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Cited by

• 2015Modeling Dependence in High Dimensions With Factor Copulas245 cited
• 2007The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing180 cited
• 2006Valuing Credit Derivatives Using an Implied Copula Approach153 cited
• 2011Modeling the Loss Distribution140 cited
• 2010The valuation of correlation-dependent credit derivatives using a structural model126 cited
• 2006A Comparative analysis of CDO pricing models113 cited
• 2006Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models112 cited
• 2008PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES108 cited
• 2012On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations94 cited
• 2009A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework84 cited
• 2007Beyond the Gaussian copula: stochastic and local correlation83 cited
• 2014Multi-Population Mortality Models: A Factor Copula Approach65 cited
• 2013Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model63 cited
• 2009Dynamic hedging of synthetic CDO tranches with spread risk and default contagion54 cited