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Levy Density Based Intensity Modeling of the Correlation Smile. (2009). Balakrishna, BS.
In: MPRA Paper.
RePEc:pra:mprapa:14922.

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Cited: 2

Citations received by this document

Cites: 13

References cited by this document

Cocites: 50

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Coauthors: 0

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Citations

Citations received by this document

  1. Levy Subordinator Model: A Two Parameter Model of Default Dependency. (2010). Balakrishna, BS.
    In: MPRA Paper.
    RePEc:pra:mprapa:26274.

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  2. Levy Subordinator Model of Default Dependency. (2010). Balakrishna, BS.
    In: MPRA Paper.
    RePEc:pra:mprapa:21386.

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References

References cited by this document

  1. Altman, E. I., B. Brady, A. Resti and A. Sironi (2005), ``The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications, Journal of Business 78, 2203-2228.

  2. Balakrishna, B. S. (2006), ``A Semi-Analytical Parametric Model for Dependent Defaults, Working paper, http://www.defaultrisk.com/pp_crdrv128.htm.
    Paper not yet in RePEc: Add citation now

  3. Balakrishna, B. S. (2007), ``Delayed Default Dependency and Default Contagion, Working paper, http://www.defaultrisk.com/pp_corr101.htm.

  4. Bennani, N. (2005), ``The Forward Loss Model: A Dynamic Term Structure Approach for the Pricing of Portfolio Credit Derivatives, Working paper, http://www.defaultrisk.com/pp_crdrv_95.htm.

  5. Brigo, D., A. Pallavicini and R. Torresetti (2006b), ``Default correlation, cluster dynamics and single names: The GPCL dynamical loss model, Working paper, http://www.defaultrisk.com/ pp_model154.htm.

  6. Chapovsky, A., A. Rennie and P. A. C. Tavares (2006), ``Stochastic Intensity Modeling for Structured Credit Exotics, Working paper, http://www.defaultrisk.com/pp_crdrv_136.htm.
    Paper not yet in RePEc: Add citation now
  7. Di Graziano, G. and C. Rogers (2005), ``A Dynamic Approach to the Modeling of Correlation Credit Derivatives Using Markov Chains, Working paper, http://www.defaultrisk.com/pp_crdrv_88.htm.
    Paper not yet in RePEc: Add citation now
  8. Elouerkhaoui, Y. (2003), ``Pricing and Hedging in a Dynamic Credit Model, Citigroup Working paper.
    Paper not yet in RePEc: Add citation now
  9. Errais, E., K. Giesecke and L. Goldberg (2006), ``Pricing Credit from the Top Down with Affine Point Processes, Working paper, http://www.defaultrisk.com/pp_cdo_16.htm.
    Paper not yet in RePEc: Add citation now

  10. Lindskog, F. and A. McNeil (2003), ``Common Poisson Shock Models: Applications to Insurance and Credit Risk Modeling, ASTIN Bulletin, 33(2), pp. 209-238.

  11. Putyatin, V., D. Prieul and S. Maslova (2005), ``A Markovian approach to modelling correlated defaults, Risk Magazine, May 2005.
    Paper not yet in RePEc: Add citation now
  12. Schonbucher, P. (2005), ``Portfolio Losses and the Term Structure of Loss Transition Rates: A New Methodology for the Pricing of Portfolio Credit Derivatives, Working paper, http://www.defaultrisk.com/pp_model_74.htm.
    Paper not yet in RePEc: Add citation now
  13. Sidenius, J., V. Piterbarg and L. Andersen (2005), ``A New Framework for Dynamic Credit Portfolio Loss Modeling, Working paper, http://www.defaultrisk.com/pp_model_83.htm.
    Paper not yet in RePEc: Add citation now

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  3. What Happens After Default? Stylized Facts on Access to Credit. (2011). Richmond, Christine ; Dias, Daniel ; Bonfim, Diana.
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  15. Levy Density Based Intensity Modeling of the Correlation Smile. (2009). Balakrishna, BS.
    In: MPRA Paper.
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