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https://doi.org/10.2139/ssrn.2892599

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inferredcites →https://doi.org/10.1007/978-3-319-60973-7_19openalex-extracted
Correlation Calibration with Stochastic Recovery
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Statistics of Financial Markets
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Mixed copula model with stochastic correlation for CDO pricing
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Recovery rates, default probabilities, and the credit cycle
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A framework for assessing the systemic risk of major financial institutions
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Risk factor contributions in portfolio credit risk models
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Securitization and systematic risk in European banking: Empirical evidence
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Systemic risk measures: The simpler the better?
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Valuation of collateralized debt obligations with hierarchical Archimedean copulae
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Hedging credit: Equity liquidity matters
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Measuring the systemic importance of interconnected banks
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Asymmetric correlations of equity portfolios
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A comparative analysis of current credit risk models
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Copula dynamics in CDOs
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The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*
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On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
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A Markov Model for the Term Structure of Credit Risk Spreads
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International Asset Allocation With Regime Shifts
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Basel III's ability to mitigate systemic risk
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Factor Models: Portfolio Credit Risks When Defaults are Correlated
inferredcites →https://doi.org/10.1111/0022-1082.00340openalex-extracted
Extreme Correlation of International Equity Markets
inferredcites →https://doi.org/10.1111/1540-6261.00555openalex-extracted
Idiosyncratic Risk Matters!
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ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01399.xopenalex-extracted
Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
inferredcites →https://doi.org/10.1515/9783038212812.50openalex-extracted
Siedlung Afrikanische Strasse Berlin-Wedding, Deutschland, 1925–27
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Extensions to the Gaussian copula: random recovery and random factor loadings
inferredcites →https://doi.org/10.21314/jcr.2006.042openalex-extracted
Credit risk concentrations under stress
inferredcites →https://doi.org/10.21314/jor.2000.026openalex-extracted
A stress test to incorporate correlation breakdown
inferredcites →https://doi.org/10.21314/jor.2003.089openalex-extracted
Dependent defaults in models of portfolio credit risk
inferredcites →https://doi.org/10.2139/ssrn.1573171openalex-extracted
Measuring Systemic Risk
inferredcites →https://doi.org/10.2139/ssrn.1631761openalex-extracted
Attributing Systemic Risk to Individual Institutions
inferredcites →https://doi.org/10.2139/ssrn.1698980openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2719672openalex-extracted
Optimal Stochastic Recovery for Base Correlation
inferredcites →https://doi.org/10.2139/ssrn.620822openalex-extracted
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Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
inferredcites →https://doi.org/10.3905/jod.2004.450964openalex-extracted
Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation
inferredcites →https://doi.org/10.3905/jod.2007.681815openalex-extracted
The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing
inferredcites →https://doi.org/10.3905/jod.2007.681816openalex-extracted
Factor Copulas
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