Credit risk modeling with affine processes

By Darrell Duffie. 2007

156 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/d79b4039984bc6252e3886b798a0d5e83ba47cd3

How researchers see this paper

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

In Demography

1. A. Lopatin
2. T. Misirpashaev

In Finance

1. A. Lopatin
2. T. Misirpashaev
3. Igor Halperin
4. M. Arnsdorf

Citations in the corpus

• Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss (2008, methodology): “We work in the top-down framework and model the loss as an intensity-based process (see, e.g., Duffie, 2005, for general properties and definitions, and Giesecke and Goldberg, 2005, for a conceptual description of the top-down framework).”
• Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, unknown): “11 For a recovery of market value model, the yields are exactly affine in the default rate, as shown by Duffie and Singleton (1999).”