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Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets
16 references·2 citing·42 second hop
Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets (2012)Systematic and Idiosyncratic Default Risk…Affine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Explaining Credit Default Swa…Decomposing swap spreads (2008)Decomposing swap spreadsAn Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)An Empirical Analysis of the …Market price of risk specifications for affine models: Theory and evidence☆ (2006)Market price of risk specific…A Top-Down Approach to Multi-Name Credit (2005)A Top-Down Approach to Multi-…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Credit Swap Valuation (1999)Credit Swap ValuationAn Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)Spatial Interaction and the S…How Much of Bank Credit Risk is Sovereign Risk? Evidence from the Eurozone (2015)How Much of Bank Credit Risk …On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom (2014)On Bank Credit Risk: Systemic…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Default Risk in Equity Returns (2004)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Credit Risk Modeling (2004)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Stochastic Integration and Differential Equations (2005)An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)A framework for assessing the systemic risk of major financial institutions (2009)An equilibrium characterization of the term structure (1977)Affine Term Structure Models and the Forward Premium Anomaly (2001)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Idiosyncratic Risk Matters! (2003)Corporate Yield Spreads and Bond Liquidity (2007)Do Shareholders Benefit from Green Bonds? (2018)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)Model-Based Geostatistics (1998)Methods to account for spatial autocorrelation in the analysis of species distributional data: a review (2007)An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach (2011)
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References

  • 1974Spatial Interaction and the Statistical Analysis of Lattice Systems6,140 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 1999Credit Swap Valuation636 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms572 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2006Market price of risk specifications for affine models: Theory and evidence☆326 cited
  • 2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations299 cited
  • 2008Decomposing swap spreads277 cited

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2005
A Top-Down Approach to Multi-Name Credit
139 cited

Cited by

  • 2015How Much of Bank Credit Risk is Sovereign Risk? Evidence from the Eurozone28 cited
  • 2014On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom27 cited