Credit Risk Modelling and Credit Derivatives

By P. J. Schonbucher. 2000

52 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b73426b59ae2fccdc929781b9772d57212206662

How researchers see this paper

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

1. Tomasz R. Bielecki
2. Ernst Eberlein
3. Fehmi Özkan
4. Marek Rutkowski
5. St'ephane Cr'epey
6. Damiano Brigo
7. Monique Jeanblanc
8. Antonis Papapantoleon

Citations in the corpus

• The Defaultable Lévy Term Structure: Ratings and Restructuring (2003, methodology): “As in Schönbucher (1998, 2000), we shall assume that if a default occurs, the firm will be reorganized and the effect on the bond is that the bond holder will lose a certain amount, which is represented by a (now possibly random) quantity q ∈ [0, 1).”
• Credit Risk: Modeling, Valuation And Hedging (2004, methodology): “The HJM-type model of defaultable term structures with multiple ratings was proposed by Bielecki and Rutkowski (2000) and Schönbucher (2000).”