Up and down credit risk

By Tomasz R. Bielecki, St'ephane Cr'epey, Monique Jeanblanc. 2010

53 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b14b1dfac937c2e62b9bf1dbd49b55e23e387f45

How researchers see this paper

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

In Finance

1. St'ephane Cr'epey
2. Tomasz R. Bielecki
3. Damiano Brigo
4. Rüdiger Frey
5. J. Backhaus
6. Agostino Capponi
7. Andrea Pallavicini
8. Monique Jeanblanc

Citations in the corpus

• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (2010, background): “Limitations of the top-down approach for the purpose of hedging portfolio credit derivatives are also discussed in the recent paper Bielecki, Crepey & Jeanblanc (2009) .”
• Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “The model should therefore be a bottom-up model of portfolio credit risk such that individual names are represented in the model (see Bielecki, Crépey, and Jeanblanc (2010)).”