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Cited by

• 2007Credit Risk Assessment and Relationship Lending: An Empirical Analysis of German Small and Medium-Sized Enterprises*142 cited
• 2007The impact of predatory loan terms on subprime foreclosures: The special case of prepayment penalties and balloon payments117 cited
• 2004Integrated risk modelling81 cited
• 2010Efficient estimation of large portfolio loss probabilities in t-copula models79 cited
• 2004Systematic Risk in Recovery Rates - an Empirical Analysis of U.S. Corporate Credit Exposures73 cited
• 2016Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures65 cited
• 2006Homogeneous semi-Markov reliability models for credit risk management*60 cited
• 2012Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics59 cited
• 2008Pricing kth-to-default swaps under default contagion: the matrix analytic approach55 cited
• 2007A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios55 cited
• 2016Bernoulli and tail-dependence compatibility39 cited
• 2009Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models38 cited
• 2010From actual to risk-neutral default probabilities: Merton and beyond34 cited