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Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

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2013Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model63 cited
2011TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts51 cited
2009Implementing loss distribution approach for operational risk41 cited

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2001

Modelling Operational Risk

37 cited

2007PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL37 cited

2012-extendible copulas29 cited

2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES29 cited

2017A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line28 cited