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Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model
16 references·3 citing·47 second hop
Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model (2012)Specification and Calibration Errors in M…Granularity Adjustment for Basel Ii (2016)Granularity Adjustment for Ba…Merton, Robert C. (2010)Merton, Robert C.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…The effects of estimation error on measures of portfolio credit risk (2002)The effects of estimation err…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…Basel III, capital stability, risk-taking, ownership: Evidence from Asia (2014)Basel III, capital stability,…Systemic Risk Contributions (2011)Systemic Risk ContributionsParameter Uncertainty and the Credit Risk of Collateralized Debt Obligations (2008)Parameter Uncertainty and the…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bank competition and financial stability in Asia Pacific (2013)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)How does competition affect bank systemic risk? 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this work references cited by second hop

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
  • 2010Merton, Robert C.812 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
  • 2004Understanding the Risk of Synthetic CDOs115 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
  • 2007A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios55 cited

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  • 2002The effects of estimation error on measures of portfolio credit risk55 cited
  • Cited by

    • 2011Systemic Risk Contributions45 cited
    • 2014Basel III, capital stability, risk-taking, ownership: Evidence from Asia43 cited
    • 2008Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations42 cited