DEFAULT RISK AND DIVERSIFICATION: THEORY AND APPLICATIONS

By Robert A. Jarrow, D. Lando. 2000

146 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/27e081c6d2f6f105bf20a4892edc83c81d03b5e0

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Citations in the corpus

Business and default cycles for credit risk (2003, unknown): “Making the standard distinction between idiosyncratic and systematic risk, it is the systematic risk that is most important at a portfolio level, see for example Jarrow, Lando, and Yu (2000), Frey and McNeil (2001), Lucas, Klaassen, Spreij, and Straetmans (2001), and Giesecke and Weber (2003).”
Term Structure Dynamics in Theory and Reality (2003, background): “The SAINTS model proposed by Constantinides [1992] is shown by Ahn, Dittmar, and Gallant [2002] to be the special case of the QG model in which Σ is diagonal and µPY (t) = −KY (t) with K diagonal (the N risk factors are mutually independent); and the coefficients λ0 and λY determining Λ(t) are const”
Measuring and Managing Credit Risk (2004, methodology): “Yu (2002b) relies on results from Jarrow, Lando, and Yu (2001), who prove that asymptotically in a very large portfolio, average intensities under the risk-neutral and historical measures coincide.”
CREDIT RISK MODELING AND VALUATION: AN INTRODUCTION (2004, unknown): “Interestingly, Jarrow et al. (2003) show that in the multi-firm intensity based Cox model of Section 3.”
Accounting Transparency and the Term Structure of Credit Spreads (2005, background): “Alternatively, using a reduced-form model with standard credit risk premium adjustments, Jarrow et al. (2001) find that bond-implied conditional default probabilities are in line withh istorical estimates at long maturities but are too high at short maturities.”
Default Parameter Estimation Using Market Prices (2001, background): “Although the procedure formally estimates the pseudo or risk-neutral default intensities, if the reduced-form model is properly specified, there is good reason to believe that the statistical and riskneutral default intensity functions are equal— which they will be if default risk is idiosyncratic a”
Is Default Event Risk Priced in Corporate Bonds (2003, unknown): “In line with results by Longstaff and Schwartz (1995), and Duffee (1998, 1999), there is a negative correlation between spreads and default-free rates for firms in all three rating categories.”
Bankruptcy Prediction With Industry Effects (2004, background): “A recent paper by Jarrow et al. (2000) links these two estimation procedures.”