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Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany
16 references·2 citing·36 second hop
Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany (2004)Calibrating the CreditMetrics™ correlatio…Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Macroeconomic Dynamics and Cr…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…Position Paper on the New Basel Capital Accord - Consultative Document from the Basel Committee on Banking Supervision (January 2001) (2001)Position Paper on the New Bas…On Default Correlation (2000)On Default CorrelationA comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms (1999)Credit Risk Measurement: New …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Financial Theory and Corporate Policy. (1982)Financial Theory and Corporat…Financial Theory and Corporate Policy. (1980)Financial Theory and Corporat…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…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…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Portfolio Selection (1952)Portfolio SelectionCrash Testing German Banks (2012)Crash Testing German BanksDo specialization benefits outweigh concentration risks in credit portfolios of German banks (2010)Do specialization benefits ou…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)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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)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)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Modern Portfolio Theory and Investment Analysis. (1982)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)The cost of capital, corporation finance and the theory of investment (2008)Organizational Culture: Can It Be a Source of Sustained Competitive Advantage? (1986)Diversification's effect on firm value (1995)Shareholder value, stakeholder management, and social issues: what's the bottom line? (2001)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1952Portfolio Selection4,609 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1980Financial Theory and Corporate Policy.1,699 cited
  • 2000On Default Correlation1,257 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 1982Financial Theory and Corporate Policy.956 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective408 cited
  • 1999Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms322 cited
  • 2002An Introduction to Credit Risk Modeling318 cited
  • 2001Position Paper on the New Basel Capital Accord - Consultative Document from the Basel Committee on Banking Supervision (January 2001)

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  • 2010Do specialization benefits outweigh concentration risks in credit portfolios of German banks23 cited
  • 2012Crash Testing German Banks18 cited