Mathematical Sciences and an adjunct professor at the University of Toronto's
graduate program in Mathematical Finance.
Garcia Cespedes J. C., Keinin A., de Juan Herrero J. A. and Rosen D., 2005, “A Simple Multi-Factor
“Factor Adjustment” for the Treatment of Credit Capital Diversification”, Journal of Credit Risk,
submitted
- (Pesented at the Concentration Risk Workshop, organized by the Basel Committee on Banking
Supervision, Nov 2005)
De Prisco B. and Rosen D., 2005, “Modelling Stochastic Counterparty Exposures in Derivatives
Portfolios”, in Counterparty Credit Risk (M. Pykhtin, Editor), Risk Books
Mausser H. and Rosen D., 2005, Understanding Economic Credit Capital Allocation and Risk
Contributions, in Handbook of Financial Engineering (J. Birge and V. Linetsky Editors), upcoming
Mausser H. and Rosen D, 2005, “Scenarios-Based Risk Management Tools”, in Applications of
Stochastic Programming (Wallace S.W. and Ziemba W.T. Editors), MPS-SIAM - Series in Optimization
December 2005
- ICBI Risk Management, Geneva, "Capital Diversification, Allocation and Reconciliation in Credit
Portfolios"
- Stock exchange, Mexico, " Economic Capital and Concentration Risk"
Nov 2005:
- Concentration Risk Workshop (Basel Committee on Banking Supervision and the Journal of
Credit Risk), “A Simple Multi-Factor “Factor Adjustment” for the Treatment of Diversification in
Credit Capital Rules”
- University of Waterloo (Canada) and University of Ulm (Germany), "Understanding Credit
Diversification"
Seminars at Fields
PRMIA Seminars
at Fields
Chapter III.B6: Rosen D., 2004, “Calculating Credit Risk Capital”
Chapter III.0: Aziz A., Rosen D., 2004, “Capital Allocation and RAPM”
