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- An Introduction to the Theory of Point Processes
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- ESTIMATION OF REGRESSION COEFFICIENTS IN AN EXPONENTIAL REGRESSION MODEL WITH CENSORED OBSERVATIONS
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
- Microeconometrics
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- On a joint distribution for the risk process with constant interest force
- On the Time Value of Ruin
- Operational Risk
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Cited in
(7)- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
- Intertemporal forecasts of defaulted bond recoveries and portfolio losses
- Probability density of recovery rate given default of a firm's debt and its constituent tranches
- Computing optimal recovery policies for financial markets
- Recovery process model for two companies
- Recovery rates in investment-grade pools of credit assets: a large deviations analysis
- On the Performance of Recovery Rate Modeling
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