An Analysis of Default Correlations and Multiple Defaults

By Chunsheng Zhou. 2001

375 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f2e844cb71a25c07f85598d1a968c34bbb13c616

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Citations in the corpus

CORRELATED DEFAULT WITH INCOMPLETE INFORMATION (2004, methodology): “Although simple measures such as ρ(1{t≥τi}, 1{t≥τj}) or ρ(τi − t, τj − t) are widely used in the literature (see, for example, Zhou (2001), Hull & White (2000b), Kealhofer (1998), Lucas (1995), and Li (2000)), they are fundamentally flawed.”
A Survey of Cyclical Effects in Credit Risk Measurement Models (2002, neutral): “…pricing model, Zhou (2001) presents a similar term structure of default correlations (i.e., default correlations increase as the time to maturity increases), although the Merton model obtains significantly lower estimated default correlations than does the Zhou (2001) first passage time model.”
CREDIT RISK MODELING AND VALUATION: AN INTRODUCTION (2004, neutral): “This function is given in closed-form in Iyengar (1985) and Zhou (2001a).”
The term structure of credit spreads with jump risk (2001, methodology): “The structural approach, pioneered by Black and Scholes (1973) and Merton (1974) and extended by Black and Cox (1976), Longsta and Schwartz (1995), Leland (1998), Zhou (2001), and others, explicitly models the evolution of the ®rm value.”
Credit value adjustment for credit default swaps via the structural default model (2009, background): “The convexity term 1 2 2.t/ reflects the fact that the barrier is flat for the logarithm of the asset value rather than for the asset value itself (as suggested by Zhou (2001b) and Haworth et al (2006)).”
Avoiding the rating bounce: why rating agencies are slow to react to new information (2005, background): “The higher the growth rate of assets, the lower the default probability, ceteris paribus.”
Measuring and Managing Credit Risk (2004, background): “Zhou (2001) was the first to derive a formula for default correlation in a structural model with a barrier.”
Good and bad credit contagion: Evidence from credit default swaps (2007, background): “3 A partial list of recent papers includes Duffie and Singleton (1999), Zhou (2001), Giesecke and Weber (2003), and Yu (2005).”
Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations (2012, methodology): “(12.87)) (see also Zhou (2001)) on the ﬁrst exit time of a two-dimensional Brownian motion with drift, one can generalize the above results to the case where ( V b , V a ) (cid:54) = (0 , 0): we obtain in that case where θ 0 , α are deﬁned as above, r 0 = √ U and and”