Philipp J. Schönbucher
9th Most Prolific Credit Author in DefaultRisk
10th Most Popular Author in DefaultRisk.com
Eidgenössische Technische Hochschule (ETH) Zürich -- Department of Mathematics
HG F 42.2 Eth Zentrum
CH-8092 Zürich
Switzerland
- Bonn University, Ph. D. (Credit Risk Modelling and Credit Derivatives) (1995-2000)
- Derivative Pricing and hedging, financial market and mathematical finance. Credit risk and credit derivatives. Stochastic volatility. Term structure of interest-rate modeling.
| Contact: | | Email address secured by Enkoder. |
| Phone | +41 1 632 6409 |
| Fax | +41 1 632 1085 |
| e-mail |
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| Web Pages | | |
| Official Home Page | Philipp J. Schönbucher's Homepage | Contact information, brief biography, and links to department, school and personal home page. |
| "Personal" Home Page | Philipp J. Schönbucher's Homepage | Contact information, research, publications, working papers, teaching, conferences, CV, Case Study spreadsheets |
| Worldwide Directory of Finance Faculty | Philipp Schönbucher Bonn University | Incorrect contact information and nothing else. |
Publications: that are posted on DefaultRisk.com
Credit Pricing
Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
by Philippe Ehlers of ETH Zurich, and
Philipp J. Schönbucher of ETH Zurich
(326K PDF) -- 34 pages -- December 2006
A LIBOR Market Model with Default Risk
by Philipp J. Schönbucher of Bonn University
(254K PDF) -- 30 pages -- December 2000
Schönbucher, Philipp J., "Term Structure Modelling of Defaultable Bonds", Review of Derivatives Research, Vol. 2, No. 2-3 (December 1998), pp. 161-192. [Abstract]
Credit Modeling
Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers of ETH Zurich, and
Philipp Schönbucher of ETH Zurich
(268K PDF) -- 25 pages -- December 2006
Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives
by Philipp J. Schönbucher of ETH Zürich
(350K PDF) -- 27 pages -- June 2006
Modelling Dynamic Portfolio Credit Risk
by Ebbe Rogge of the Imperial College of London & ABN AMRO Bank, and
Philipp J. Schönbucher of EHT Zurich
(379K PDF) -- 28 pages -- February 2003
Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions
by Philipp J. Schönbucher of Bonn University
(410K PDF) -- 23 pages -- August 2002
Factor Models for Portfolio Credit Risk
by Philipp J. Schönbucher of Bonn University
(142K PDF) -- 20 pages -- December 2000
Credit Derivatives
A Note on Survival Measures and the Pricing of Options on Credit Default Swaps
by Philipp J. Schönbucher of ETH Zürich
(274K PDF) -- 9 pages -- May 2003
A Tree Implementation of a Credit Spread Model for Credit Derivatives
by Philipp J. Schönbucher of the Department of Statistics, Bonn University, Bonn University
(253K PDF) -- 35 pages -- June 1999
Credit Risk Derivatives and Competition in the Loan Market: (Simplified Version)
by Philipp J. Schönbucher of Bonn University, and
Erik Schlögl of the University of Technology, Sydney
(197K PDF) -- 10 pages -- February 8, 1999
Pricing Credit Risk Derivatives
by Philipp J. Schönbucher of the London School of Economics
(222K PDF) -- 16 pages -- January 1998
Credit Correlation
Information-Driven Default Contagion
by Philipp J. Schönbucher of ETH Zürich
(351K PDF) -- 27 pages -- December 2003
Copula-Dependent Default Risk in Intensity Models
by Philipp J. Schönbucher of Bonn University, and
Dirk Schubert of Bonn University
(299K PDF) -- 30 pages -- December 2001
Other
The Influence of FX Risk on Credit Spreads
by Philippe Ehlers of ETH Zürich, and
Philipp Schönbucher of ETH Zürich
(372K PDF) -- 35 pages -- January 2006
Book:
 | Derivatives Trading and Option Pricing
by Nicholas Dunbar (Editor)
Risk Books, (March 2005), Hardcover, 415 pages |
 | Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher
John Wiley & Sons, (January 15, 2003), Hardcover, 600 pages |
 | Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann
by Klaus Sandmann (Editor), Philip J. Schönbucher (Editor),
Springer, (May 28, 2002), Hardcover, 312 pages |
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