David Saunders
David Saunders
Department of Statistics and Actuarial Science, University of Waterloo
Verified email at uwaterloo.ca - Homepage
Title
Cited by
Cited by
Year
Risk Contributions of Systematic Factors in Portfolio Credit Risk Models
D Rosen, D Saunders
Journal of Banking and Finance 34 (2), 336-349, 2010
93*2010
Portfolio Optimization when Asset Returns Have the Gaussian Mixture Distribution
I Buckley, D Saunders, L Seco
European Journal of Operational Research 185 (3), 1461, 2008
782008
Effective Modelling of Wrong-Way Risk, CCR Capital and Alpha in Basel II
JC Garcia-Cespedes, JA de Juan Herrero, D Rosen, D Saunders
Journal of Risk Model Validation 4 (1), 71-98, 2010
58*2010
Optimising Omega
H Mausser, D Saunders, L Seco
Risk, 88-92, 2006
552006
CVA the Wrong Way
D Rosen, D Saunders
Journal of Risk Management in Financial Institutions 5 (3), 252-272, 2012
522012
Valuation of a Guaranteed Minimum Income Benefit
C Marshall, M Hardy, D Saunders
North American Actuarial Journal 14 (1), 38-58, 2010
522010
Valuation of a Guaranteed Minimum Income Benefit
C Marshall, M Hardy, D Saunders
North American Actuarial Journal 14 (1), 38-58, 2010
522010
Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case
A Consiglio, D Saunders, S Zenios
Journal of Banking and Finance 30 (2), 645-667, 2006
522006
Phase Resetting and Coupling of Noisy Neural Oscillators
B Ermentrout, D Saunders
Journal of Computational Biology 20 (2), 179-190, 2006
512006
Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios
D Rosen, D Saunders
Journal of Economic Dynamics and Control 33 (1), 37-52, 2009
382009
Credit Risk Optimization Using Factor Models
C Xiouros, D Saunders, S Zenios
Annals of Operations Research 152 (1), 49-77, 2007
31*2007
Analysis of an Inverse First Passage Problem from Risk Management
L Cheng, X Chen, J Chadam, D Saunders
SIAM Journal on Mathematical Analysis 38 (3), 845-873, 2006
312006
Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models
D Rosen, D Saunders
Journal of Credit Risk 5 (3), 3-36, 2009
252009
Optimal Investment Strategies for Participating Insurance Contracts
H Lin, D Saunders, C Weng
Insurance: Mathematics and Economics 73, 137-155, 2017
192017
Existence and Uniqueness of the Solution to the Inverse Boundary Crossing Problem for Diffusions
X Chen, L Cheng, J Chadam, D Saunders
Annals of Applied Probability 21 (5), 1663-1693, 2011
142011
Improved Algorithms for Computing Worst Value-at-Risk
M Hofert, A Memartoluie, D Saunders, T Wirjanto
Statistics and Risk Modeling 34 (1-2), 13-31, 2017
122017
Market-Consistent Valuation and Funding of Cash Balance Pensions
M Hardy, D Saunders, X Zhu
North American Actuarial Journal 18 (2), 294-314, 2014
122014
Pricing Timer Options under Fast Mean-Reverting Stochastic Volatility
D Saunders
Canadian Applied Mathematics Quarterly 17 (4), 737-753, 2009
122009
A Fund of Hedge Funds under Regime Switching
D Saunders, L Seco, C Vogt, R Zagst
Journal of Alternative Investments 15 (4), 8-23, 2013
102013
Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit
C Marshall, M Hardy, D Saunders
North American Actuarial Journal 16 (2), 143-182, 2012
82012
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