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INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
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INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (2013)INFORMATIONALLY DYNAMIZED GAUSSIAN COPULAFinancial Modeling (2013)Financial ModelingDynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (2013)Dynamic Hedging of Portfolio …Counterparty Credit Risk, Collateral and Funding (2013)Counterparty Credit Risk, Col…Credit Models and the Crisis (2012)Credit Models and the CrisisBILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (2012)BILATERAL COUNTERPARTY RISK U…BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (2012)BILATERAL COUNTERPARTY RISK U…VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (2011)VALUATION AND HEDGING OF CDS …What happens after a default: The conditional density approach (2010)What happens after a default:…Hedging CDO Tranches in a Markovian Environment (2010)Hedging CDO Tranches in a Mar…About the Pricing Equations in Finance (2010)About the Pricing Equations i…Progressive enlargement of filtrations with initial times (2009)Progressive enlargement of fi…Market Models for CDS Options and Callable Floaters (2005)Market Models for CDS Options…Extensions to the Gaussian copula: random recovery and random factor loadings (2005)Extensions to the Gaussian co…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk Modeling (2004)Credit Risk ModelingOn Default Correlation (2000)On Default CorrelationVALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Forecasting: theory and practice (2022)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing (2007)Modeling Dependence in High Dimensions With Factor Copulas (2015)Backward Stochastic Differential Equations in Finance (1997)Limit Theorems for Stochastic Processes (2003)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments (2012)Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs (2017)Forward-Backward Stochastic Differential Equations and their Applications (2007)Valuation and Hedging of Contracts with Funding Costs and Collateralization (2015)Martingale Methods in Financial Modelling (1997)On cox processes and credit risky securities (1998)Stochastic Integration and Differential Equations (2005)Optimal investment with counterparty risk: a default-density model approach (2010)Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010)Optimal investment under multiple defaults risk: A BSDE-decomposition approach (2013)Calcul Stochastique et Problèmes de Martingales (1979)Dynamic Hedging of Counterparty Exposure (2013)A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (2014)Counterparty risk and funding: immersion and beyond (2016)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)An Introduction to Copulas (1999)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A general version of the fundamental theorem of asset pricing (1994)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Immersion Property and Credit Risk Modelling (2009)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Risk-Adjusted Cost of Financial Distress (2005)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)From failure to failure: The politics of international banking regulation (2011)Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (2014)The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk (2016)
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References

  • 2000On Default Correlation1,465 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2004Credit Risk Modeling530 cited
  • 2005Extensions to the Gaussian copula: random recovery and random factor loadings336 cited
  • 2013Counterparty Credit Risk, Collateral and Funding176 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA163 cited
  • 2012BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING130 cited
  • 2010What happens after a default: The conditional density approach110 cited
  • 2009Progressive enlargement of filtrations with initial times78 cited
  • 2013Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model63 cited
  • 2012Credit Models and the Crisis56 cited
  • 2005Market Models for CDS Options and Callable Floaters52 cited
  • 2011VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL48 cited
  • 2010About the Pricing Equations in Finance42 cited
  • 2013Financial Modeling38 cited
  • 2010Hedging CDO Tranches in a Markovian Environment29 cited

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