Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Modelling bonds and credit default swaps using a structural model with contagion

16 references·2 citing·34 second hop

FromToDepth

this work references cited by second hop

References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,422 cited
2004Copula Methods in Finance2,020 cited
2001Counterparty Risk and the Pricing of Defaultable Securities686 cited
2004Credit Risk Modeling530 cited
1976Valuing Corporate Securities: Some Effects of Bond Indenture Provisions461 cited
2004Credit Risk Modeling: Theory and Applications379 cited
2003Credit Derivatives Pricing Models366 cited
2001Valuing Credit Default Swaps II341 cited
2001An Analysis of Default Correlations and Multiple Defaults313 cited
2006Copulas: Tales and facts242 cited
2006A Multivariate Jump-Driven Financial Asset Model204 cited
2003Credit Risk Modeling and Valuation: An Introduction167 cited
2010The valuation of correlation-dependent credit derivatives using a structural model126 cited
1998Double Lookbacks

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

90 cited

Cited by

2014Spatial Interaction Model of Credit Risk Contagion in the CRT Market24 cited
2013Pricing credit default swaps with bilateral value adjustments23 cited