Recent publications by Lucas Bernard, Adjunct Associate Professor in the Financial Engineering Department:
Firm Value, Diversified Capital Assets and Credit Risk: Towards a Theory of Default Correlation (with Grüne, L. & Semmler, W.), Journal of Credit Risk, 3(4) Winter 2007/08
Abstract excerpt: Previous work by Grüne and Semmler (2005), focusing on a single firm, has shown that firm-value models, incorporating company-specific endogenous risk premia, imply that exposure to risk does impact asset value. In this paper, we extend these results to study the effects of random shocks to diversified capital assets, wherein the shocks are correlated to varying degrees. Thus, we construct a framework within which the effects of correlated shocks to capital assets can be related to the probability of default for the company.
The Foundations of Credit Risk Analysis (edited with Semmler,W.), Edward Elgar Publishing Ltd., Cheltenham, United Kingdom, 2007
Description: The explosive growth of the credit risk industry is symbolic not only of the rapid expansion of finance into new and global markets, but is also representative of a widespread shift. The securitization of risk and, in particular, its transfer through the resulting credit derivatives, has dramatically changed the ways in which both the world economy and the finance industry work. This authoritative collection of key papers provides an overview of the subject from its beginnings through to current scholarship in this area.