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Cited by

• 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,469 cited
• 2000A comparative anatomy of credit risk models719 cited
• 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
• 2002VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights183 cited
• 2014Stress testing banks140 cited
• 2004An empirical comparison of default risk forecasts from alternative credit rating philosophies76 cited
• 2009Time Varying and Dynamic Models for Default Risk in Consumer Loans74 cited
• 2007Firm heterogeneity and credit risk diversification64 cited
• 2007On the parameterization of the CreditRisk + model for estimating credit portfolio risk41 cited
• 2005Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?40 cited
• 2007Risk assessment for credit portfolios: A coupled Markov chain model39 cited
• 2004Review Paper. Interest–rate term–structure pricing models: a review31 cited
• 2005A framework to measure integrated risk24 cited