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Modelling Single-name and Multi-name Credit Derivatives
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Cited by

  • 2010The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis137 cited
  • 2011Stochastic Evolution Equations in Portfolio Credit Modelling59 cited
  • 2021CDS Momentum: Slow-Moving Credit Ratings and Cross-Market Spillovers47 cited
  • 2021Ripples into waves: Trade networks, economic activity, and asset prices39 cited
  • 2012Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets33 cited
  • 2016The relationship between risk-neutral and actual default probabilities: the credit risk premium30 cited
  • 2013Liquidity Risk in Credit Default Swap Markets29 cited
  • 2012Market-Based Credit Ratings26 cited
  • 2014AN EFFECTIVE APPROXIMATION FOR ZERO-COUPON BONDS AND ARROW–DEBREU PRICES IN THE BLACK–KARASINSKI MODEL26 cited

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