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A Comparison of Stochastic Default Rate Models
8 references·3 citing·39 second hop
A Comparison of Stochastic Default Rate Models (2000)A Comparison of Stochastic Default Rate M…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…On Default Correlation (2000)On Default CorrelationA comparative anatomy of credit risk models (2000)A comparative anatomy of cred…Reconcilable Differences (1999)Reconcilable DifferencesOn Default Correlation: A Copula Function Approach (1999)On Default Correlation: A Cop…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Portfolio Credit Risk (1998)Portfolio Credit RiskSticks and Stones (1955)Sticks and StonesConstant Proportion Debt Obligations: A Postmortem Analysis of Rating Models (2011)Constant Proportion Debt Obli…Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models (2008)Modelling the credit risk for…Discrete versus continuous state switching models for portfolio credit risk (2005)Discrete versus continuous st…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Are Ratings Consistent with Default Probabilities?: Empirical Evidence on Banks in Emerging Market Economies (2007)Offline Simulation Online Application: A New Framework of Simulation-Based Decision Making (2019)A survey of machine learning in credit risk (2021)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)An Introduction to Copulas (1999)Copula-Dependent Defaults in Intensity Models (2002)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Dependence in probabilistic modeling, Dempster-Shafer theory, and probability bounds analysis. (2004)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Credit Risk Modeling (2004)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)ARCH modeling in finance (1992)Explaining the Rate Spread on Corporate Bonds (2001)Monte Carlo Methods in Financial Engineering (2003)The Risk of a Mortality Catastrophe (2015)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Improving Relationships: Mechanisms of Change in Couple Therapy. (2005)Couple and individual adjustment for 2 years following a randomized clinical trial comparing traditional versus integrative behavioral couple therapy. (2006)The Natural Principles of Love (2017)The intersection of market and credit risk (2000)Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)Ethnic Diversity and Perceptions of Safety in Urban Middle Schools (2006)Handbook of Bullying in Schools (2009)An Empirical Evaluation of Explanations for State Repression (2014)
this work references cited by second hop

References

  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2000On Default Correlation1,257 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 1998Portfolio Credit Risk362 cited
  • 1999On Default Correlation: A Copula Function Approach299 cited
  • 1999Reconcilable Differences171 cited
  • 1955Sticks and Stones116 cited

Cited by

  • 2005Discrete versus continuous state switching models for portfolio credit risk33 cited
  • 2011Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models28 cited
  • 2008Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models25 cited

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