Andrei Greenberg's publications

  1. D. O'Kane, L. Schloegl, A. Greenberg, "Leveraging Spread Premia with Correlation Products", Quantitative Credit Research Quarterly, Lehman Brothers, 2003-Q3.
  1. L. Schloegl, A. Greenberg, "Understanding Deltas of Synthetic CDO Tranches", Quantitative Credit Research Quarterly, Lehman Brothers, 2003-Q4.
  2. A.Greenberg, R. Mashal, M. Naldi, L. Schloegl, "Tuning Correlation and Tail Risk to the Market Prices of Liquid Tranches", Quantitative Credit Research Quarterly, Lehman Brothers, 2004-Q1.
  3. R. Thompson, M. Trinh, L. Isla, A. Greenberg, "Portfolio Asset Allocation with CDOs", Quantitative Credit Research Quarterly, Lehman Brothers, 2004-Q1.
  4. A. Greenberg, D. O'Kane, L. Schloegl, "LH+: A Fast Analytical Model for CDO Hedging and Risk Management", Quantitative Credit Research Quarterly, Lehman Brothers, 2004-Q2.
  5. L. Schloegl, A. Greenberg, "The Shape of Implied Loss Distributions", Quantitative Credit Research Quarterly, Lehman Brothers, 2005-Q1.
  6. A. Greenberg, "Arbitrage-Free Loss Surface Closest to Base Correlations", working paper, Rabobank International, 2008. pdf.
  7. V. Chorniy, A. Greenberg, "CRM for Correlation Trading Books: Modelling and Challenges", presentation to the WBS 6th Fixed Income Conference, 2010. pdf.
  8. V. Chorniy, A. Greenberg, "Tail Risk and Cross-Asset Infrastructure", presentation to the Global Derivatives, Trading and Risk Management Conference, Amsterdam, May 2014. pdf.
  9. V. Chorniy, A. Greenberg, L. Moran, "Credit-Equity Model Building Blocks", presentation to the WBS 10th Fixed Income Conference, Barcelona, September 2014. pdf.