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Correlation at First Sight
7 references·1 citing·37 second hop
Correlation at First Sight (2005)Correlation at First SightModelling Dynamic Portfolio Credit Risk (2023)Modelling Dynamic Portfolio C…Copulas for Finance - A Reading Guide and Some Applications (2007)Copulas for Finance - A Readi…Taken to the limit: Simple and not-so-simple loan loss distributions (2003)Taken to the limit: Simple an…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Cyclical Correlations, Credit Contagion, and Portfolio Losses (2003)Cyclical Correlations, Credit…Copula-Dependent Defaults in Intensity Models (2002)Copula-Dependent Defaults in …On Default Correlation (2000)On Default CorrelationValuation of collateralized debt obligations with hierarchical Archimedean copulae (2013)Valuation of collateralized d…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Counterparty Risk and the Pricing of Defaultable Securities (2001)Effects of economic interactions on credit risk (2006)Credit contagion and credit risk (2009)Modelling default contagion using multivariate phase-type distributions (2010)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Correlated default with incomplete information (2003)Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. (2010)Multi-period corporate default prediction with stochastic covariates (2006)Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests (2016)Contagion and competitive intra-industry effects of bankruptcy announcements (1992)A comparative analysis of current credit risk models (2000)Financial Contagion (2000)Credit risk enhancement in a network of interdependent firms (2004)Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach (2008)Derivatives and credit contagion in interconnected networks (2012)Coherent Measures of Risk (1999)Measures of risk (2002)Weak convergence of empirical copula processes (2004)Dependence patterns across financial markets: a mixed copula approach (2006)Brownian Motion and Stochastic Calculus (2007)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs (2006)Firm heterogeneity and credit risk diversification (2007)Loan default correlation using an Archimedean copula approach: A case for recalibration (2015)
this work references cited by second hop

References

  • 2000On Default Correlation1,257 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 2007Copulas for Finance - A Reading Guide and Some Applications426 cited
  • 2002Copula-Dependent Defaults in Intensity Models302 cited
  • 2003Taken to the limit: Simple and not-so-simple loan loss distributions65 cited
  • 2003Cyclical Correlations, Credit Contagion, and Portfolio Losses51 cited
  • 2023Modelling Dynamic Portfolio Credit Risk35 cited

Cited by

  • 2013Valuation of collateralized debt obligations with hierarchical Archimedean copulae21 cited

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