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Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

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Cited by

2006Pricing CDOs with Correlated Variance Gamma Distributions52 cited
2007LÉVY SIMPLE STRUCTURAL MODELS37 cited
2008Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling31 cited
2006Explaining the Correlation Smile Using Variance Gamma Distributions28 cited
2007Risk Premia in Structured Credit Derivatives27 cited
2006

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Portfolio losses in factor models: term structures and intertemporal loss dependence

27 cited