Publications

PhD thesis

DTS (Duration Times Spread) - A New Measure of Spread Exposure in Credit Portfolios, with: Arik Ben Dor, Lev Dynkin, Jay Hyman, Erik van Leeuwen, Olaf Penninga, Journal of Portfolio Management|The, Winter, 2007, pp. 77-100
Pricing Default Swaps: Empirical Evidence, with: Ton Vorst, Journal of International Money and Finance, 24, 2005, pp. 1200-1225
Comparing Possible Proxies of Corporate Bond Liquidity, with: Albert Mentink, Ton Vorst, Journal of Banking and Finance, 29(6), 2005, pp. 1331-1358
Valuing Euro Rating-Triggered Step-Up Telecom Bonds, with: Albert Mentink, Ton Vorst, Journal of Derivatives|The, Spring, 2004, pp. 63-80
The Joint Estimation of Term Structures and Credit Spreads, with: Jaap Hoek, Frank Kleibergen, Journal of Empirical Finance, 8(3), 2001, pp. 297-323