Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Credit contagion and aggregate losses

16 references·16 citing·42 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

2000Financial Contagion3,393 cited
1999Modeling Term Structures of Defaultable Bonds2,547 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
2000Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank1,381 cited
1998On cox processes and credit risky securities1,213 cited
2000Sulfur Dioxide Control by Electric Utilities: What Are the Gains from Trade?1,186 cited
2003A risk-factor model foundation for ratings-based bank capital rules869 cited
2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
1998Financial Contagion Journal of Political Economy624 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk396 cited
2003Dependent defaults in models of portfolio credit risk303 cited
2002Copula-Dependent Defaults in Intensity Models302 cited
1996Interbank lending and systemic risk286 cited
2003Correlated default with incomplete information256 cited
1996

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Recursive valuation of defaultable securities and the timing of resolution of uncertainty

232 cited

Cited by

2010The Economic Crisis is a Crisis for Economic Theory282 cited
2011Firm-network characteristics and economic robustness to natural disasters190 cited
2013Contagion and risk-sharing on the inter-bank market146 cited
2012A network model of financial system resilience128 cited
2012Rollover risk, network structure and systemic financial crises109 cited
2007A simple model of credit contagion109 cited
2008PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES108 cited
2015Networks, Shocks, and Systemic Risk94 cited
2015Spatial dependence in credit risk and its improvement in credit scoring90 cited
2013Default clustering in large portfolios: Typical events77 cited
2009Large portfolio losses: A dynamic contagion model72 cited
2012LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT70 cited
2018Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions67 cited
2015Financial Firm Bankruptcy and Contagion64 cited
2005Analysis of default data using hidden Markov models64 cited
2018PRICING OF CYBER INSURANCE CONTRACTS IN A NETWORK MODEL63 cited