Frailty Correlated Default

Citations

Cited by:

1. Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.
   • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," SocArXiv 84xjn, Center for Open Science.
   • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," MPRA Paper 94441, University Library of Munich, Germany.
   • Tim Xiao, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," Working Papers hal-02024147, HAL.
   • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," arabixiv.org 86xhw, Center for Open Science.
   • Xiao, Tim, 2019. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," FrenXiv ej7nz, Center for Open Science.
2. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
   • Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
   • Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico, 2016. "The information in systemic risk rankings," Working Paper Series 1875, European Central Bank.
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4. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
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   • Monfort, A. & Renne, J-P., 2011. "Default, liquidity and crises: an econometric framework," Working papers 340, Banque de France.
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6. Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
7. Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J., 2017. "Fuzzy decision fusion approach for loss-given-default modeling," European Journal of Operational Research, Elsevier, vol. 262(2), pages 780-791.
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9. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2017. "Global Credit Risk: World, Country and Industry Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 296-317, March.
   • Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
   • Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "Global credit risk: world country and industry factors," Working Paper Series 1922, European Central Bank.
10. Ha Nguyen, 2023. "Particle MCMC in forecasting frailty correlated default models with expert opinion," Papers 2304.11586, arXiv.org, revised Aug 2023.
11. White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
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24. Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
    • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," SocArXiv 3pzyv, Center for Open Science.
    • Tim Xiao, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," Working Papers hal-02174170, HAL.
    • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," arabixiv.org j9hkn, Center for Open Science.
    • Xiao, Tim, 2019. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," FrenXiv 6m73z, Center for Open Science.
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26. Pablo Jose Campos de Carvalho & Aparna Gupta, 2018. "Multivariate Jump Diffusion Model with Markovian Contagion," Working Papers Series 482, Central Bank of Brazil, Research Department.
27. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
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29. Ruediger Frey & Lars Roesler & Dan Lu, 2017. "Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version," Papers 1701.04780, arXiv.org, revised May 2017.
30. Spatareanu, Mariana & Manole, Vlad & Kabiri, Ali & Roland, Isabelle, 2023. "Bank default risk propagation along supply chains: evidence from the U.K," LSE Research Online Documents on Economics 117351, London School of Economics and Political Science, LSE Library.
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