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A Remark on default risk models

2 references·16 citing·45 second hopsampled

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References

1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited

Cited by

2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS201 cited
2005Default and information195 cited
2004A General Formula for Valuing Defaultable Securities181 cited
2005Credit risk modeling with affine processes159 cited
2007CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS159 cited
2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
2004MODELING CREDIT RISK WITH PARTIAL INFORMATION144 cited
2005A Top-Down Approach to Multi-Name Credit139 cited
2004Hazard rate for credit risk and hedging defaultable contingent claims121 cited
2010What happens after a default: The conditional density approach110 cited
2004Hedging of Defaultable Claims105 cited
2009Stochastic mortality under measure changes102 cited
2001DEFAULT RISK AND DIVERSIFICATION: THEORY AND APPLICATIONS92 cited
2006

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Common Failings: How Corporate Defaults are Correlated

88 cited

2006Portfolio optimization with a defaultable security86 cited

2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISK84 cited