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Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures
6 references·2 citing·39 second hop
Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures (2008)Credit fundamentals, ratings and value-at…Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model (2012)Specification and Calibration…Money for Nothing and Checks for Free: Recent Developments in U.S. Subprime Mortgage Markets (2007)Money for Nothing and Checks …Cdo Rating Methodology: Some Thoughts on Model Risk and its Implications (2007)Cdo Rating Methodology: Some …Understanding the Risk of Synthetic CDOs (2004)Understanding the Risk of Syn…The empirical relationship between average asset correlation, firm probability of default, and asset size (2003)The empirical relationship be…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…CDOs and the financial crisis: Credit ratings and fair premia (2013)CDOs and the financial crisis…How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches (2008)How has CDO Market Pricing Ch…A Comparison of Bond Ratings from Moody's S&P and Fitch IBCA (1999)Credit Derivatives Pricing Models: Models, Pricing and Implementation (2003)The Systemic Regulation of Credit Rating Agencies and Rated Markets (2009)Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants (2010)Competition in the credit rating Industry: Benefits for investors and issuers (2016)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations (2008)Systemic Risk Contributions (2011)Basel III, capital stability, risk-taking, ownership: Evidence from Asia (2014)The Determinants of Credit Spread Changes (2001)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)Implied correlations of iTraxx tranches during the financial crisis (2010)The Evolution of the Subprime Mortgage Market (2006)The subprime mortgage market (2007)Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions (2007)Mortgage Product Innovation in Advanced Economies: More Choice, More Risk (2008)The Housing Meltdown: Why Did it Happen in the United States? (2008)Behavioral Real Estate (2017)A comparative anatomy of credit risk models (2000)The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on Spanish Credit Register Data (2004)Bayesian inference for generalized linear mixed models of portfolio credit risk (2006)Correlated Default Risk (2006)On Default Correlation: A Copula Function Approach (1999)Risk and Valuation of Collateralized Debt Obligations (2001)Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)A New Risk Indicator and Stress Testing Tool (2006)Why Did Holdings of Highly Rated Securitization Tranches Differ So Much across Banks? (2013)Basel III leverage ratio requirement and the probability of bank runs (2014)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Market discipline, disclosure and moral hazard in banking (2006)Common Failings: How Corporate Defaults Are Correlated (2007)Does Competition Reduce the Risk of Bank Failure? (2010)Is Default Event Risk Priced in Corporate Bonds? (2004)The Credit Ratings Game (2009)The Economics of Structured Finance (2009)Reaching for Yield in the ABS Market: Evidence from German Bank Investments (2019)
this work references cited by second hop

References

  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2003The empirical relationship between average asset correlation, firm probability of default, and asset size190 cited
  • 2004Understanding the Risk of Synthetic CDOs115 cited
  • 2007Money for Nothing and Checks for Free: Recent Developments in U.S. Subprime Mortgage Markets102 cited
  • 2007Cdo Rating Methodology: Some Thoughts on Model Risk and its Implications57 cited
  • 2012Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model54 cited

Cited by

  • 2013CDOs and the financial crisis: Credit ratings and fair premia26 cited
  • 2008How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches24 cited

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