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Modeling and Calibration Errors in Measures of Portfolio Credit Risk
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Modeling and Calibration Errors in Measures of Portfolio Credit Risk (2007)Modeling and Calibration Errors in Measur…Granularity Adjustment for Basel Ii (2016)Granularity Adjustment for Ba…Loan Portfolio Value (2015)Loan Portfolio ValueLimiting Loan Loss Probability Distribution (2015)Limiting Loan Loss Probabilit…The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing (2007)The Normal Inverse Gaussian D…Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)Measuring Default Risk Premia…Firm heterogeneity and credit risk diversification (2007)Firm heterogeneity and credit…A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios (2007)A Tractable Model to Measure …Calculating credit risk capital charges with the one-factor model (2005)Calculating credit risk capit…Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…Understanding the Risk of Synthetic CDOs (2004)Understanding the Risk of Syn…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…The empirical relationship between average asset correlation, firm probability of default, and asset size (2003)The empirical relationship be…Dependent defaults in models of portfolio credit risk (2003)Dependent defaults in models …A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…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…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)The Pricing of Options and Corporate Liabilities (1973)Econometric Analysis of Cross Section and Panel Data (2001)Economic Catastrophe Bonds (2008)Loan Sales and Relationship Banking (2008)A Model of Capital and Crises (2011)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Modelling Dependence with Copulas and Applications to Risk Management (2003)PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008)The Normal Inverse Gaussian Distribution and the Pricing of Derivatives (2009)CDO pricing with nested Archimedean copulas (2010)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Modeling Term Structures of Defaultable Bonds (1999)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Systemic Risk Contributions (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Market discipline, disclosure and moral hazard in banking (2006)Common Failings: How Corporate Defaults Are Correlated (2007)Does Competition Reduce the Risk of Bank Failure? (2010)Macroeconomics and Credit Risk: A Global Perspective (2003)Banks’ Risk Dynamics and Distance to Default (2019)The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on Spanish Credit Register Data (2004)Bayesian inference for generalized linear mixed models of portfolio credit risk (2006)Correlated Default Risk (2006)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)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 2007Measuring Default Risk Premia from Default Swap Rates and EDFs416 cited
  • 2003Dependent defaults in models of portfolio credit risk303 cited
  • 2003The empirical relationship between average asset correlation, firm probability of default, and asset size190 cited
  • 2007The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing180 cited
  • 2015Limiting Loan Loss Probability Distribution144 cited
  • 2004Understanding the Risk of Synthetic CDOs115 cited
  • 2015Loan Portfolio Value94 cited
  • 2005Calculating credit risk capital charges with the one-factor model78 cited
  • 2007Firm heterogeneity and credit risk diversification64 cited
  • 2016Granularity Adjustment for Basel Ii58 cited

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  • 2007A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios55 cited
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