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On a multivariate Markov chain model for credit risk measurement
16 references·2 citing·37 second hop
On a multivariate Markov chain model for credit risk measurement (2005)On a multivariate Markov chain model for …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Copula Methods in Finance (2004)Copula Methods in FinanceOn the coherence of expected shortfall (2002)On the coherence of expected …Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…On Default Correlation (2000)On Default CorrelationLoss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…Pricing the risks of default (1998)Pricing the risks of defaultOn cox processes and credit risky securities (1998)On cox processes and credit r…Introduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)Recursive valuation of defaul…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Experience Rating and Credibility (1967)Experience Rating and Credibi…On modeling credit defaults: A probabilistic Boolean network approach (2013)On modeling credit defaults: …Credit contagion and credit risk (2009)Credit contagion and credit r…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)The cost of capital, corporation finance and the theory of investment (2008)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Understanding Relationships Using Copulas (1998)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Credit Risk: Modeling, Valuation and Hedging (2004)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2000On Default Correlation1,257 cited
  • 1999Loss Models: From Data to Decisions1,232 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1998Pricing the risks of default469 cited
  • 1967Experience Rating and Credibility438 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk396 cited
  • 1996Recursive valuation of defaultable securities and the timing of resolution of uncertainty

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232 cited

Cited by

  • 2009Credit contagion and credit risk34 cited
  • 2013On modeling credit defaults: A probabilistic Boolean network approach28 cited