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Is Firm Interdependence Within Industries Important for Portfolio Credit Risk?
16 references·0 citing·44 second hop
Is Firm Interdependence Within Industries Important for Portfolio Credit Risk? (2004)Is Firm Interdependence Within Industries…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios* (2006)Should Banks Be Diversified? …Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Macroeconomic Dynamics and Cr…Capital structure, credit risk, and macroeconomic conditions (2006)Capital structure, credit ris…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Measures of risk (2002)Measures of riskForecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…Collateral versus Project Screening: A Model of Lazy Banks (2001)Collateral versus Project Scr…Stability of rating transitions (2000)Stability of rating transitio…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…Portfolio Credit Risk (1998)Portfolio Credit RiskIntroducing Recursive Partitioning for Financial Classification: The Case of Financial Distress (1985)Introducing Recursive Partiti…A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model (1982)A Computationally Efficient Q…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Financial Ratios As Predictors of Failure (1966)ZETATM analysis A new model to identify bankruptcy risk of corporations (1977)An application of the cox proportional hazards model to bank failure (1986)A survey of business failures with an emphasis on prediction methods and industrial applications (1996)Predicting corporate financial distress: Reflections on choice-based sample bias (2002)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)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)Frailty Correlated Default (2009)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Market discipline, disclosure and moral hazard in banking (2006)Does Competition Reduce the Risk of Bank Failure? (2010)On financial contracting (1979)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)The cost of capital, corporation finance and the theory of investment (2008)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Rollover Risk and Credit Risk (2012)Financial Intermediation and Delegated Monitoring (1984)Some evidence on the uniqueness of bank loans (1987)Asymmetric Information, Bank Lending and Implicit Contracts: A Stylized Model of Customer Relationships (1990)Does the stock market value bank diversification? (2007)The effects of focus versus diversification on bank performance: Evidence from Chinese banks (2010)Is financial inclusion good for bank stability? International evidence (2017)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Modeling Term Structures of Defaultable Bonds (1999)Forecasting Default with the Merton Distance to Default Model (2008)In Search of Distress Risk (2008)A Computationally Practical Simulation Estimator for Panel Data (1994)Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model (2004)Inequality, the Urban-Rural Gap, and Migration* (2013)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)
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References

  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 1985Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress748 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2006Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios*700 cited
  • 2006Capital structure, credit risk, and macroeconomic conditions678 cited
  • 1982A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model664 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2000Stability of rating transitions562 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 2001Collateral versus Project Screening: A Model of Lazy Banks504 cited
  • 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective408 cited
  • 1998Portfolio Credit Risk

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362 cited
  • 2002Measures of risk325 cited
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