83 citations · 87 across the 5 of their papers we have counts for
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q-fin.RM2010
Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets
Alex Langnau, Daniel Cangemi
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to…
q-fin.PR2010
A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
Alex Langnau
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models…