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CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
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CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES (2007)CLUSTER-BASED EXTENSION OF THE GENERALIZE…PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL (2007)PRICING AND HEDGING IN A DYNA…Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2006)Calibration of CDO Tranches w…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk Modeling (2004)Credit Risk ModelingCommon Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Common Poisson Shock Models: …Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Common Poisson Shock Models: …An Extension of Panjer's Recursion (2002)An Extension of Panjer's Recu…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)A Top-Down Approach to Multi-Name Credit (2005)BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (2008)RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2008)Time-Changed Birth Processes and Multiname Credit Derivatives (2009)Point Processes and Queues: Martingale Dynamics. (1983)Limit Theorems for Stochastic Processes (1987)Stochastic Integration and Differential Equations (2005)A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (2014)XVA analysis from the balance sheet (2020)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Introduction to Copulas (1999)The structural modeling of operational risk via Bayesian inference: combining loss data with expert opinions (2006)Hierarchical Insurance Claims Modeling (2008)Further Results on Recursive Evaluation of Compound Distributions (1981)Recursive Evaluation of a Family of Compound Distributions (1981)Lundberg Approximations for Compound Distributions with Insurance Applications (2001)Recursive evaluation of aggregate claims distributions (2002)Managing inventory systems of slow-moving items (2015)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)From failure to failure: The politics of international banking regulation (2011)Transnational regulatory capture? An empirical examination of the transnational lobbying of the Basel Committee on Banking Supervision (2012)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Implementing loss distribution approach for operational risk (2009)TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2011)Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (2013)
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References

  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2004Credit Risk Modeling530 cited
  • 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling216 cited
  • 2006Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model107 cited
  • 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling107 cited
  • 2002An Extension of Panjer's Recursion53 cited
  • 2007PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL37 cited

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