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LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
1999Modeling Term Structures of Defaultable Bonds2,547 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
2000On Default Correlation1,257 cited
2005Importance Sampling for Portfolio Credit Risk322 cited
2001An analytic approach to credit risk of large corporate bond and loan portfolios136 cited
2002Saddlepoint approximation of CreditRisk+79 cited
2008Fast Simulation of Multifactor Portfolio Credit Risk74 cited

Cited by

2012LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT70 cited
2007Some Applications and Methods of Large Deviations in Finance and Insurance40 cited
2010PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS34 cited
2013Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives34 cited
2017Inference for Large Financial Systems32 cited
2008Importance sampling for integrated market and credit portfolio models32 cited

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