CORRELATED DEFAULT WITH INCOMPLETE INFORMATION

By Kay Giesecke. 2004

296 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c9211e35be716e30e95587ad6fe37c865ebe47df

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Citations in the corpus

Frailty Correlated Default (2009, unknown): “Collin-Dufresne, Goldstein, and Huggonier (2004), Giesecke (2004), and Schönbucher (2003) explore learning from default interpretations, based on the expected effect of unobservable covariates.”
Accounting Transparency and the Term Structure of Credit Spreads (2005, background): “Giesecke (2001) models an imperfectly observed default boundary.”
Correlated Default Risk (2006, methodology): “3For theoretical modeling of credit risk, see the structural models of Merton [1974], Longstaff and Schwartz [1995], Leland and Toft [1996], [1995], Collin-Dufresne and Goldstein [2001], and reduced form models of Duffie and Singleton [1999], Jarrow and Turnbull [1995], Das and Tufano [1996], Jarrow”
Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “t=1;t6=s (8)<:@ log ci Ût; ̂iT @uj 1 n u Ûjt o Ûjt (9)=; (72)”
A review of copula models for economic time series (2012, background): “See also [60,133, 77,92] for applications to default risk.”
Good and bad credit contagion: Evidence from credit default swaps (2007, background): “3 A partial list of recent papers includes Duffie and Singleton (1999), Zhou (2001), Giesecke and Weber (2003), and Yu (2005). Crouhy et al.”
Stochastic Volatility Effects on Defaultable Bonds (2006, background): “Another interesting approach is taken in Giesecke (2004) where uncertainty is introduced on the default threshold.”
Copula-Based Models for Financial Time Series (2009, methodology): “Lee and Long (2005) combine copulas with multivariate GARCH models in an innovative way: they use copulas to construct exible distributions for the residuals from a multivariate GARCH model, employing the GARCH model to capture the time-varying correlation, and the copula to capture any dependence…”
Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement (2008, background): “Examples of recent applications of copulas in finance are Cherubini and Luciano (2002, 2003a, b), Embrechts, Lindskog and McNeil (2003), Giesecke (2004), Junker, Szimayer, and Wagner (2006), Pachenko (2005), and Rosenberg and Schuermann (2006).”
Common Failings: How Corporate Defaults are Correlated (2007, unknown): “Explicitly considering a failure of the doubly-stochastic hypothesis, Collin-Dufresne, Goldstein, and Helwege (2003), Giesecke (2004), Jarrow and Yu (2001), and Schönbucher (2003) explore learning-from-default interpretations, based on the statistical modeling of frailty, under which default…”
Default and Information (2006, unknown): “Learning has interesting empirical implications, which are analyzed in Giesecke and Goldberg (2004a).”
Stress-testing Financial Systems: An Overview of Current Methodologies (2004, background): “Other channels of contagion that have been studied include gridlocks in the payment systems, cross-ownership links among banks and information asymmetries (see for example Giesecke (2004)).”
Exploring the sources of default clustering (2018, unknown): “Using a structural model of multi-firm default, Giesecke (2004) shows how uncertainty regarding firms’ liabilities has an impact on conditional default probabilities across the board.”