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Cited by

• 2005Merton's model, credit risk and volatility skews231 cited
• 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence194 cited
• 2008A Markov Model for the Term Structure of Credit Risk Spreads193 cited
• 2005Credit risk modeling with affine processes159 cited
• 2000A comparative study of structural models of corporate bond yields: An exploratory investigation133 cited
• 1998Credit Swap Valuation122 cited
• 2003Does Industry-Wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries113 cited
• 2011The Dependence of Recovery Rates and Defaults112 cited
• 2005Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads107 cited
• 2008& The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications100 cited
• 2013Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks98 cited
• 1993Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition91 cited
• 2004A GENERAL FRAMEWORK FOR PRICING CREDIT RISK84 cited
• 2008Default recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidence