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An Integrated Market and Credit Risk Portfolio Model
5 references·5 citing·36 second hop
An Integrated Market and Credit Risk Portfolio Model (1999)An Integrated Market and Credit Risk Port…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Reconcilable Differences (1999)Reconcilable DifferencesPortfolio Credit Risk (1998)Portfolio Credit RiskON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Portfolio credit-risk optimization (2012)Portfolio credit-risk optimiz…Randomization in the first hitting time problem (2009)Randomization in the first hi…Importance sampling for integrated market and credit portfolio models (2008)Importance sampling for integ…Implied migration rates from credit barrier models (2005)Implied migration rates from …Credit risk enhancement in a network of interdependent firms (2004)Credit risk enhancement in a …On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Modeling Term Structures of Defaultable Bonds (1999)Credit risk—A structural model with jumps and correlations (2007)Credit contagion and credit risk (2009)Spatial Interaction Model of Credit Risk Contagion in the CRT Market (2014)Portfolio Selection (1952)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)The Pricing of Options and Corporate Liabilities (1973)Unifying the Three Volatility Models (2004)An equilibrium characterization of the term structure (1977)Monte Carlo Methods in Financial Engineering (2003)Basel Committee On Banking Supervision (2010)Integrated bank risk modeling: A bottom-up statistical framework (2013)Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement (2018)A Study on Operational Risk and Credit Portfolio Risk Estimation Using Data Analytics* (2020)Valuing Credit Default Swaps I (2000)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Brownian Motion and Stochastic Calculus (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Improving Relationships: Mechanisms of Change in Couple Therapy. (2005)Couple and individual adjustment for 2 years following a randomized clinical trial comparing traditional versus integrative behavioral couple therapy. (2006)The Natural Principles of Love (2017)The intersection of market and credit risk (2000)Credit risk optimization with Conditional Value-at-Risk criterion (2001)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 1998Portfolio Credit Risk362 cited
  • 1999Reconcilable Differences171 cited

Cited by

  • 2004Credit risk enhancement in a network of interdependent firms37 cited
  • 2012Portfolio credit-risk optimization33 cited
  • 2008Importance sampling for integrated market and credit portfolio models32 cited
  • 2009Randomization in the first hitting time problem31 cited
  • 2005Implied migration rates from credit barrier models26 cited

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