SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

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

A Top-Down Approach to Multi-Name Credit · Study

PreprintShelves

PreprintA Top-Down Approach to Multi-Name Credit

Kay Giesecke2005

OA

Preprintgreen2005

A Top-Down Approach to Multi-Name Credit

Kay Giesecke · Lisa R. Goldberg · Xiaowei Ding

139 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 139 citations exist upstream.

References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 2001Term Structures of Credit Spreads with Incomplete Accounting Information 2000On Default Correlation

Cited by

2006Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model 2008BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives 2012On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations 2009A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework 2009Computational techniques for basic affine models of portfolio credit risk 2009

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005Credit risk modeling with affine processesarticle · 14 shared references 2010A Top-Down Approach to Multiname Creditarticle · 13 shared references 2004Modeling and Valuation of Credit Riskchapter · 13 shared references 2003Credit Risk Modeling and Valuation: An Introductionpreprint · 12 shared references 2007Beyond Hazard Rates: A New Framework for Credit-Risk Modellingchapter · 12 shared references 2009Credit Risk Models with Incomplete Informationarticle · 11 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations139

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.2139/ssrn.1142152

openalex_workW2170680356

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Large portfolio losses: A dynamic contagion model

2008A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds

2009Time-Changed Birth Processes and Multiname Credit Derivatives