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Citations for "Correlated default with incomplete information"

by Giesecke, Kay

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  1. Jose Giancarlo Gasha & Andre Santos & Jorge A. Chan-Lau & Carlos I. Medeiros & Marcos Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 09/162, International Monetary Fund.
  2. Abel Elizalde, 2006. "Credit Risk Models Iii: Reconciliation Reduced - Structural Models," Working Papers wp2006_0607, CEMFI.
  3. Viviana Fernandez, 2008. "Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(2), pages 182-207, 02.
  4. Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc.
  5. Francis A. Longstaff & Brett Myers, 2009. "Valuing Toxic Assets: An Analysis of CDO Equity," NBER Working Papers 14871, National Bureau of Economic Research, Inc.
  6. Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers wp2006_0606, CEMFI.
  7. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
  8. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
  9. Tingqiang Chen & Xindan Li & Jining Wang, 2015. "Spatial Interaction Model of Credit Risk Contagion in the CRT Market," Computational Economics, Society for Computational Economics, vol. 46(4), pages 519-537, December.
  10. Xu, Xin, 2013. "Forecasting Bankruptcy with Incomplete Information," MPRA Paper 55024, University Library of Munich, Germany, revised 31 Mar 2014.
  11. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, Elsevier.
  12. repec:spr:compst:v:69:y:2009:i:3:p:439-455 is not listed on IDEAS
  13. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
  14. Wagner, Stephan M. & Bode, Christoph & Koziol, Philipp, 2011. "Negative default dependence in supplier networks," International Journal of Production Economics, Elsevier, vol. 134(2), pages 398-406, December.
  15. Zhu, Haibin & Tarashev, Nikola A., 2008. "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies 2008,09, Deutsche Bundesbank, Research Centre.
  16. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "Modeling credit contagion via the updating of fragile beliefs," Working Paper Series WP-2012-04, Federal Reserve Bank of Chicago.
  17. Monfort, A. & Renne, J-P., 2011. "Default, liquidity and crises: an econometric framework," Working papers 340, Banque de France.
  18. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5.
  19. Fernandez, Viviana, 2008. "Copula-based measures of dependence structure in assets returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3615-3628.
  20. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
  21. Wenlang Zhang & Gaofeng Han & Steven Chan, 2014. "How Strong are the Linkages between Real Estate and Other Sectors in China?," Working Papers 112014, Hong Kong Institute for Monetary Research.
  22. Deng, Yongheng & Gabriel, Stuart A. & Sanders, Anthony B., 2011. "CDO market implosion and the pricing of subprime mortgage-backed securities," Journal of Housing Economics, Elsevier, vol. 20(2), pages 68-80, June.
  23. Pu, Xiaoling & Zhao, Xinlei, 2012. "Correlation in credit risk changes," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1093-1106.
  24. Jorion, Philippe & Zhang, Gaiyan, 2007. "Good and bad credit contagion: Evidence from credit default swaps," Journal of Financial Economics, Elsevier, vol. 84(3), pages 860-883, June.
  25. Giesecke, Kay, 2006. "Default and information," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2281-2303, November.
  26. Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers.
  27. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
  28. Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2015. "Estimation of correlations in portfolio credit risk models based on noisy security prices," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 334-349.
  29. Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
  30. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
  31. Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden).
  32. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
  33. Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  34. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Centre de Recherche en Economie et Statistique.
  35. Pawe{\l} Sieczka & Didier Sornette & Janusz A. Ho{\l}yst, 2010. "The Lehman Brothers Effect and Bankruptcy Cascades," Papers 1002.1070, arXiv.org, revised Sep 2011.
  36. Wai-Ki Ching & Jia-Wen Gu & Harry Zheng, 2014. "On Correlated Defaults and Incomplete Information," Papers 1409.1393, arXiv.org, revised Jan 2016.
  37. Kay Giesecke & Baeho Kim, 2011. "Systemic Risk: What Defaults Are Telling Us," Management Science, INFORMS, vol. 57(8), pages 1387-1405, August.
  38. Masaaki Kijima & Teruyoshi Suzuki & Keiichi Tanaka, 2009. "A latent process model for the pricing of corporate securities," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 439-455, July.
  39. Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87.
  40. Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010. "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers 15733, National Bureau of Economic Research, Inc.
  41. Didier Cossin & Henry Schellhorn, 2007. "Credit Risk in a Network Economy," Management Science, INFORMS, vol. 53(10), pages 1604-1617, October.
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