Credit Derivatives Pricing Models: Models, Pricing and Implementation

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Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models (2005, background): “Given these problems, a natural alternative to copulas is a multivariate version of the intensity-based models,3 where default is defined as the first jump of a pure 1See e.g. Schönbucher (2003) for an introduction to copulas in credit risk modelling.”
CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009, unknown): “For further background on credit risk, see Bielecki and Rutkowski (2002), Das (1995), Duffie and Singleton (2003), Kijima (2002), Lando (2004), Schönbucher (2003).”
Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures (2004, background): “8See Schönbucher (2003), pp. 147–150. step the parameters of the recovery rate distribution.”
PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (2006, background): “1 See Duffie, Schroder, and Skiadas (1996), Duffie and Singleton (1999), Jarrow and Turnbull (1995), Jarrow, Lando, and Turnbull (1997), and Madan and Unal (1998), as well as recent monographs Bielecki and Rutkowski (2002), Duffie and Singleton (2003), Lando (2004), and Schönbucher (2003).”
Forecasting: theory and practice (2020, methodology): “Then copulas are used in modelling the dependent defaults (Li, 2000), forecasting credit risk (Bielecki and Rutkowski, 2013), and credit derivatives market forecasting (Schönbucher, 2003).”