SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimating Credit Contagion in a Standard Factor Model
11 references·0 citing·40 second hop
Estimating Credit Contagion in a Standard Factor Model (2008)Estimating Credit Contagion in a Standard…Parameterizing credit risk models (2006)Parameterizing credit risk mo…Misspecified copulas in credit risk models: how good is Gaussian? (2005)Misspecified copulas in credi…Credit contagion and aggregate losses (2005)Credit contagion and aggregat…Credit risk enhancement in a network of interdependent firms (2004)Credit risk enhancement in a …A Simple Model of Credit Contagion (2004)A Simple Model of Credit Cont…Dependent defaults in models of portfolio credit risk (2003)Dependent defaults in models …An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Sticks and Stones (1955)Sticks and StonesPricing Derivatives on Financial Securities Subject to Credit Risk (1995)Modeling Term Structures of Defaultable Bonds (1999)Financial Contagion (2000)The Economic Crisis is a Crisis for Economic Theory (2010)Firm-network characteristics and economic robustness to natural disasters (2011)Contagion and risk-sharing on the inter-bank market (2013)An Introduction to Copulas (1999)Beyond Correlation: Extreme Co-Movements between Financial Assets (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Selecting copulas for risk management (2007)Default Cascades: When Does Risk Diversification Increase Stability? (2011)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Credit risk—A structural model with jumps and correlations (2007)Credit contagion and credit risk (2009)Spatial Interaction Model of Credit Risk Contagion in the CRT Market (2014)A Markov Model for the Term Structure of Credit Risk Spreads (1997)Credit Risk: Modeling, Valuation and Hedging (2004)Stochastic cascades, credit contagion, and large portfolio losses (2006)Counterparty Contagion in Context: Contributions to Systemic Risk (2013)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Martingales and arbitrage in multiperiod securities markets (1979)Common Failings: How Corporate Defaults Are Correlated (2007)Credit Contagion from Counterparty Risk (2009)On Default Correlation (2000)Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations (2008)Measure of financial risk using conditional extreme value copulas with EVT margins (2009)Credit risk modeling with affine processes (2005)Neural nets versus conventional techniques in credit scoring in Egyptian banking (2007)A multicriteria outranking approach for modeling corporate credit ratings: An application of the Electre Tri-nC method (2018)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)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

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2002An Introduction to Credit Risk Modeling318 cited
  • 2003Dependent defaults in models of portfolio credit risk303 cited
  • 2005Credit contagion and aggregate losses172 cited
  • 1955Sticks and Stones116 cited
  • 2005Misspecified copulas in credit risk models: how good is Gaussian?44 cited
  • 2004Credit risk enhancement in a network of interdependent firms37 cited
  • 2004A Simple Model of Credit Contagion37 cited
  • 2006Parameterizing credit risk models32 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work