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Modelling Dependence for Credit Derivatives with Copulas
13 references·0 citing·35 second hop
Modelling Dependence for Credit Derivatives with Copulas (2007)Modelling Dependence for Credit Derivativ…Copula-Dependent Defaults in Intensity Models (2002)Copula-Dependent Defaults in …On Models of Default Risk (2000)On Models of Default RiskOn Default Correlation (2000)On Default CorrelationINTRODUCTION TO ITÔ CALCULUS (2000)INTRODUCTION TO ITÔ CALCULUSCounterparty Risk and the Pricing of Defaultable Securities (2000)Counterparty Risk and the Pri…Introduction (1999)IntroductionContinuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…An Introduction to Copulas (1999)An Introduction to CopulasOn cox processes and credit risky securities (1998)On cox processes and credit r…Copulas, marginals, and joint distributions (1996)Copulas, marginals, and joint…DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus (1989)DIFFUSIONS, MARKOV PROCESSES …Sur des problemes de regularisation, de recollement et d'interpolation en theorie des martingales (1981)Sur des problemes de regulari…Point Processes and Queues (1981)Point Processes and QueuesON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Correlated default with incomplete information (2003)Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. (2010)Pricing the risks of default (1998)A General Formula for Valuing Defaultable Securities (2004)A jump to default extended CEV model: an application of Bessel processes (2006)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)The Pricing of Options and Corporate Liabilities (1973)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)Martingales and arbitrage in multiperiod securities markets (1979)A Survey of Cyclical Effects in Credit Risk Measurement Models (2005)Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs (2011)Counterparty Credit Risk and the Credit Default Swap Market (2011)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Linkages: A Tool for the Construction of Multivariate Distributions with Given Nonoverlapping Multivariate Marginals (1996)Using Trivariate Copulas to Model Sample Selection and Treatment Effects (2005)Copula modeling for discrete random vectors (2020)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)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)Non-Gaussian OU based models and some of their uses in financial economics (2000)Stochastic Volatility: Origins and Overview (2009)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1981Point Processes and Queues1,652 cited
  • 2000On Default Correlation1,257 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2002Copula-Dependent Defaults in Intensity Models302 cited
  • 2000On Models of Default Risk238 cited
  • 1989DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus170 cited
  • 2000Counterparty Risk and the Pricing of Defaultable Securities148 cited
  • 1996Copulas, marginals, and joint distributions89 cited
  • 1999Introduction59 cited
  • 1981Sur des problemes de regularisation, de recollement et d'interpolation en theorie des martingales41 cited
  • 2000INTRODUCTION TO ITÔ CALCULUS27 cited

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