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Pricing portfolio credit derivatives
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Pricing portfolio credit derivatives (2007)Pricing portfolio credit derivativesModelling Dynamic Portfolio Credit Risk (2023)Modelling Dynamic Portfolio C…Modelling default contagion using multivariate phase-type distributions (2010)Modelling default contagion u…LARGE PORTFOLIO CREDIT RISK MODELING (2007)LARGE PORTFOLIO CREDIT RISK M…CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS (2007)CORRELATED DEFAULTS IN INTENS…Credit contagion and aggregate losses (2005)Credit contagion and aggregat…Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk Modeling: Theory and Applications (2004)Credit Risk Modeling: Theory …A General Formula for Valuing Defaultable Securities (2004)A General Formula for Valuing…Cyclical Correlations, Credit Contagion, and Portfolio Losses (2003)Cyclical Correlations, Credit…CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS (2001)CREDIT CONTAGION: PRICING CRO…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Financial Contagion (2000)The Economic Crisis is a Crisis for Economic Theory (2010)Firm-network characteristics and economic robustness to natural disasters (2011)Contagion and risk-sharing on the inter-bank market (2013)An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Correlation at First Sight (2005)Credit contagion and credit risk (2009)Contagion and competitive intra-industry effects of bankruptcy announcements (1992)A comparative analysis of current credit risk models (2000)Credit risk enhancement in a network of interdependent firms (2004)Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach (2008)Derivatives and credit contagion in interconnected networks (2012)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)Systemic Risk Contributions (2011)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009)Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. (2010)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Markov Chain Models of Portfolio Credit Risk (2012)Density Approach in Modeling Successive Defaults (2015)The Pricing of Options and Corporate Liabilities (1973)Common Failings: How Corporate Defaults Are Correlated (2007)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Credit Contagion from Counterparty Risk (2009)On cox processes and credit risky securities (1998)An Introduction to Copulas (1999)A simple model of credit contagion (2007)PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008)Counterparty Credit Risk and the Credit Default Swap Market (2011)Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds (2004)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
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References

  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 2004Credit Risk Modeling: Theory and Applications375 cited
  • 2004A General Formula for Valuing Defaultable Securities181 cited
  • 2005Credit contagion and aggregate losses172 cited
  • 2007CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS159 cited
  • 2003Cyclical Correlations, Credit Contagion, and Portfolio Losses51 cited
  • 2023Modelling Dynamic Portfolio Credit Risk35 cited
  • 2010Modelling default contagion using multivariate phase-type distributions29 cited
  • 2007LARGE PORTFOLIO CREDIT RISK MODELING25 cited
  • 2001CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS22 cited

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