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On cox processes and credit risky securities

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
2007Brownian Motion and Stochastic Calculus7,421 cited
1993Dynamic Asset Pricing Theory.2,891 cited
1999Modeling Term Structures of Defaultable Bonds2,547 cited
1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
1988Brownian Motion and Stochastic Calculus1,544 cited
1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited

Cited by

2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
2003Affine processes and applications in finance1,044 cited
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
2001Counterparty Risk and the Pricing of Defaultable Securities662 cited

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1999Credit Swap Valuation636 cited

2001Risk and Valuation of Collateralized Debt Obligations599 cited

1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions598 cited

2004Credit Risk Modeling530 cited

2006Liquidity and Credit Risk452 cited

2002Analyzing rating transitions and rating drift with continuous observations439 cited

2000Valuing Credit Default Swaps I426 cited

2007Measuring Default Risk Premia from Default Swap Rates and EDFs416 cited

2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt381 cited

2013Systemic sovereign credit risk: Lessons from the U.S. and Europe373 cited