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The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
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2000On Default Correlation1,465 cited
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1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds483 cited
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2005Extensions to the Gaussian copula: random recovery and random factor loadings336 cited
2001An Analysis of Default Correlations and Multiple Defaults313 cited
2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations299 cited
2003

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Correlated default with incomplete information

274 cited

2005Basket default swaps, CDOs and factor copulas260 cited

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2018Systemic Risk in Financial Markets: How Systemically Important Are Insurers?56 cited
2015Assessing the credit risk of money market funds during the eurozone crisis15 cited