J. Backhaus

Finance · 2004–2010

A researcher in the Science corpus: 3 papers; trusts 21 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 29 citations into it; #4,476 of 10,518 by trust here, #8,598 by citations
• Economics and Econometrics — 11 citations into it; #22,923 of 23,481 by trust here, #22,128 by citations

Whom J. Backhaus trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Tomasz R. Bielecki
2. Joost Driessen
3. Paul Glasserman
4. Rama Cont
5. Leif Andersen
6. Jon Gregory
7. Rüdiger Frey
8. M. Arnsdorf
9. Pierre Collin-Dufresne
10. Kay Giesecke

Who trusts J. Backhaus overall

1. St'ephane Cr'epey
2. Tomasz R. Bielecki
3. Rüdiger Frey

Papers from J. Backhaus's perspective

Ordered by how strongly the researchers J. Backhaus trusts endorse each paper. Same corpus, a different order for every researcher.

1. On Default Correlation: A Copula Function Approach
2. Basket Default Swaps, Cdos and Factor Copulas
3. Credit Risk: Modeling, Valuation And Hedging
4. Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings
5. PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
6. BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
7. Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation
8. Up and down credit risk
9. RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES
10. Monte Carlo Methods in Financial Engineering

Their papers

• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (2010) — 53 citations
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008) — 103 citations
• Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach (2004) — 49 citations