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Default Clustering in Large Portfolios: Typical Events
14 references·0 citing·45 second hop
Default Clustering in Large Portfolios: Typical Events (2011)Default Clustering in Large Portfolios: T…Exploring the sources of default clustering (2018)Exploring the sources of defa…The Law of Large Numbers for self-exciting correlated defaults (2012)The Law of Large Numbers for …Stochastic Evolution Equations in Portfolio Credit Modelling (2011)Stochastic Evolution Equation…Utility valuation of multi-name credit derivatives and application to CDOs (2009)Utility valuation of multi-na…Large portfolio losses: A dynamic contagion model (2009)Large portfolio losses: A dyn…Heterogeneous credit portfolios and the dynamics of the aggregate losses (2009)Heterogeneous credit portfoli…LARGE PORTFOLIO CREDIT RISK MODELING (2007)LARGE PORTFOLIO CREDIT RISK M…LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (2007)LARGE DEVIATIONS IN MULTIFACT…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Credit contagion and aggregate losses (2005)Credit contagion and aggregat…Large Portfolio Losses (2002)Large Portfolio LossesTransform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Modeling Term Structures of Defaultable Bonds (1999)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Some Applications and Methods of Large Deviations in Finance and Insurance (2007)PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS (2010)LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (2012)Discrete Choice with Social Interactions (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Convergence, fluctuations and large deviations for finite state mean field games via the Master Equation (2018)Particle systems with singular interaction through hitting times: Application in systemic risk modeling (2018)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Frailty Correlated Default (2009)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017)Risk Analysis for Large Pools of Loans (2018)An SPDE model for systemic risk with endogenous contagion (2019)Ruin problems with assets and liabilities of diffusion type (1999)Power tailed ruin probabilities in the presence of risky investments (2002)A risk-factor model foundation for ratings-based bank capital rules (2003)Saddlepoint approximations for affine jump-diffusion models (2008)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Systemic Risk: What Defaults Are Telling Us (2009)Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (2011)Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market (2021)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)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
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References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2018Exploring the sources of default clustering243 cited
  • 2005Credit contagion and aggregate losses172 cited
  • 2009Large portfolio losses: A dynamic contagion model72 cited
  • 2007LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK70 cited
  • 2002Large Portfolio Losses63 cited
  • 2011Stochastic Evolution Equations in Portfolio Credit Modelling59 cited
  • 2012The Law of Large Numbers for self-exciting correlated defaults43 cited
  • 2009Utility valuation of multi-name credit derivatives and application to CDOs41 cited
  • 2009Heterogeneous credit portfolios and the dynamics of the aggregate losses34 cited
  • 2007LARGE PORTFOLIO CREDIT RISK MODELING25 cited

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