References

• 1999An Introduction to Copulas7,743 cited
• 2000On Default Correlation1,257 cited
• 2006Multi-period corporate default prediction with stochastic covariates973 cited
• 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
• 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
• 2001Risk and Valuation of Collateralized Debt Obligations599 cited
• 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
• 2009Frailty Correlated Default547 cited
• 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions510 cited
• 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
• 2005Extensions to the Gaussian copula: random recovery and random factor loadings336 cited
• 2005Non‐parametric Estimation of Tail Dependence333 cited
• 2008Sampling nested Archimedean copulas244 cited
• 2007The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing180 cited
• 2012On the structure and estimation of hierarchical Archimedean copulas166 cited