A Simple Exponential Model for Dependent Defaults

By Kay Giesecke. 2003

137 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2e5ae44fbf17e39745a969b765372a86f3e2e550

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Guojing Wang
2. Leif Andersen
3. Jakob Sidenius
4. Xue Liang

In Economics and Econometrics

1. Guojing Wang
2. Leif Andersen
3. Jakob Sidenius
4. Xue Liang

In Finance

1. Guojing Wang
2. Leif Andersen
3. Jakob Sidenius
4. Xue Liang
5. A. Mortensen
6. Cornelis W. Oosterlee
7. John C. Hull
8. Alan G. White

Citations in the corpus

• On a reduced form credit risk model with common shock and regime switching (2012, background): “A similar reduced form credit risk model to (1) and (2) is considered in Giesecke (2003).”
• Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings (2005, methodology): “For instance, among the better-known alternatives to the Gaussian copula, the Marshall-Olkin copula (see e.g. Giesecke (2003) and references therein) can be verified to have enough flexibility to produce correlation skews.”
• The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model (2010, unknown): “The survival time copula model has been extended in a number of ways by authors such as Andersen and Sidenius (2004), Giesecke (2003), and Hull and White (2004).”