Bernardo Pagnoncelli

Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates

“Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates”, Arturo Cifuentes and Bernardo Pagnoncelli. Journal of Derivatives. Winter 2014, 22 (2), pages 110-118.
Credit risk derivatives and securitization techniques are difficult topics to teach.  Most students have preconceived ideas about them.  Some [...]

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Credit risk assessment of fixed income portfolios using explicit expressions

“Credit risk assessment of fixed income portfolios using explicit expressions”, Bernardo K. Pagnoncelli   and  Arturo Cifuentes.  Finance Research Letters. 2014. Volume 11, pages 224-230.

We propose a model to assess the credit risk features of fixed income portfolios assuming they can [...]

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