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Dependent defaults in models of portfolio credit risk

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References

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2011Default Cascades: When Does Risk Diversification Increase Stability?292 cited
2007Selecting copulas for risk management288 cited
2002Beyond Correlation: Extreme Co-Movements between Financial Assets219 cited
2010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions201 cited
2004Cyclical correlations, credit contagion, and portfolio losses190 cited
2006Bayesian inference for generalized linear mixed models of portfolio credit risk180 cited
2005Credit contagion and aggregate losses172 cited

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2003

Credit Risk Modeling and Valuation: An Introduction

167 cited

2004Sampling from Archimedean copulas163 cited

2008Credit cycles and macro fundamentals126 cited

2006A Comparative analysis of CDO pricing models113 cited

2008Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation105 cited

2015Value‐at‐Risk Bounds With Variance Constraints102 cited

2009A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework84 cited

2020Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying80 cited

2005Calculating credit risk capital charges with the one-factor model78 cited