Modelling of Default Risk: An Overview

By Monique Jeanblanc, Marek Rutkowski. 2000

94 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7aa45679ba6c25938159594ad052c64530942fca

How researchers see this paper

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

1. Darrell Duffie
2. Monique Jeanblanc
3. Robin Greenwood
4. St'ephane Cr'epey
5. Tomasz R. Bielecki
6. Kay Giesecke
7. Francis A. Longstaff
8. Gerard Hoberg

Citations in the corpus

• Credit risk modeling with affine processes (2007, background): “Cooper and Mello [1992], Das and Sundaram [1999], Das and Tufano [1995], Davydov, Linetsky, and Lotz [1999], Duffie [1998a], Duffie and H uang [1996], Duffie and Singleton [1999], Elliott, Jeanblanc, and Yor [1999], Hull and White [1992], Hull and White [1995], Jarrow and Yu [2001], Jarrow, Lando, a”
• Modeling and Valuation of Credit Risk (2004, result): “Let us only mention, that the proofs of most results can be found in Bielecki and Rutkowski (2002) and Jeanblanc and Rutkowski (2000, 2001).”
• Stochastic Models (2020, unknown): “The knowledge of the sought density is also relevant in credit risk modelling, see e.g., Jeanblanc and Rutkowski [ 10 ] .”
• Affine Processes for Dynamic Mortality and Actuarial Valuations (2005, unknown): “We refer the reader to Brémaud (1981), Jeanblanc and Rutkowski (2000) and Duffie (2001) for details.”