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Counterparty risk for CDS: Default clustering effects
16 references·0 citing·42 second hop
Counterparty risk for CDS: Default clustering effects (2014)Counterparty risk for CDS: Default cluste…Exploring the sources of default clustering (2018)Exploring the sources of defa…MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (2014)MULTIVARIATE SUBORDINATION OF…Handbook on Systemic Risk (2013)Handbook on Systemic RiskARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)ARBITRAGE‐FREE BILATERAL COUN…CVA Computation for Counterparty Risk Assessment in Credit Portfolios (2011)CVA Computation for Counterpa…Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity (2011)Credit Risk Frontiers: Subpri…Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010)Counterparty Risk on a CDS in…Systemic Risk: What Defaults Are Telling Us (2009)Systemic Risk: What Defaults …Modelling, Pricing, and Hedging Counterparty Credit Exposure (2009)Modelling, Pricing, and Hedgi…Credit value adjustment for credit default swaps via the structural default model (2009)Credit value adjustment for c…Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (2008)Bilateral Counterparty Risk V…An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)An Empirical Analysis of the …Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Forecasting: theory and practice (2022)Stochastic Differential Equations and Applications (1976)Semimartingales (1982)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Modeling and Forecasting Realized Volatility (2003)Stochastic Differential Equations (2006)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011)A Theory of the Term Structure of Interest Rates (1985)Stochastic Integration and Differential Equations (2005)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Frailty Correlated Default (2009)Basel Committee On Banking Supervision (2010)Manias, Panics, and Crashes: A History of Financial Crises (1979)Financial Intermediation and Delegated Monitoring (1984)Accounting-based versus market-based cross-sectional models of CDS spreads (2008)Counterparty credit risk and the credit default swap market (2011)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (2011)Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market (2021)Evaluating Interval Forecasts (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Where the Risks Lie: A Survey on Systemic Risk (2015)Measuring Systemic Risk (2016)Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) (2016)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation (2011)Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012)Pricing vulnerable options with stochastic volatility (2017)Mean Field Games and systemic risk (2015)The Emergence of Global Systemic Risk (2015)House Price Beliefs And Mortgage Leverage Choice (2018)
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References

  • 2007Brownian Motion and Stochastic Calculus7,541 cited
  • 1991Brownian motion and stochastic calculus2,337 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations299 cited
  • 2013Handbook on Systemic Risk257 cited
  • 2018Exploring the sources of default clustering243 cited
  • 2012ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS158 cited
  • 2009Credit value adjustment for credit default swaps via the structural default model151 cited
  • 2009Systemic Risk: What Defaults Are Telling Us148 cited
  • 2008Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps102 cited
  • 2009Modelling, Pricing, and Hedging Counterparty Credit Exposure80 cited
  • 2011CVA Computation for Counterparty Risk Assessment in Credit Portfolios55 cited
  • 2010Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults53 cited
  • 2011Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

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45 cited
  • 2014MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS29 cited
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