References

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• 2000On Default Correlation1,257 cited
• 2006Multi-period corporate default prediction with stochastic covariates973 cited
• 1999Estimating the Price of Default Risk724 cited
• 2008High dimensional covariance matrix estimation using a factor model688 cited
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• 2007Common Failings: How Corporate Defaults Are Correlated583 cited
• 2004Is Default Event Risk Priced in Corporate Bonds?566 cited
• 2009Frailty Correlated Default547 cited
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• 2012Multiperiod corporate default prediction—A forward intensity approach365 cited
• 2005Extensions to the Gaussian copula: random recovery and random factor loadings336 cited
• 2002Copula-Dependent Defaults in Intensity Models302 cited
• 2015Probability of Loss on Loan Portfolio220 cited
• 2004Cyclical correlations, credit contagion, and portfolio losses190 cited
• 2007CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS