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Copula-Dependent Defaults in Intensity Models · Study

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PreprintCopula-Dependent Defaults in Intensity Models

Philipp Schönbucher2002

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Preprintgreen2002

Copula-Dependent Defaults in Intensity Models

Philipp Schönbucher · Dirk Schubert

302 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1999An Introduction to Copulas 1999Modeling Term Structures of Defaultable Bonds 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1998On cox processes and credit risky securities 2000A comparative analysis of current credit risk models 2001Risk and Valuation of Collateralized Debt Obligations

Cited by

2003Correlated default with incomplete information 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling 2010Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.2005Credit contagion and aggregate losses 2004Sampling from Archimedean copulas 2007CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

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2006Credit Risk Models I: Default Correlation in Intensity Modelspreprint · 10 shared references 2003Credit Risk Modeling and Valuation: An Introductionpreprint · 7 shared references 2014Credit Default Swaps: A Surveyarticle · 6 shared references 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidencearticle · 6 shared references 2005Credit risk modeling with affine processesarticle · 6 shared references 2014The Empirical Analysis of Liquidityarticle · 6 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations302

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.301968

openalex_workW1908216331

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2005

Credit risk modeling with affine processes

2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS