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Cyclical Correlations, Credit Contagion, and Portfolio Losses
15 references·16 citing·45 second hop
Cyclical Correlations, Credit Contagion, and Portfolio Losses (2003)Cyclical Correlations, Credit Contagion, …A note on the large homogeneous portfolio approximation with the Student-t copula (2005)A note on the large homogeneo…Risk Assessment for Banking Systems (2004)Risk Assessment for Banking S…Interbank Exposures: Quantifying the Risk of Contagion (2003)Interbank Exposures: Quantify…Dependent defaults in models of portfolio credit risk (2003)Dependent defaults in models …VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights (2002)VaR and expected shortfall in…Estimating Bilateral Exposures in the German Interbank Market: Is There a Danger of Contagion? (2002)Estimating Bilateral Exposure…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…An analytic approach to credit risk of large corporate bond and loan portfolios (2001)An analytic approach to credi…Financial Contagion (2000)Financial ContagionA comparative analysis of current credit risk models (2000)A comparative analysis of cur…Portfolio Credit Risk (1998)Portfolio Credit RiskMultivariate Models and Dependence Concepts (1998)Multivariate Models and Depen…Contagion and Bank Failures During the Great Depression: The June 1932 Chicago Banking Panic (1994)Contagion and Bank Failures D…Bank contagion: A review of the theory and evidence (1994)Bank contagion: A review of t…Contagion and competitive intra-industry effects of bankruptcy announcements (1992)Contagion and competitive int…Modelling Dynamic Portfolio Credit Risk (2023)Modelling Dynamic Portfolio C…Default Correlations and Large-Portfolio Credit Analysis (2015)Default Correlations and Larg…Counterparty Contagion in Context: Contributions to Systemic Risk (2013)Counterparty Contagion in Con…Derivatives and credit contagion in interconnected networks (2012)Derivatives and credit contag…Contagion and Excess Correlation in Credit Default Swaps (2011)Contagion and Excess Correlat…Modelling default contagion using multivariate phase-type distributions (2010)Modelling default contagion u…Time-Changed Birth Processes and Multi-Name Credit Derivatives (2008)Time-Changed Birth Processes …Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach (2008)Pricing synthetic CDO tranche…Portfolio Credit Risk: Top‐Down versus Bottom‐Up Approaches (2008)Portfolio Credit Risk: Top‐Do…Pricing portfolio credit derivatives (2007)Pricing portfolio credit deri…Stochastic cascades, credit contagion, and large portfolio losses (2006)Stochastic cascades, credit c…Correlation at First Sight (2005)Correlation at First SightIs Firm Interdependence Within Industries Important for Portfolio Credit Risk? (2004)Is Firm Interdependence Withi…Credit risk enhancement in a network of interdependent firms (2004)Credit risk enhancement in a …A Simple Model of Credit Contagion (2004)A Simple Model of Credit Cont…The Quantification of Operational Risk (2003)The Quantification of Operati…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Introduction to Copulas (1999)Beyond Correlation: Extreme Co-Movements between Financial Assets (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Selecting copulas for risk management (2007)Default Cascades: When Does Risk Diversification Increase Stability? (2011)A Monetary History of the United States, 1867-1960 (1964)The Pricing of Options and Corporate Liabilities (1973)Bank Runs, Deposit Insurance, and Liquidity (1983)Consequences of Bank Distress During the Great Depression (2003)Understanding Bank Runs: The Importance of Depositor-Bank Relationships and Networks (2012)If the world fails to protect the economy, COVID-19 will damage health not just now but also in the future (2020)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Managerial discretion and optimal financing policies (1990)Troubled debt restructurings (1990)Is the Risk of Bankruptcy a Systematic Risk? (1998)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1999)The effect of supply chain glitches on shareholder wealth (2003)Financial Intermediation and Delegated Monitoring (1984)Agency Costs, Net Worth, And Business Fluctuations (1988)The fiscal cost implications of an accommodating approach to banking crises (2002)Financial Intermediation (2003)Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003)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)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Martingales and arbitrage in multiperiod securities markets (1979)Common Failings: How Corporate Defaults Are Correlated (2007)Credit Contagion from Counterparty Risk (2009)A model of reserves, bank runs, and deposit insurance (1980)Distinguishing Panics and Information-based Bank Runs: Welfare and Policy Implications (1988)Estimating bilateral exposures in the German interbank market: Is there a danger of contagion? (2004)How likely is contagion in financial networks? (2014)A Monetary History of the United States 1867-1960 (1964)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Systemic Risk and Stability in Financial Networks (2015)The intersection of market and credit risk (2000)Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)Elliptical copulas: applicability and limitations (2003)Factor copula models for multivariate data (2013)
this work references cited by second hop

References

  • 2000Financial Contagion3,393 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 1992Contagion and competitive intra-industry effects of bankruptcy announcements920 cited
  • 2003Interbank Exposures: Quantifying the Risk of Contagion666 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 1994Contagion and Bank Failures During the Great Depression: The June 1932 Chicago Banking Panic461 cited
  • 1994Bank contagion: A review of the theory and evidence405 cited
  • 1998Portfolio Credit Risk362 cited
  • 1998Multivariate Models and Dependence Concepts352 cited
  • 2003Dependent defaults in models of portfolio credit risk303 cited
  • 2002Estimating Bilateral Exposures in the German Interbank Market: Is There a Danger of Contagion?254 cited
  • 2002VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights183 cited
  • 2004Risk Assessment for Banking Systems154 cited
  • 2001An analytic approach to credit risk of large corporate bond and loan portfolios136 cited
  • 2005A note on the large homogeneous portfolio approximation with the Student-t copula82 cited

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Cited by

  • 2012Derivatives and credit contagion in interconnected networks37 cited
  • 2008Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach37 cited
  • 2004Credit risk enhancement in a network of interdependent firms37 cited
  • 2004A Simple Model of Credit Contagion37 cited
  • 2006Stochastic cascades, credit contagion, and large portfolio losses36 cited
  • 2013Counterparty Contagion in Context: Contributions to Systemic Risk35 cited
  • 2023Modelling Dynamic Portfolio Credit Risk35 cited
  • 2003The Quantification of Operational Risk32 cited
  • 2010Modelling default contagion using multivariate phase-type distributions29 cited
  • 2008Time-Changed Birth Processes and Multi-Name Credit Derivatives26 cited
  • 2011Contagion and Excess Correlation in Credit Default Swaps25 cited
  • 2005Correlation at First Sight23 cited
  • 2008Portfolio Credit Risk: Top‐Down versus Bottom‐Up Approaches23 cited
  • 2015Default Correlations and Large-Portfolio Credit Analysis22 cited
  • 2004Is Firm Interdependence Within Industries Important for Portfolio Credit Risk?22 cited
  • 2007Pricing portfolio credit derivatives20 cited