SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Dynamic Models of Portfolio Credit Risk
16 references·0 citing·44 second hop
Dynamic Models of Portfolio Credit Risk (2008)Dynamic Models of Portfolio Credit RiskThe valuation of correlation-dependent credit derivatives using a structural model (2010)The valuation of correlation-…An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)An Empirical Analysis of the …A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING (2008)A NEW FRAMEWORK FOR DYNAMIC C…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Valuing Credit Derivatives Using an Implied Copula Approach (2006)Valuing Credit Derivatives Us…Correlated Default Risk (2006)Correlated Default RiskCalibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2006)Calibration of CDO Tranches w…Basket default swaps, CDOs and factor copulas (2005)Basket default swaps, CDOs an…Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…On Default Correlation (2000)On Default CorrelationEfficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)Pricing Options under Generalized GARCH and Stochastic Volatility Processes (1999)Valuation of Commodity-Based Swing Options (2004)Modeling Term Structures of Defaultable Bonds (1999)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Systemic Risk Contributions (2011)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)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Frailty Correlated Default (2009)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)Exploring the sources of default clustering (2018)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)An Introduction to Copulas (1999)Credit Risk: Modeling, Valuation and Hedging (2004)Copula Modeling: An Introduction for Practitioners (2007)Quantitative Risk Management (2011)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)International Asset Allocation With Regime Shifts (2002)Market Integration and Contagion (2005)Downside Risk (2006)The cost of capital, corporation finance and the theory of investment (2008)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2000On Default Correlation1,257 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations299 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 2005Basket default swaps, CDOs and factor copulas260 cited
  • 2006Valuing Credit Derivatives Using an Implied Copula Approach153 cited
  • 2006Correlated Default Risk133 cited
  • 2010The valuation of correlation-dependent credit derivatives using a structural model126 cited
  • 2006Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

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

107 cited
  • 2008A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING89 cited
  • Cited by

    No citing works inside the corpus for this window.