A general formula for valuing defaultable securities
By Pierre Collin-Dufresne, Robert S. Goldstein, Julien Hugonnier. 2004
189 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/20e2533124dc50a6092466c85f1b3870be0e7484
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Citations in the corpus
- Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models (2006, unknown): “Lando (1998), and Collin-Dufresne, Goldstein, and Hugonnier (2004) ).”
- Restructuring Risk in Credit Default Swaps: An Empirical Analysis (2007, background): “Leverage (Lev) As in Collin-Dufresne et al. (2001), leverage is defined as the ratio of book value of total debt divided by the sum of market value of equity plus book value of total debt.”
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS (2007, background): “Various authors, including Kusuoka (1999), Bielecki and Rutkowski (2002), Gouriéroux and Gagliardini (2003), and Collin-Dufresne, Goldstein, and Hugonnier (2004), have addressed this issue.”
- Modeling and Valuation of Credit Risk (2004, unknown): “” See [9], [25], [26], [31], [34], [38]”
- Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2001, unknown): “The formulation of default in (11) is consistent with the surprise stopping time approach (Duffie and Singleton (1999), Lando (1998), and Collin-Dufresne, Goldstein, and Hugonnier (2004)).”
- ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2014, background): “Leung and Kwok (2005) build on Collin-Dufresne, Goldstein, and Hugonnier (2004), and model default intensities as deterministic constants with default indicators of other names as feeds.”
- Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach (2004, methodology): “In particular, as shown by CollinDufresne et al. (2003), for m small analytical expressions for prices of zerocoup on bonds can be derived using a change of measure.”