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Credit Risk: Modeling, Valuation and Hedging

8 references·16 citing·34 second hopsampled

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References

1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
1999Modeling Term Structures of Defaultable Bonds2,547 cited
1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
2000On Default Correlation1,257 cited
1998On cox processes and credit risky securities1,213 cited

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2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
2006Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence182 cited
2009

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CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

169 cited

2004Option Pricing: Valuation Models and Applications164 cited

2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA163 cited

2004Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model163 cited

2005Credit risk modeling with affine processes159 cited

2007CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS159 cited

2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited

2006PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY152 cited

2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited

2010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis137 cited