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A Top-Down Approach to Multiname Credit
16 references·5 citing·41 second hop
A Top-Down Approach to Multiname Credit (2010)A Top-Down Approach to Multiname CreditAffine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…Computational techniques for basic affine models of portfolio credit risk (2009)Computational techniques for …BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (2008)BSLP: Markovian bivariate spr…An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)An Empirical Analysis of the …Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models (2006)Semi-Analytical Valuation of …Default and information (2005)Default and informationA General Formula for Valuing Defaultable Securities (2004)A General Formula for Valuing…Asset Pricing under the Quadratic Class (2002)Asset Pricing under the Quadr…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Counterparty Risk and the Pricing of Defaultable Securities (2001)Counterparty Risk and the Pri…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …On Models of Default Risk (2000)On Models of Default RiskOn Default Correlation (2000)On Default CorrelationOn cox processes and credit risky securities (1998)On cox processes and credit r…Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)Recursive valuation of defaul…Risk Analysis for Large Pools of Loans (2018)Risk Analysis for Large Pools…Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets (2012)Systematic and Idiosyncratic …Premia for correlated default risk (2011)Premia for correlated default…Risk Analysis of Collateralized Debt Obligations (2010)Risk Analysis of Collateraliz…Hedging CDO Tranches in a Markovian Environment (2010)Hedging CDO Tranches in a Mar…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing the risks of default (1998)A jump to default extended CEV model: an application of Bessel processes (2006)BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)The Pricing of Options and Corporate Liabilities (1973)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)Brownian Motion and Stochastic Calculus (2007)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Frailty Correlated Default (2009)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (2006)Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (2007)Estimation of Dynamic Term Structure Models (2012)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)Manias, Panics, and Crashes: A History of Financial Crises (1979)Financial Intermediation and Delegated Monitoring (1984)Accounting-based versus market-based cross-sectional models of CDS spreads (2008)Counterparty credit risk and the credit default swap market (2011)Exploring the sources of default clustering (2018)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)Continuous Martingales and Brownian Motion (1999)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Credit Default Swaps: A Survey (2014)Martingales and arbitrage in multiperiod securities markets (1979)Credit Contagion from Counterparty Risk (2009)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2000On Default Correlation1,257 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2001Counterparty Risk and the Pricing of Defaultable Securities662 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations299 cited
  • 2002Asset Pricing under the Quadratic Class259 cited
  • 2000On Models of Default Risk238 cited
  • 1996Recursive valuation of defaultable securities and the timing of resolution of uncertainty232 cited
  • 2005Default and information195 cited
  • 2004A General Formula for Valuing Defaultable Securities181 cited
  • 2006Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models112 cited
  • 2008BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives96 cited
  • 2009Computational techniques for basic affine models of portfolio credit risk

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Cited by

  • 2011Premia for correlated default risk58 cited
  • 2018Risk Analysis for Large Pools of Loans47 cited
  • 2010Risk Analysis of Collateralized Debt Obligations45 cited
  • 2012Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets33 cited
  • 2010Hedging CDO Tranches in a Markovian Environment29 cited