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Correlated Default with Incomplete Information · Study

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PreprintCorrelated Default with Incomplete Information

Kay Giesecke2001

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Preprintgreen2001

Correlated Default with Incomplete Information

39 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1999An Introduction to Copulas 2000Financial Contagion 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1996Handbook of Brownian Motion — Facts and Formulae 2001Term Structures of Credit Spreads with Incomplete Accounting Information 2000On Default Correlation 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads

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2011Modeling Credit Contagion Via the Updating of Fragile Beliefs

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2003Correlated default with incomplete informationarticle · 18 shared references 2003Credit Risk Modeling and Valuation: An Introductionpreprint · 11 shared references 2007Firm heterogeneity and credit risk diversificationarticle · 10 shared references 2005Credit risk modeling with affine processesarticle · 8 shared references 2005A Top-Down Approach to Multi-Name Creditpreprint · 8 shared references 2006Credit Risk Models I: Default Correlation in Intensity Modelspreprint · 8 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations39

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.291748

openalex_workW1563154055

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