Factor Models: Portfolio Credit Risks When Defaults are Correlated

By Philipp J. Schönbucher. 2001

72 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d0a5da0b357fe24cefc24ad12e7f42cb499f942e

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. Leif Andersen
2. Jakob Sidenius

In Finance

1. Leif Andersen
2. Jakob Sidenius
3. A. Mortensen
4. Cornelis W. Oosterlee
5. John C. Hull
6. Alan G. White
7. Rüdiger Frey
8. Christian Kahl

In Management Science and Operations Research

1. Leif Andersen
2. Jakob Sidenius

Citations in the corpus

• Credit Cycles and Macro Fundamentals (2009, unknown): “Though important, at the portfolio level most of the idiosyncratic risks can be diversified and only the systematic credit risk components remain, see, e.g., Lucas et al. (2002), Schönbucher (2001), Frey and McNeil (2003).”
• Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings (2005, background): “The result in Proposition 5 is straightforward to implement and gives an attractive alternative to the constant-recovery result in Vasicek (2003) (which is the special case of Proposition 5, for b = 0).”