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Credit Events and the Valuation of Credit Derivatives of Basket Type
16 references·6 citing·27 second hop
Credit Events and the Valuation of Credit Derivatives of Basket Type (2000)Credit Events and the Valuation of Credit…Introduction to Stochastic Processes (2014)Introduction to Stochastic Pr…A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads (2000)A Two-Factor Hazard Rate Mode…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Credit Swap Valuation (1999)Credit Swap ValuationPricing the risks of default (1998)Pricing the risks of defaultA Markov Chain Model for Valuing Credit Risk Derivatives (1998)A Markov Chain Model for Valu…Valuing Risky Fixed Rate Debt: An Extension (1997)Valuing Risky Fixed Rate Debt…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic (1996)Pricing Credit-Sensitive Debt…Valuing Credit Derivatives (1995)Valuing Credit DerivativesPricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Modelling Dynamic Portfolio Credit Risk (2023)Modelling Dynamic Portfolio C…CREDIT RISK MODELS II: STRUCTURAL MODELS (2006)CREDIT RISK MODELS II: STRUCT…Credit Risk Models I: Default Correlation in Intensity Models (2006)Credit Risk Models I: Default…Modeling and Valuation of Credit Risk (2004)Modeling and Valuation of Cre…On the simulation of portfolios of interest rate and credit risk sensitive securities (2003)On the simulation of portfoli…Valuation of a Credit Swap of the Basket Type (2000)Valuation of a Credit Swap of…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)A framework for assessing the systemic risk of major financial institutions (2009)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Fast simulation of rare events in queueing and reliability models (1995)A Theory of Trickle-Down Growth and Development (1997)A taxonomy of model structures for economic evaluation of health technologies (2006)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2014Introduction to Stochastic Processes2,383 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 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
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 1999Credit Swap Valuation636 cited
  • 1998Pricing the risks of default469 cited
  • 1997Valuing Risky Fixed Rate Debt: An Extension303 cited
  • 1996Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic249 cited
  • 2000A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads172 cited
  • 1995Valuing Credit Derivatives142 cited
  • 1998

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A Markov Chain Model for Valuing Credit Risk Derivatives
125 cited

Cited by

  • 2004Modeling and Valuation of Credit Risk43 cited
  • 2006CREDIT RISK MODELS II: STRUCTURAL MODELS43 cited
  • 2006Credit Risk Models I: Default Correlation in Intensity Models40 cited
  • 2023Modelling Dynamic Portfolio Credit Risk35 cited
  • 2000Valuation of a Credit Swap of the Basket Type34 cited
  • 2003On the simulation of portfolios of interest rate and credit risk sensitive securities27 cited