Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Estimating Default Correlations from Short Panels of Credit Rating Performance Data

2 references·8 citing·38 second hop

FromToDepth

this work references cited by second hop

References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
2000A comparative anatomy of credit risk models719 cited

Cited by

2006Procyclicality in Basel II: Can we treat the disease without killing the patient?406 cited
2006Dependent credit migrations47 cited
2008Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations42 cited
2008Correlation and asset correlation in the structural portfolio model23 cited
2007Credit portfolios: What defines risk horizons and risk measurement?20 cited
2011Asset correlations for credit card defaults17 cited
2007Calibrating asset correlation for Indian corporate exposures17 cited
2012Asset correlations and bank capital adequacy15 cited

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