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Cited by

• 2006Stochastic Volatility Effects on Defaultable Bonds79 cited
• 2008Learning by Holding and Liquidity77 cited
• 2015Assessing systemic risk using interbank exposures in the global banking system74 cited
• 2011Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data62 cited
• 2013Improvements in loss given default forecasts for bank loans59 cited
• 2014Asset Specificity, Industry-Driven Recovery Risk, and Loan Pricing46 cited
• 2015Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market42 cited
• 2015Why is credit-to-GDP a good measure for setting countercyclical capital buffers?40 cited
• 2018Loss functions for Loss Given Default model comparison37 cited
• 2015Are Banks’ Internal Risk Parameters Consistent? Evidence from Syndicated Loans36 cited
• 2013Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation35 cited
• 2015Systemic risk measures34 cited
• 2011Cyclical default and recovery in stress testing loan losses28 cited
• 2013The economy and loss given default: evidence from two UK retail lending data sets