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A Top-Down Approach to Multi-Name Credit

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References

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2002Copula-Dependent Defaults in Intensity Models

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302 cited

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2009Computational techniques for basic affine models of portfolio credit risk74 cited
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2009Time-Changed Birth Processes and Multiname Credit Derivatives66 cited
2013Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model63 cited
2007Pricing Credit from the Top Down with Affine Point Processes63 cited
2011Premia for correlated default risk58 cited
2010Hedging default risks of CDOs in Markovian contagion models55 cited
2008Pricing kth-to-default swaps under default contagion: the matrix analytic approach55 cited
2009Dynamic hedging of synthetic CDO tranches with spread risk and default contagion54 cited
2010DYNAMIC CDO TERM STRUCTURE MODELING49 cited
2010Up and down credit risk48 cited