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Tail Approximations for Portfolio Credit Risk
8 references·5 citing·40 second hop
Tail Approximations for Portfolio Credit Risk (2004)Tail Approximations for Portfolio Credit …Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…Saddlepoint approximation of CreditRisk+ (2002)Saddlepoint approximation of …Factor Models: Portfolio Credit Risks When Defaults are Correlated (2001)Factor Models: Portfolio Cred…An analytic approach to credit risk of large corporate bond and loan portfolios (2001)An analytic approach to credi…On Default Correlation (2000)On Default CorrelationAsymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Fast Ninomiya–Victoir calibration of the double-mean-reverting model (2013)Fast Ninomiya–Victoir calibra…Basket CDS pricing with interacting intensities (2009)Basket CDS pricing with inter…Importance sampling for integrated market and credit portfolio models (2008)Importance sampling for integ…Tail approximation for credit risk portfolios with heavy-tailed risk factors (2006)Tail approximation for credit…Saddlepoint approximation method for pricing CDOs (2006)Saddlepoint approximation met…Insurance Risk Models (1994)Saddlepoint Approximations (1995)A comparative anatomy of credit risk models (2000)LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (2007)On the parameterization of the CreditRisk + model for estimating credit portfolio risk (2007)Financial Engineering with Copulas Explained (2014)ECONOMETRIC ANALYSIS OF QUALITATIVE RESPONSE MODELS (1984)A Generalized Single Common Factor Model of Portfolio Credit Risk (2008)Do specialization benefits outweigh concentration risks in credit portfolios of German banks (2010)Default Correlations and Large-Portfolio Credit Analysis (2015)A Theory of the Term Structure of Interest Rates (1985)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Rare events, splitting, and quasi-Monte Carlo (2007)Numerical solution of stochastic differential equations (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Portfolio Selection (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Default correlation: An empirical investigation of a subprime lender (2003)Empirical credit cycles and capital buffer formation (2005)Credit cycles and macro fundamentals (2008)Monte Carlo Methods in Financial Engineering (2003)The systemic risk of European banks during the financial and sovereign debt crises (2015)Searching for innovation: Product, process, and business model innovations and search behavior in established firms (2018)An Introduction to Copulas (1999)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)Risk and Valuation of Collateralized Debt Obligations (2001)Basket default swaps, CDOs and factor copulas (2005)Saddlepoint approximations for affine jump-diffusion models (2008)The distribution of realized stock return volatility (2001)Brownian Motion and Stochastic Calculus (2007)The cost of capital, corporation finance and the theory of investment (2008)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2000On Default Correlation1,257 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 2001An analytic approach to credit risk of large corporate bond and loan portfolios136 cited
  • 2002Saddlepoint approximation of CreditRisk+79 cited
  • 2001Factor Models: Portfolio Credit Risks When Defaults are Correlated67 cited

Cited by

  • 2006Saddlepoint approximation method for pricing CDOs43 cited
  • 2013Fast Ninomiya–Victoir calibration of the double-mean-reverting model42 cited
  • 2009Basket CDS pricing with interacting intensities39 cited
  • 2008Importance sampling for integrated market and credit portfolio models32 cited
  • 2006Tail approximation for credit risk portfolios with heavy-tailed risk factors22 cited

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