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Credit risk—A structural model with jumps and correlations
16 references·0 citing·37 second hop
Credit risk—A structural model with jumps and correlations (2007)Credit risk—A structural model with jumps…Correlated default with incomplete information (2003)Correlated default with incom…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Optimal capital structure and endogenous default (2002)Optimal capital structure and…An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…The Theory of Incentives: The Principal-Agent Model (2001)The Theory of Incentives: The…The term structure of credit spreads with jump risk (2001)The term structure of credit …The Statistical Mechanics of Financial Markets (2001)The Statistical Mechanics of …Quantifying and interpreting collective behavior in financial markets (2001)Quantifying and interpreting …Default and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Default and Recovery Rates of…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Introduction to Econophysics (1999)Introduction to EconophysicsHierarchical structure in financial markets (1999)Hierarchical structure in fin…The Complexity of Cooperation: Agent-Based Models of Competition and Collaboration (1997)The Complexity of Cooperation…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Job Market Signaling (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Economics of Governance (2005)A “Selection Model” of Political Representation* (2009)Introduction to Multi-Armed Bandits (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Statistical tests for power-law cross-correlated processes (2011)Physical approach to complex systems (2012)Multifractal analysis of financial markets: a review (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Term Structure Dynamics in Theory and Reality (2003)Accounting transparency and the term structure of credit spreads (2004)The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2010)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Portfolio Selection: Efficient Diversification of Investments. (1962)A tool for filtering information in complex systems (2005)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)“Let's Argue!”: Communicative Action in World Politics (2000)The Stag Hunt and the Evolution of Social Structure (2003)Collaboration Processes: Inside the Black Box (2006)Scaling of the distribution of fluctuations of financial market indices (1999)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2001The Theory of Incentives: The Principal-Agent Model2,041 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1997The Complexity of Cooperation: Agent-Based Models of Competition and Collaboration1,751 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 2001The term structure of credit spreads with jump risk511 cited
  • 2001The Statistical Mechanics of Financial Markets353 cited
  • 2002An Introduction to Credit Risk Modeling318 cited
  • 2003Correlated default with incomplete information256 cited
  • 2001Default and Recovery Rates of Corporate Bond Issuers: 2000228 cited
  • 2002Optimal capital structure and endogenous default214 cited
  • 2001Quantifying and interpreting collective behavior in financial markets

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