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Improving Default Risk Prediction Using Bayesian Model Uncertainty Techniques
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Improving Default Risk Prediction Using Bayesian Model Uncertainty Techniques (2012)Improving Default Risk Prediction Using B…Determination of Disproportionate Tenders in Public Procurement (2013)Determination of Disproportio…Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)Structural versus Reduced‐For…Bayesian Methodology for Model Uncertainty Using Model Performance Data (2008)Bayesian Methodology for Mode…Reduced Form vs. Structural Models of Credit Risk: A Case Study of Three Models (2005)Reduced Form vs. Structural M…Quantifying Credit Risk I: Default Prediction (2003)Quantifying Credit Risk I: De…Credit Risk (2003)Credit RiskValuing Credit Default Swaps II (2001)Valuing Credit Default Swaps …Evaluating credit risk models (2000)Evaluating credit risk modelsA comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Credit risk measurement: Developments over the last 20 years (1997)Credit risk measurement: Deve…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A data analytics framework for key financial factors (2017)A data analytics framework fo…Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Why Does Stock Market Volatility Change Over Time? (1989)The Determinants of Credit Spread Changes (2001)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Credit Risk in Private Debt Portfolios (1998)One-Factor Fallacy (1998)A risk-factor model foundation for ratings-based bank capital rules (2003)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)Risk Assessment for Banking Systems (2006)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks (2002)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)An equilibrium characterization of the term structure (1977)The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Forecasting Default with the Merton Distance to Default Model (2008)How Sovereign Is Sovereign Credit Risk? (2011)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,422 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk2,029 cited
  • 2003Credit Risk1,042 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 1997Credit risk measurement: Developments over the last 20 years836 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2001Valuing Credit Default Swaps II341 cited
  • 2003Quantifying Credit Risk I: Default Prediction317 cited
  • 2012Structural versus Reduced‐Form Models: A New Information‐Based Perspective247 cited
  • 2000Evaluating credit risk models171 cited
  • 2008Bayesian Methodology for Model Uncertainty Using Model Performance Data96 cited
  • 2013Determination of Disproportionate Tenders in Public Procurement60 cited
  • 2005Reduced Form vs. Structural Models of Credit Risk: A Case Study of Three Models

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  • 2017A data analytics framework for key financial factors12 cited