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Markov Chain Models of Portfolio Credit Risk
16 references·0 citing·39 second hop
Markov Chain Models of Portfolio Credit Risk (2012)Markov Chain Models of Portfolio Credit R…RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2008)RECOVERING PORTFOLIO DEFAULT …PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008)PRICING AND HEDGING OF PORTFO…BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (2008)BSLP: Markovian bivariate spr…A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING (2008)A NEW FRAMEWORK FOR DYNAMIC C…A Markov Model for the Term Structure of Credit Risk Spreads (2008)A Markov Model for the Term S…A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds (2008)A Markov copulae approach to …Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Credit Risk Modeling: Theory and Applications (2004)Credit Risk Modeling: Theory …Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Applied Probability and Queues (1987)Applied Probability and QueuesMimicking the one-dimensional marginal distributions of processes having an ito differential (1986)Mimicking the one-dimensional…The Randomization Technique as a Modeling Tool and Solution Procedure for Transient Markov Processes (1984)The Randomization Technique a…Matrix-Geometric Solutions to Stochastic Models (1984)Matrix-Geometric Solutions to…Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Controlled Diffusion Processes (1980)Existence of Markov Controls and Characterization of Optimal Markov Controls (1998)ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2010)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Fundamentals of Queueing Theory. (1977)The Single Server Queue (1983)Randomization Procedures in the Computation of Cumulative-Time Distributions over Discrete State Markov Processes (1984)Introduction to Stochastic Processes (2014)Performance analysis of time-dependent queueing systems: Survey and classification (2015)Staffing and scheduling under nonstationary demand for service: A literature review (2015)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds (2004)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Stochastic theory of a fluid model of producers and consumers coupled by a buffer (1988)Inventory Control in a Fluctuating Demand Environment (1993)To Queue or Not to Queue: Equilibrium Behavior in Queueing Systems (2003)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)
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References

  • 1987Applied Probability and Queues2,704 cited
  • 1984Matrix-Geometric Solutions to Stochastic Models1,706 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 1984The Randomization Technique as a Modeling Tool and Solution Procedure for Transient Markov Processes437 cited
  • 2004Credit Risk Modeling: Theory and Applications375 cited
  • 1986Mimicking the one-dimensional marginal distributions of processes having an ito differential305 cited
  • 2008A Markov Model for the Term Structure of Credit Risk Spreads193 cited
  • 2008PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES108 cited
  • 2008BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives96 cited
  • 2008A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING89 cited
  • 2008RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES71 cited

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  • 2008A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds69 cited
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