Credit Risk Modeling: Theory and Applications

By D. Lando. 2004

488 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/eb12c972b5a53b130aacb8699a2706734c1a0817

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Citations in the corpus

The Cross-Section of Credit Risk Premia and Equity Returns (2013, unknown): “It is not necessary to explore the determinants of levels, changes, or excess returns of CDS spreads to answer the question whether credit risk premia extracted from CDS spreads are priced in equity returns in a manner consistent with the Merton (1974) model.”
The Term Structure of Interbank Risk (2012, unknown): “However, in the unsecured interbank money market, there is also a jump risk premium on the default event itself, if the mean loss rate differs under the objective and risk-neutral measures, see Yu (2002) and Jarrow, Lando, and Yu (2005).”
Structure (2004, background): “• Lando book (Lando 2004) • Journal papers referenced above • Class notes to be distributed”
STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE (2004, background): “These models are viewed as competing (see Bielecki and Rutkowski, 2002; Rogers, 1999; Lando, 2003; Duffie, 2003), and there is a heated debate in the professional and academic literature as to which class of models is best (see Jarrow et al.”
What drives Credit Risk in Emerging Markets? The Roles of Country Fundamentals and Market Co-movements (2006, methodology): “The KMV methodology is proprietary and therefore not fully documented, but the general principles are described in Crosbie and Bohn (2003) and Lando (2004) and reviewed critically by Bharath and Shumway (2004)2.”
PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION (2009, background): “A survey of structural models may be found in Chapters 2 and 3 of Lando (2004) .”
AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL (2008, unknown): “His formula is also reported in Lando (2004) Appendix E.”
Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach (2004, background): “This type of dependence between defaults can and has been modelled in the standard reducedform credit risk models with conditionally independent defaults; see for instance Duffie & Singleton (2003) or Lando (2004) for an overview.”