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Risk Analysis of Collateralized Debt Obligations
16 references·2 citing·35 second hopsampled
Risk Analysis of Collateralized Debt Obligations (2010)Risk Analysis of Collateralized Debt Obli…Exploring the sources of default clustering (2018)Exploring the sources of defa…Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs. (2010)Is Credit Event Risk Priced? …Affine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…A Top-Down Approach to Multiname Credit (2010)A Top-Down Approach to Multin…Frailty Correlated Default (2009)Frailty Correlated DefaultComputational techniques for basic affine models of portfolio credit risk (2009)Computational techniques for …RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2008)RECOVERING PORTFOLIO DEFAULT …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 …Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Good and bad credit contagion…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 …Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2006)Calibration of CDO Tranches w…A Top-Down Approach to Multi-Name Credit (2005)A Top-Down Approach to Multi-…Numerical solution of jump-diffusion LIBOR market models (2003)Numerical solution of jump-di…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Optimizing capacity investment on renewable energy source supply chain (2017)Optimizing capacity investmen…Efficient Simulation of Clustering Jumps with CIR Intensity (2017)Efficient Simulation of Clust…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Discretion versus policy rules in practice (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A General Formula for Valuing Defaultable Securities (2004)CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS (2007)Systemic Risk: What Defaults Are Telling Us (2009)Event Studies in Economics and Finance (1997)Modeling Term Structures of Defaultable Bonds (1999)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Contagion from Counterparty Risk (2009)Sovereign credit ratings and financial markets linkages: Application to European data (2012)A Theory of the Term Structure of Interest Rates (1985)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)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)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Continuous Martingales and Brownian Motion (1999)On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations (2012)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)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (2011)Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market (2021)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009)
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References

  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2007Good and bad credit contagion: Evidence from credit default swaps☆588 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2009Frailty Correlated Default547 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations299 cited
  • 2018Exploring the sources of default clustering243 cited
  • 2010Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.181 cited
  • 2005A Top-Down Approach to Multi-Name Credit139 cited
  • 2006Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models112 cited
  • 2006Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model107 cited
  • 2008BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives96 cited
  • 2009Computational techniques for basic affine models of portfolio credit risk74 cited
  • 2008RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES71 cited
  • 2003Numerical solution of jump-diffusion LIBOR market models71 cited

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  • 2010A Top-Down Approach to Multiname Credit70 cited
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    • 2017Efficient Simulation of Clustering Jumps with CIR Intensity32 cited
    • 2017Optimizing capacity investment on renewable energy source supply chain20 cited