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Joao Garcia |
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My Info: |
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Name: |
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Joao Garcia |
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Email: |
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[email protected] |
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Welcome to my web page (Please check a Disclaimer somewhere in this page).
I currently work at the Credit Modeling Team at the Front Office (Treasury and Financial Markets) of Dexia Group the holding that owns Dexia Bank (in Belgium), DCL in France and Dexia Luxenbourg.
Here you will find the most recent papers I and Serge Goossens (a member of the team) have written in the last months.
My current interests include (in order of priority):
a) designing trading strategies for credit derivatives in general;
b) studying trading patterns for credit derivatives indexes (both under Levy and Gaussian copulas);
c) designing trading strategies involving iTrxx/CDX (and their highvols) plus Crossover;
d) building models for ABX / CMBX and LevX. |
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Credit Derivatives Papers (from oldest to most recent) |
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On Pricing CSO's (about 370 kb) |
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In this paper we show how to price a credit spread option using the Black Karazinsky tree. The BK model is calibrated using the price we had for an european CSO on the underlying. (a version of this paper was been published in Journal of Mathematical Finance). |
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On Pricing a CDS ( about 110 kb) |
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In this paper we show how to price a simple CDS using an algorithm published in Risk magazine by Richard Martin et al. (a version of this paper was publised in a Belgian journal for banking practicioners). |
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Credit CPPI paper (about 250 kb) |
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In this paper we discuss the pricing of credit CPPI using both Gaussian and Levy processes (a version of this paper has been submited for publication). |
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We (Serge and I) have talked about it on Risk Training both in London and New York and for Marcus Evans in London |
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Levy Base Expected Loss (about 185 kb) |
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The main insight behind this paper is that one should make interpolation and trading decisions looking at risk neutral expected loss and not base correlation. (a version of this paper has been submited for publication) |
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Levy BC Explained (about 235 kb) |
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In this paper we show the results of a historical study using both Gaussian copula and Levy models for pricing synthetic index CDO's (in this case iTraxx Europe). (we have posted it in Defaultrisk.com) |
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Economic Capital Presentations and Papers |
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Allocating Credit Economic Capital |
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In this paper we show the results of a study of different approaches for allocating credit Economic Capital. The main insight behind this paper is that you may use VaR to evaluate EC but you better use Expected Shortfall to allocate it (this is in fact an approach largely used by market practicioners). This paper has been published in the proceedings of a Belgian conference. |
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Working Papers |
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On Pricing Baskets (about 110 kb) |
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On using the BETapproach to rate CDO's (about 90 kb) |
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Comparing the BET and the Copula approaches to quote CDO's (about 86 kb) |
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Some interesting links: |
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Default Risk
Financial Times
The NY Times
BBC
Reuters
Barrons
On TA for stock selection |
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Last update: Aug 15th 2007 (4:00 AM) |
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Disclaimer: The works in here published represent the ideas of the authors only and do not represent necessarily the views of the companies where they work. |
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