Taken to the Limit: Simple and Not-So-Simple Loan Loss Distributions

By Philipp J. Schönbucher. 2003

93 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/b0c28036147cdf2fd26a2eb0d4c108be4105120d

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. Jean Paul Laurent
2. Jon Gregory
3. Olivier Renault
4. Arnaud de Servigny

In Finance

1. Arnaud de Servigny
2. Jean Paul Laurent
3. Jon Gregory
4. Olivier Renault
5. Alan G. White
6. John C. Hull
7. N. Whelan
8. Rüdiger Frey

Citations in the corpus

• Basket Default Swaps, Cdos and Factor Copulas (2005, methodology): “i=1 ̧i(t): 9One can also use derivatives of the copula of default times as in Schönbucher and Schubert [2001].”
• Measuring and Managing Credit Risk (2004, background): “Applications of Archimedean copulas to risk management can be found in Schönbucher (2002) or Das and Geng (2002), among many others.”