Credit Risk: Pricing, Measurement, and Management

By Georges Dionne. 2005

561 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e9dd07c809db9e4d651dacad3ca82f8b5cb6cddf

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Citations in the corpus

Elimination of systemic risk in financial networks by means of a systemic risk transaction tax (2014, background): “Credit risk is relatively well understood, and can be mitigated through a number of methods and techniques (Duffie and Singleton 2012).”
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010, background): “For an overview, we refer to the books [3], [4], [23] or the lecture notes [2].”
The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, unknown): “Based on the analytical framework established in the corporate credit risk pricing literature, we make use of physical (actual observed probabilities of default) and riskneutral measures (credit spreads incorporating risk aversion) (see Duffie and Singleton (2003) and references therein).”
Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics (2009, unknown): “A brief overview of some of the most important contributions in this field may be found in Crouhy et al (2000), in Gordy (2000) or, more recently, in Saunders and Allen (2002) or Duffie and Singleton (2003).”
What Drives Interbank Rates? Evidence from the Libor Panel (2008, background): “See Duffie and Singleton (2003) for an overview of credit risk models.”
CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009, unknown): “Starting from Black and Scholes (1973) and Merton (1974), the structural approach aims at providing an intuitive understanding of credit risk by specifying a firm value process and modeling equity and defaultable bonds as contingent claims on the firm value.”