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Discrete versus continuous state switching models for portfolio credit risk
16 references·2 citing·34 second hop
Discrete versus continuous state switching models for portfolio credit risk (2005)Discrete versus continuous state switchin…Correlated Default Risk (2006)Correlated Default RiskA Survey of Cyclical Effects in Credit Risk Measurement Models (2005)A Survey of Cyclical Effects …A survey of cyclical effects in credit risk measurement model (2003)A survey of cyclical effects …A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Correlated Default Risk (2002)Correlated Default RiskAn analytic approach to credit risk of large corporate bond and loan portfolios (2001)An analytic approach to credi…Stability of rating transitions (2000)Stability of rating transitio…Estimating Credit Rating Transition Probabilities for Corporate Bonds (2000)Estimating Credit Rating Tran…A Comparison of Stochastic Default Rate Models (2000)A Comparison of Stochastic De…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Portfolio Credit Risk (1998)Portfolio Credit RiskManaging Credit Risk:The Next Great Financial Challenge (1998)Managing Credit Risk:The Next…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…A survey of machine learning in credit risk (2021)A survey of machine learning …Credit Cycles and Macro Fundamentals (2006)Credit Cycles and Macro Funda…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Confidence sets for continuous-time rating transition probabilities (2004)The multi-state latent factor intensity model for credit rating transitions (2007)Credit cycles and macro fundamentals (2008)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Market discipline, disclosure and moral hazard in banking (2006)Common Failings: How Corporate Defaults Are Correlated (2007)Does Competition Reduce the Risk of Bank Failure? (2010)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach (2003)Incorporating sustainability criteria into credit risk management (2008)Environmental Credit Risk Management in Banks and Financial Service Institutions (2011)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Analyzing rating transitions and rating drift with continuous observations (2002)How rating agencies achieve rating stability (2004)The intersection of market and credit risk (2000)Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2000Stability of rating transitions562 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 1998Portfolio Credit Risk362 cited
  • 1998Managing Credit Risk:The Next Great Financial Challenge303 cited
  • 2000Estimating Credit Rating Transition Probabilities for Corporate Bonds137 cited
  • 2001An analytic approach to credit risk of large corporate bond and loan portfolios136 cited
  • 2005A Survey of Cyclical Effects in Credit Risk Measurement Models135 cited
  • 2006Correlated Default Risk133 cited
  • 2003A survey of cyclical effects in credit risk measurement model68 cited
  • 2002Correlated Default Risk45 cited
  • 2000A Comparison of Stochastic Default Rate Models

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39 cited

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  • 2021A survey of machine learning in credit risk24 cited
  • 2006Credit Cycles and Macro Fundamentals12 cited