Credit risk propagation in structural-form models
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Cites work
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Cited in
(17)- Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models
- Entropy measure of credit risk in highly correlated markets
- Are financial ratios relevant for trading credit risk? Evidence from the CDS market
- A note on credit risk of vertical Keiretsu firms: preliminary evidence from the Japanese automobile industry
- Efficient solution of structural default models with correlated jumps and mutual obligations
- Erratum to: Dependence properties of dynamic credit risk models
- Reduced-Form Modeling of Counterparty Risk on Credit Derivatives
- Exposure at default models with and without the credit conversion factor
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- Multidimensional structural credit modeling under stochastic volatility
- On the probabilities of correlated defaults: a first passage time approach
- Trade credit and the propagation of corporate failure: an empirical analysis
- Credit risk in general equilibrium
- Credit contagion default Aalen additive hazard models
- An extension of Davis and Lo's contagion model
- Valuing risky debt: a new model combining structural information with the reduced-form approach
- Generalized CreditRisk^+ model and applications
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