Christoffersen Peter

Peter Christoffersen

Information about the author Peter Christoffersen will soon be added to the site.
Found 4 papers in total
Rare Disasters, Credit, and Option Market Puzzles
Rare Disasters, Credit, and Option Market Puzzles
2017
We embed systematic default, procyclical recovery rates, and external habit...
Evaluating Value‐at‐Risk Models with Desk‐Level Data
Evaluating Value‐at‐Risk Models with Desk‐Level Data
2011
We present new evidence on disaggregated profit and loss (P/L) and...
The shape and term structure of the index option Smirk: Why multifactor stochastic volatility models work so well
The shape and term structure of the index option Smirk: Why multifactor stochastic volatility models work so well
2009
State-of-the-art stochastic volatility models generate a ‘volatility...
Which GARCH model for option valuation?
Which GARCH model for option valuation?
2004
Characterizing asset return dynamics using volatility models is an important part of...
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