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A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS
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A GENERALIZED FRAMEWORK FOR CREDIT RISK PORTFOLIO MODELS (1999)A GENERALIZED FRAMEWORK FOR CREDIT RISK P…Portfolio Credit Risk (2007)Portfolio Credit RiskON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Deposit Insurance Systems (2017)Deposit Insurance SystemsCredit Risk Factor Modeling and the Basel Ii IRB Approach (2016)Credit Risk Factor Modeling a…Parameterizing credit risk models (2006)Parameterizing credit risk mo…Sectoral fragility: factors and dynamics (2005)Sectoral fragility: factors a…Corporate Credit Risk Modelling and the Macroeconomy (2004)Corporate Credit Risk Modelli…Capital Charges Under Basel Ii: Corporate Credit Risk Modelling and the Macroeconomy (2004)Capital Charges Under Basel I…Applying credit risk models to deposit insurance pricing: Empirical evidence from the Italian banking system (2004)Applying credit risk models t…An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies (2004)An Empirical Comparison of De…Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach (2002)Evaluating the Adequacy of th…A comparative analysis of current credit risk models (2000)A comparative anatomy of credit risk models (2000)Counterparty Risk and the Pricing of Defaultable Securities (2001)Macroeconomic impact on expected default frequency (2008)A Macroprudential Framework for Monitoring and Examining Financial Soundness (2010)A market-based approach to sector risk determinants and transmission in the euro area (2013)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book (2010)Determinants of bank credit default swap spreads: The role of the housing sector (2012)Bankruptcy Prediction Model of Industrial Enterprises in the Czech Republic (2013)The Pricing of Options and Corporate Liabilities (1973)The Cross-Section of Expected Stock Returns (1992)Estimation of Credit Risk by Artificial Neural Networks Models (2009)Stability of rating transitions (2000)Value At Risk: The New Benchmark for Managing Financial Risk (2000)Increased Concentration in Banking: Megabanks and Their Implications for Deposit Insurance (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Bank Runs, Deposit Insurance, and Liquidity (1983)A Monetary History of the United States, 1867-1960 (2017)Does diversification promote systemic risk? (2022)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)The Pricing of Options and Corporate Liabilities (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Stress-testing credit risk parameters: an application to retail loan portfolios (2007)The risk management for technology credit guarantee fund (2007)Estimating Credit Contagion in a Standard Factor Model (2008)Basel II and the Cyclicality of Bank Capital (2005)Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle (2014)Cyclical Implications of Minimum Capital Requirements (2016)Allocation of Economic Capital in loan portfolios (2000)Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany (2003)Macroeconomic Modelling of Credit Risk for Banks (2014)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2007Portfolio Credit Risk88 cited

Cited by

  • 2004Corporate Credit Risk Modelling and the Macroeconomy40 cited
  • 2006Parameterizing credit risk models32 cited
  • 2004Capital Charges Under Basel Ii: Corporate Credit Risk Modelling and the Macroeconomy31 cited
  • 2016Credit Risk Factor Modeling and the Basel Ii IRB Approach30 cited
  • 2005Sectoral fragility: factors and dynamics26 cited
  • 2004Applying credit risk models to deposit insurance pricing: Empirical evidence from the Italian banking system22 cited
  • 2017Deposit Insurance Systems21 cited
  • 2002Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach20 cited
  • 2004An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies18 cited

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