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Simulating Risk Contributions of Credit Portfolios
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Simulating Risk Contributions of Credit Portfolios (2015)Simulating Risk Contributions of Credit P…Exploring the sources of default clustering (2018)Exploring the sources of defa…Affine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…Frailty Correlated Default (2009)Frailty Correlated DefaultDoes industry-wide distress affect defaulted firms? Evidence from creditor recoveries (2007)Does industry-wide distress a…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)AN AXIOMATIC APPROACH TO CAPI…Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004)Default Recovery Rates in Cre…Dependent 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 …Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…On Default Correlation (2000)On Default CorrelationSimulation modeling and analysis (1999)Simulation modeling and analy…Simulation Modeling and Analysis. (1983)Simulation Modeling and Analy…A value for n -person games (1988)A Course in Game Theory (1994)Coherent Measures of Risk (1999)Expected shortfall and beyond (2002)Measuring the systemic importance of interconnected banks (2013)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Bank Liquidity Creation (2009)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Portfolio Selection (1952)Safety First and the Holding of Assets (1952)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)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)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)Credit Contagion from Counterparty Risk (2009)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)An Introduction to Copulas (1999)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)Continuous Martingales and Brownian Motion (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Credit Default Swaps: A Survey (2014)Testing ecological models: the meaning of validation (1996)Developing Theory Through Simulation Methods (2007)Verification and validation of simulation models (2012)Modeling Good Research Practices—Overview: A Report of the ISPOR-SMDM Modeling Good Research Practices Task Force-1 (2012)Simulation Modeling and Analysis (2016)
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References

  • 1983Simulation Modeling and Analysis.8,697 cited
  • 1999Simulation modeling and analysis3,833 cited
  • 2000On Default Correlation1,257 cited
  • 2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries700 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2009Frailty Correlated Default547 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 2003Dependent defaults in models of portfolio credit risk303 cited
  • 2005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION290 cited
  • 2018Exploring the sources of default clustering243 cited
  • 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence194 cited
  • 2003Dependent defaults in models of portfolio credit risk190 cited

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