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Risk Management Models: Construction, Testing, Usage
16 references·0 citing·34 second hop
Risk Management Models: Construction, Testing, Usage (2011)Risk Management Models: Construction, Tes…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The Subprime Credit Crisis of 2007 (2008)The Subprime Credit Crisis of…Options, futures and other derivatives (2008)Options, futures and other de…Structured Credit Portfolio Analysis, Baskets and CDOs (2006)Structured Credit Portfolio A…Bankruptcy Prediction with Industry Effects (2004)Bankruptcy Prediction with In…Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond (2002)Modern Pricing of Interest-Ra…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Optimal Replication of Contingent Claims under Portfolio Constraints (1998)Optimal Replication of Contin…Futures, Options, and Swaps (1994)Futures, Options, and SwapsDerivative Security Markets, Market Manipulation, and Option Pricing Theory (1994)Derivative Security Markets, …Empirical Model Building and Response Surfaces (1988)Empirical Model Building and …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…A Contribution to the Theory of Economic Growth (1956)A Contribution to the Theory …Essays in Positive Economics. (1954)Essays in Positive Economics.Essays in Positive Economics (1954)Essays in Positive EconomicsStatistics for Experimenters (1979)Response Surfaces: Designs and Analyses (1997)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Explaining Fixed Effects: Random Effects Modeling of Time-Series Cross-Sectional and Panel Data (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Forecasting Default with the Merton Distance to Default Model (2008)Environmental Externalities and Cost of Capital (2014)Financial Distress Prediction in an International Context: A Review and Empirical Analysis of Altman's Z‐ Score Model (2016)The cost of capital, corporation finance and the theory of investment (2008)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)The New Institutionalism: Organizational Factors in Political Life (1983)Economic Reform and the Process of Global Integration (1995)The Nature of Theory in Information Systems1 (2006)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Economic Growth in a Cross Section of Countries (1989)Endogenous Technological Change (1989)A Contribution to the Empirics of Economic Growth (1992)Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis (2014)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Shared Mental Models: Ideologies and Institutions (1994)
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References

  • 1956A Contribution to the Theory of Economic Growth24,458 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1988Empirical Model Building and Response Surfaces5,235 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1954Essays in Positive Economics3,204 cited
  • 1954Essays in Positive Economics.2,999 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 2004Bankruptcy Prediction with Industry Effects810 cited
  • 2008Options, futures and other derivatives646 cited
  • 1994Futures, Options, and Swaps213 cited
  • 1994Derivative Security Markets, Market Manipulation, and Option Pricing Theory179 cited
  • 2002Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond152 cited
  • 2008The Subprime Credit Crisis of 2007150 cited
  • 1998Optimal Replication of Contingent Claims under Portfolio Constraints130 cited
  • 2006Structured Credit Portfolio Analysis, Baskets and CDOs

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