SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A coupled Markov chain approach to credit risk modeling
16 references·0 citing·34 second hop
A coupled Markov chain approach to credit risk modeling (2011)A coupled Markov chain approach to credit…Quantitative Risk Management (2011)Quantitative Risk ManagementBayesian inference for generalized linear mixed models of portfolio credit risk (2006)Bayesian inference for genera…Stochastic Finance (2004)Stochastic FinanceDependent defaults in models of portfolio credit risk (2003)Dependent defaults in models …Dependent defaults in models of portfolio credit risk (2003)Dependent defaults in models …Credit Risk: Pricing, Measurement, and Management (2003)Credit Risk: Pricing, Measure…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Stability of rating transitions (2000)Stability of rating transitio…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Optimization of conditional value-at-risk (2000)Optimization of conditional v…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Coherent Measures of Risk (1999)Coherent Measures of RiskA Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)How Profitable Is Capital Structure Arbitrage? (2006)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2011Quantitative Risk Management985 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2004Stochastic Finance701 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2000Stability of rating transitions562 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 2003Dependent defaults in models of portfolio credit risk303 cited
  • 2003Credit Risk: Pricing, Measurement, and Management200 cited
  • 2003Dependent defaults in models of portfolio credit risk190 cited
  • 2006Bayesian inference for generalized linear mixed models of portfolio credit risk180 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

No citing works inside the corpus for this window.