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Credit Risk in a Network Economy
16 references·12 citing·26 second hop
Credit Risk in a Network Economy (2007)Credit Risk in a Network Economy“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…An EBIT‐Based Model of Dynamic Capital Structure (2001)An EBIT‐Based Model of Dynami…The determinants and implications of corporate cash holdings (1999)The determinants and implicat…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Optimal Financial Crises (1998)Optimal Financial CrisesOptimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Optimal Capital Structure, En…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Dynamic Capital Structure Choice: Theory and Tests (1989)Dynamic Capital Structure Cho…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Fundamentals of Queueing Theory. (1977)Fundamentals of Queueing Theo…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Dynamic clearing and contagion in financial networks (2024)Dynamic clearing and contagio…Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments (2022)Pricing of Debt and Equity in…Data Science for Economics and Finance (2021)Data Science for Economics an…“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults (2017)“Birds of a Feather” Fail Tog…Network Valuation in Financial Systems (2016)Network Valuation in Financia…Goodness-of-fit test for specification of semiparametric copula dependence models (2016)Goodness-of-fit test for spec…Disentangling diversification in supply chain networks (2015)Disentangling diversification…Complex Financial Networks and Systemic Risk: A Review (2015)Complex Financial Networks an…Spatial Interaction Model of Credit Risk Contagion in the CRT Market (2014)Spatial Interaction Model of …Structure and causality relations in a global network of financial companies (2013)Structure and causality relat…Automotive Enterprise Transformation: Build to Order as a Sustainable and Innovative Strategy for the Automotive Industry? (2013)Automotive Enterprise Transfo…Natural hedging as a risk prophylaxis and supplier financing instrument in automotive supply chains (2011)Natural hedging as a risk pro…The Pricing of Options and Corporate Liabilities (1973)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The theory and practice of corporate finance: evidence from the field (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cash Flow Sensitivity of Cash (2004)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Input Versus Output Queueing on a Space-Division Packet Switch (1987)Queueing analysis: A foundation of performance evaluation (1995)Modeling bursts and heavy tails in human dynamics (2006)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1999The determinants and implications of corporate cash holdings3,910 cited
  • 1977Fundamentals of Queueing Theory.2,930 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 1989Dynamic Capital Structure Choice: Theory and Tests1,572 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 1998Optimal Financial Crises1,016 cited
  • 2001An EBIT‐Based Model of Dynamic Capital Structure957 cited
  • 2004

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Structural Models of Corporate Bond Pricing: An Empirical Analysis
926 cited

Cited by

  • 2013Structure and causality relations in a global network of financial companies61 cited
  • 2015Complex Financial Networks and Systemic Risk: A Review58 cited
  • 2015Disentangling diversification in supply chain networks58 cited
  • 2016Network Valuation in Financial Systems50 cited
  • 2011Natural hedging as a risk prophylaxis and supplier financing instrument in automotive supply chains44 cited
  • 2021Data Science for Economics and Finance42 cited
  • 2017“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults41 cited
  • 2016Goodness-of-fit test for specification of semiparametric copula dependence models35 cited
  • 2024Dynamic clearing and contagion in financial networks31 cited
  • 2014Spatial Interaction Model of Credit Risk Contagion in the CRT Market24 cited
  • 2022Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments22 cited
  • 2013Automotive Enterprise Transformation: Build to Order as a Sustainable and Innovative Strategy for the Automotive Industry?12 cited