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Affine Models for Credit Risk Analysis
16 references·12 citing·35 second hop
Affine Models for Credit Risk Analysis (2006)Affine Models for Credit Risk AnalysisAutoregressive gamma processes (2006)Autoregressive gamma processesTheory of rational option pricing (2005)Theory of rational option pri…The New Basel Capital Accord (2004)The New Basel Capital AccordCredit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Affine processes and applications in finance (2003)Affine processes and applicat…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Stability of rating transitions (2000)Stability of rating transitio…On Default Correlation (2000)On Default CorrelationThe Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…On cox processes and credit risky securities (1998)On cox processes and credit r…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Using Default Rates to Model the Term Structure of Credit Risk (1994)Using Default Rates to Model …Heterogeneity, omitted variable bias, and duration dependence (1985)Heterogeneity, omitted variab…Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Analyzing Convertible Bonds (1980)Analyzing Convertible BondsON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Loss functions for Loss Given Default model comparison (2018)Loss functions for Loss Given…Asset pricing with Second-Order Esscher Transforms (2012)Asset pricing with Second-Ord…On Pricing Credit Default Swaps with Observable Covariates (2011)On Pricing Credit Default Swa…Discrete time Wishart term structure models (2011)Discrete time Wishart term st…The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads (2010)The Cross Section of Recovery…Pricing and Inference with Mixtures of Conditionally Normal Processes (2010)Pricing and Inference with Mi…International money and stock market contingent claims (2010)International money and stock…Quadratic stochastic intensity and prospective mortality tables (2008)Quadratic stochastic intensit…Econometric Asset Pricing Modelling (2008)Econometric Asset Pricing Mod…Switching VARMA Term Structure Models (2006)Switching VARMA Term Structur…Stochastic Migration Models with Application to Corporate Risk (2005)Stochastic Migration Models w…Migration correlation: Definition and efficient estimation (2004)Migration correlation: Defini…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)Common Factors Affecting Bond Returns (1991)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Estimating the Price of Default Risk (1999)Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)Martingales and arbitrage in multiperiod securities markets (1979)Common Failings: How Corporate Defaults Are Correlated (2007)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Credit Contagion from Counterparty Risk (2009)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)How Profitable Is Capital Structure Arbitrage? (2006)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000On Default Correlation1,257 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 1980Analyzing Convertible Bonds568 cited
  • 2000Stability of rating transitions562 cited
  • 1985Heterogeneity, omitted variable bias, and duration dependence323 cited
  • 1994Using Default Rates to Model the Term Structure of Credit Risk312 cited
  • 2006Autoregressive gamma processes211 cited
  • 2004The New Basel Capital Accord193 cited

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Cited by

  • 2005Stochastic Migration Models with Application to Corporate Risk59 cited
  • 2010Pricing and Inference with Mixtures of Conditionally Normal Processes58 cited
  • 2006Switching VARMA Term Structure Models54 cited
  • 2010The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads53 cited
  • 2008Econometric Asset Pricing Modelling51 cited
  • 2018Loss functions for Loss Given Default model comparison37 cited
  • 2011On Pricing Credit Default Swaps with Observable Covariates37 cited
  • 2012Asset pricing with Second-Order Esscher Transforms35 cited
  • 2004Migration correlation: Definition and efficient estimation35 cited
  • 2008Quadratic stochastic intensity and prospective mortality tables34 cited
  • 2011Discrete time Wishart term structure models31 cited
  • 2010International money and stock market contingent claims29 cited