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Portfolio Credit Risk: Top‐Down versus Bottom‐Up Approaches
16 references·1 citing·35 second hopsampled
Portfolio Credit Risk: Top‐Down versus Bottom‐Up Approaches (2008)Portfolio Credit Risk: Top‐Down versus Bo…Frailty Correlated Default (2009)Frailty Correlated DefaultAn Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)An Empirical Analysis of the …Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Good and bad credit contagion…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Proceedings of the 2006 Winter Simulation Conference (2006)Proceedings of the 2006 Winte…Multi-period corporate default prediction with stochastic covariates (2006)Multi-period corporate defaul…Default and information (2005)Default and informationCyclical correlations, credit contagion, and portfolio losses (2004)Cyclical correlations, credit…Copula-Dependent Defaults in Intensity Models (2002)Copula-Dependent Defaults in …Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …A Remark on default risk models (1999)A Remark on default risk mode…On cox processes and credit risky securities (1998)On cox processes and credit r…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…On recovery and intensity's correlation: a new class of credit risk models (2008)On recovery and intensity's c…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)Event Studies in Economics and Finance (1997)Modeling Term Structures of Defaultable Bonds (1999)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Contagion from Counterparty Risk (2009)Sovereign credit ratings and financial markets linkages: Application to European data (2012)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Affine Point Processes and Portfolio Credit Risk (2010)Martingales and arbitrage in multiperiod securities markets (1979)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Forecasting Default with the Merton Distance to Default Model (2008)Credit Spreads and Business Cycle Fluctuations (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)
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References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2006Multi-period corporate default prediction with stochastic covariates973 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2007Good and bad credit contagion: Evidence from credit default swaps☆588 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2009Frailty Correlated Default547 cited
  • 2006Proceedings of the 2006 Winter Simulation Conference399 cited
  • 2002Copula-Dependent Defaults in Intensity Models302 cited
  • 2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations299 cited
  • 1999A Remark on default risk models236 cited
  • 2005Default and information195 cited
  • 2004Cyclical correlations, credit contagion, and portfolio losses

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  • 2008On recovery and intensity's correlation: a new class of credit risk models20 cited