin-Dufresne
Columbia University -- Professor of Finance
Columbia Business School
3022 Broadway, Uris Hall 404
New York, NY 10027
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.
| Contact: | | Email address secured by Enkoder. | | Phone | +1 (212) 854-6471 | | Fax | +1 (212) 316-9180 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Pricing On Bounding Credit Event Risk Premia
by Jennie Bai of Federal Reserve Bank of New York,
Pierre Collin-Dufresne of Columbia University,
Robert S. Goldstein of University of Minnesota, and
Jean Helwege of University of South Carolina
(535K PDF) -- 30 pages -- October 2012 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 Valuing Defaultable Securities", Econometrica, Vol. 72, No. 5, (September 2004), pp. 1377-1407. Do Credit Spreads Reflect Stationary Leverage Ratios?
by Pierre Collin-Dufresne of Carnegie Mellon University, and
Robert S. Goldstein of Washington University, St. Louis
(605K 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. 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. Credit Correlation Modeling Credit Contagion via the Updating of Fragile Beliefs
by Luca Benzoni of Federal Reserve Bank of Chicago,
Pierre Collin-Dufresne of Columbia University,
Robert S. Goldstein of University of Minnesota, and
Jean Helwege of University of South Carolina
(1128K PDF) -- 42 pages -- February 28, 2011 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 & HEC Université de Lausanne
(415K PDF) -- 24 pages -- June 2007 [Home] [Credit Researchers] [Top Ten Most Prolific]
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