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Valuing Credit Default Swaps Ii: Modeling Default Correlations
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  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,082 cited
  • 2007Good and bad credit contagion: Evidence from credit default swaps☆588 cited
  • 2011Counterparty Credit Risk and the Credit Default Swap Market328 cited
  • 2003Correlated default with incomplete information274 cited
  • 2005Default Correlation in Reduced-Form Models47 cited
  • 2006CREDIT RISK MODELS II: STRUCTURAL MODELS43 cited
  • 2001Correlated Default with Incomplete Information39 cited
  • 2009The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads34 cited
  • 2012The Effect of Sovereign Wealth Funds on the Credit Risk of their Portfolio Companies26 cited
  • 2011Existence and uniqueness of solutions to the inverse boundary crossing problem for diffusions23 cited
  • 2008The Credit Default Swap Market's Reaction to Earnings Announcements23 cited
  • 2006The Pricing of Credit Default Swaps During Distress23 cited
  • 2003An Analytical Review of Credit Risk Transfer Instruments22 cited

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  • 2003Instruments of Credit Risk Transfer: Effects on Financial Contracting and Financial Stability22 cited
  • 2002Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach21 cited