SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Correlated Default with Incomplete Information
16 references·1 citing·42 second hop
Correlated Default with Incomplete Information (2001)Correlated Default with Incomplete Inform…Accounting transparency and the term structure of credit spreads (2004)Accounting transparency and t…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…Valuing Credit Default Swaps II (2001)Valuing Credit Default Swaps …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…An Analysis of Default Correlations and Multiple Defaults (2001)An Analysis of Default Correl…Valuing Credit Default Swaps I (2000)Valuing Credit Default Swaps IOn Default Correlation (2000)On Default CorrelationFinancial Contagion (2000)Financial ContagionAn Introduction to Copulas (1999)An Introduction to CopulasThe Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…Multivariate Models and Dependence Concepts (1998)Multivariate Models and Depen…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…Modeling Credit Contagion Via the Updating of Fragile Beliefs (2011)Modeling Credit Contagion Via…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)The Determinants of Credit Spread Changes (2001)Common Factors Affecting Bond Returns (1991)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Estimating the Price of Default Risk (1999)Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)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)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)Martingales and arbitrage in multiperiod securities markets (1979)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)A Monetary History of the United States 1867-1960 (1964)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Systemic Risk and Stability in Financial Networks (2015)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2000Financial Contagion3,393 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2000On Default Correlation1,257 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2004Accounting transparency and the term structure of credit spreads480 cited
  • 2000Valuing Credit Default Swaps I426 cited
  • 1998Multivariate Models and Dependence Concepts352 cited
  • 2001Valuing Credit Default Swaps II341 cited
  • 2002Risk Management: Value at Risk and Beyond338 cited
  • 2001An Analysis of Default Correlations and Multiple Defaults

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

313 cited

Cited by

  • 2011Modeling Credit Contagion Via the Updating of Fragile Beliefs34 cited