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Calibrating asset correlation for Indian corporate exposures
8 references·0 citing·32 second hop
Calibrating asset correlation for Indian corporate exposures (2007)Calibrating asset correlation for Indian …Measuring and Managing Credit Risk (2004)Measuring and Managing Credit…The empirical relationship between average asset correlation, firm probability of default, and asset size (2003)The empirical relationship be…Estimating Default Correlations from Short Panels of Credit Rating Performance Data (2003)Estimating Default Correlatio…Correlated Default Risk (2002)Correlated Default RiskMeasuring Default Correlation (2001)Measuring Default CorrelationDefault Correlation: An Analytical Result (1997)Default Correlation: An Analy…Default Correlation and Credit Analysis (1995)Default Correlation and Credi…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…A comparative anatomy of credit risk models (2000)Dependent credit migrations (2006)Correlation and asset correlation in the structural portfolio model (2008)Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations (2008)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Using Default Rates to Model the Term Structure of Credit Risk (1994)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Migration correlation: Definition and efficient estimation (2004)The Determinants of Credit Spreads (2004)Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Portfolio Credit Risk (1998)On Default Correlation (2000)Misspecified copulas in credit risk models: how good is Gaussian? (2005)Risk assessment for credit portfolios: A coupled Markov chain model (2007)The ordered qualitative model for credit rating transitions (2007)Impact of Correlated Default Risk on Credit Portfolios (2001)Risk Transfer with CDOs and Systemic Risk in Banking (2006)Modeling Credit Contagion Via the Updating of Fragile Beliefs (2011)The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on Spanish Credit Register Data (2004)Bayesian inference for generalized linear mixed models of portfolio credit risk (2006)Correlated Default Risk (2006)Supplier default dependencies: Empirical evidence from the automotive industry (2008)CDO pricing with nested Archimedean copulas (2010)On the way to recovery: A nonparametric bias free estimation of recovery rate densities (2004)Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD (2010)Ultimate recovery mixtures (2013)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1995Default Correlation and Credit Analysis207 cited
  • 2003The empirical relationship between average asset correlation, firm probability of default, and asset size190 cited
  • 2004Measuring and Managing Credit Risk133 cited
  • 2001Measuring Default Correlation69 cited
  • 1997Default Correlation: An Analytical Result60 cited
  • 2003Estimating Default Correlations from Short Panels of Credit Rating Performance Data51 cited
  • 2002Correlated Default Risk45 cited

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