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The structure of credit risk: spread volatility and ratings transitions

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1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
1988How Big Is the Random Walk in GNP?1,270 cited
2000A comparative analysis of current credit risk models967 cited
1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
1999Estimating the Price of Default Risk724 cited
1984Contingent Claims Analysis of Corporate Capital Structures: an Empirical Investigation678 cited
1989Some Empirical Estimates of the Risk Structure of Interest Rates258 cited
1996Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic249 cited
1998Credit Risk in Private Debt Portfolios247 cited
1991Corporate bond valuation and the term structure of credit spreads234 cited
2000Evaluating credit risk models171 cited
1992The Implications of Corporate Bond Ratings Drift155 cited
1998Systematic Risk in Corporate Bond Credit Spreads128 cited

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2005

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Integrating market and credit risk: A simulation and optimisation perspective

62 cited

2008Importance sampling for integrated market and credit portfolio models32 cited

2005Risk measurement with integrated market and credit portfolio models32 cited

2011Reverse stress tests with bottom-up approaches31 cited

2019The impact of the Basel III liquidity ratios on banks: Evidence from a simulation study31 cited