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Copula-Dependent Defaults in Intensity Models

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References

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2003Correlated default with incomplete information256 cited
2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling216 cited
2010Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.181 cited
2005Credit contagion and aggregate losses172 cited
2004

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Sampling from Archimedean copulas

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2005Credit risk modeling with affine processes159 cited

2007CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS159 cited

2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited

2005A Top-Down Approach to Multi-Name Credit139 cited

2003A Simple Exponential Model for Dependent Defaults124 cited

2004Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates120 cited

2006Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models112 cited

2010CDO pricing with nested Archimedean copulas110 cited

2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling107 cited

2015Modeling Credit Contagion via the Updating of Fragile Beliefs85 cited

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