Alan G. White

Finance · 2001–2017

A researcher in the Science corpus: 10 papers; trusts 17 researchers and is trusted by 22 researchers here, as inferred from the citation graph.

Subfields

• Finance — 48 citations into it; #1,788 of 10,518 by trust here, #1,228 by citations
• Economics and Econometrics — 15 citations into it; #14,160 of 23,481 by trust here, #13,168 by citations
• Accounting — 10 citations into it; #4,216 of 8,970 by trust here, #2,278 by citations

Whom Alan G. White trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. John C. Hull
2. Jon Gregory
3. Leif Andersen
4. David X. Li
5. Jean Paul Laurent
6. Jakob Sidenius
7. Edward I. Altman
8. Andrew Ang
9. Roberto Blanco Escolar

Who trusts Alan G. White overall

1. John C. Hull
2. M. Krekel
3. Xin Huang
4. Xue Liang
5. A. Lopatin
6. X. Burtschell
7. J. Chan-Lau
8. Hao Zhou
9. Jon Gregory
10. T. Misirpashaev

Papers from Alan G. White's perspective

Ordered by how strongly the researchers Alan G. White trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Analyzing rating transitions and rating drift with continuous observations
3. Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings
4. Valuing Credit Default Swaps I: No Counterparty Default Risk
5. An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps
6. Do Credit Spreads Reflect Stationary Leverage Ratios
7. The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
8. Basket Default Swaps, Cdos and Factor Copulas
9. Delta-hedging vega risk?
10. The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives

Their papers

• Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation (2004) — 578 citations
• Valuing Credit Derivatives Using an Implied Copula Approach (2006) — 170 citations
• Optimal Delta Hedging for Options (2017) — 98 citations
• CVA and Wrong-Way Risk (2012) — 114 citations
• Societal costs of prescription opioid abuse, dependence, and misuse in the United States. (2011) — 656 citations
• The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model (2010) — 128 citations
• Dynamic Models of Portfolio Credit Risk (2008) — 58 citations
• Merton's model, credit risk and volatility skews (2005) — 212 citations
• The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004) — 1,152 citations
• The General Hull–White Model and Supercalibration (2001) — 73 citations