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Credit contagion and aggregate losses. (2006). Giesecke, Kay ; Weber, Stefan.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:30:y:2006:i:5:p:741-767.

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  1. Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Quaranta, Anna Grazia ; Pampurini, Francesca ; Cerqueti, Roy ; Storani, Saverio.
    In: Finance Research Letters.
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  2. Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks. (2023). Toto, Andrea ; Teglio, Andrea ; Ozel, Bulent ; Eboli, Mario.
    In: Annals of Finance.
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  3. Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella.
    In: European Journal of Operational Research.
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  4. Clues from networks: quantifying relational risk for credit risk evaluation of SMEs. (2022). Long, Jingjing ; Jiang, Cuiqing ; Dimitrov, Stanko ; Wang, Zhao.
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  5. Dangerous liasons and hot customers for banks. (2022). Cerqueti, Roy ; Pampurini, Francesca ; Pezzola, Annagiulia ; Quaranta, Anna Grazia.
    In: Review of Quantitative Finance and Accounting.
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  6. An analytic approach To network-based modelling for contagious defaults. (2022). Jang, Hyun Jin ; Park, Jong Jun.
    In: Finance Research Letters.
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  7. Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe.
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  8. Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting.
    In: Economic Modelling.
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  9. Crises Beyond Belief: Findings on Contagion, the Role of Beliefs, and the Eurozone Debt Crisis from a Borrower–Lender Game. (2020). Welburn, Jonathan W.
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  10. Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients. (2020). Crook, Jonathan ; Calabrese, Raffaella.
    In: European Journal of Operational Research.
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  11. Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun.
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  12. “Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults. (2019). Calabrese, Raffaella ; Ansell, Jake ; Andreeva, Galina.
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  13. Propagation of negative shocks across nation-wide firm networks. (2019). Todo, Yasuyuki ; Inoue, Hiroyasu.
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  14. Risk Analysis for Large Pools of Loans. (2019). Giesecke, Kay ; Sirignano, Justin.
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  15. Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment. (2019). He, Yuanping ; Liu, Haifei ; Wang, Jiepeng ; Chen, Tingqiang.
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  16. Intersectoral default contagion: A multivariate Poisson autoregression analysis. (2019). Maggi, Mario ; Escribano, Ana.
    In: Economic Modelling.
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  17. Network effects in default clustering for large systems. (2019). Yang, Jia ; Spiliopoulos, Konstantinos.
    In: Papers.
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  18. Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory. (2018). Kandhai, Drona ; Sourabh, Sumit ; Anagnostou, Ioannis.
    In: Complexity.
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  19. Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions. (2018). Liu, Haifei ; Xiao, Binqing ; Chen, Tingqiang.
    In: Complexity.
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  20. Extreme Portfolio Loss Correlations in Credit Risk. (2018). Guhr, Thomas ; Muhlbacher, Andreas.
    In: Risks.
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  21. Firm-level Simulation of Supply Chain Disruption Triggered by Actual and Predicted Earthquakes. (2018). Todo, Yasuyuki ; Yasuyuki, Todo ; Hiroyasu, Inoue.
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  22. CONTAGION AND CORRELATION IN EMPIRICAL MODELS OF BANK CREDIT RISK IN ISRAEL. (2018). Beenstock, Michael ; Khatib, Mahmood.
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  23. Firm-level simulation of supply chain disruption triggered by actual and predicted earthquakes. (2017). Todo, Yasuyuki ; Inoue, Hiroyasu.
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  24. Game Theoretic Modeling of Economic Systems and the European Debt Crisis. (2017). Welburn, Jonathan ; Hausken, Kjell.
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  25. A default system with overspilling contagion. (2017). Coculescu, Delia.
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  26. Spatial dependence in credit risk and its improvement in credit scoring. (2016). Fernandes, Guilherme Barreto ; Artes, Rinaldo .
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  27. Affine Point Processes: Approximation and Efficient Simulation. (2015). Glynn, Peter W ; Zhang, Xiaowei ; Giesecke, Kay ; Blanchet, Jose.
    In: Mathematics of Operations Research.
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  28. Network-Motivated Lending Decisions. (2015). Saito, Yukiko ; Okui, Ryo ; Ogura, Yoshiaki.
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  29. Network-motivated Lending Decisions. (2015). Saito, Yukiko ; Okui, Ryo ; Ogura, Yoshiaki ; Yoshiaki, Ogura ; Yukiko, Saito ; Ryo, OKUI .
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  30. Risk assessment based on the analysis of the impact of contagion flow. (2015). Edirisinghe, Chanaka ; Roth, Wendy ; Gupta, Aparna.
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  31. Systemic Risk and Default Clustering for Large Financial Systems. (2015). Spiliopoulos, Konstantinos.
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  32. Comparing the Value at Risk Performance of the CreditRisk + and its Enhancement: A Large Deviations Approach. (2014). Deshpande, Amogh.
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  33. Spatial correlation in credit risk and its improvement in credit scoring. (2013). Fernandes, Guilherme Barreto ; Artes, Rinaldo .
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  34. A network model of financial system resilience. (2013). Willison, Matthew ; Kapadia, Sujit ; Anand, Kartik ; Brennan, Simon ; Gai, Prasanna.
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  35. Trade credit during a financial crisis: A panel data analysis. (2013). Pindado, Julio ; Bastos, Rafael .
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  36. Asset financing with credit risk. (2013). Golbeck, Steven ; Linetsky, Vadim.
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  37. Contagion and risk-sharing on the inter-bank market. (2013). Ladley, Daniel.
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  38. Correlated risks vs contagion in stochastic transition models. (2013). gourieroux, christian ; Gagliardini, Patrick.
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  39. Default clustering in large portfolios: Typical events. (2013). Giesecke, Kay ; Sowers, Richard B. ; Spiliopoulos, Konstantinos.
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  40. The fluctuating default risk of Australian banks. (2012). Powell, Robert ; Allen, David.
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  41. Computing Optimal Recovery Policies for Financial Markets. (2012). Benth, Fred E ; Mannino, Carlo ; Dahl, Geir .
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  45. A network model of financial system resilience. (2012). Willison, Matthew ; Kapadia, Sujit ; Anand, Kartik ; Brennan, Simon ; Gai, Prasanna.
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  46. Modelling default contagion using multivariate phase-type distributions. (2011). Herbertsson, Alexander.
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  50. Dynamic hedging of synthetic CDO tranches with spread risk and default contagion. (2010). BACKHAUS, JOCHEN ; Frey, Rudiger.
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  51. Computing optimal recovery policies for financial markets. (2010). Dahl, Geir ; Benth, Fred E. ; Mannino, Carlo .
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  52. Large portfolio losses: A dynamic contagion model. (2009). tolotti, marco ; Sartori, Elena ; Runggaldier, Wolfgang J. ; Pra, Paolo Dai .
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  53. Graphical models for correlated defaults. (2008). Sturmfels, Bernd ; Guo, Xin ; Filiz, Onur I. ; Morton, Jason .
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  54. Modelling Default Contagion Using Multivariate Phase-Type Distributions. (2007). Herbertsson, Alexander.
    In: Working Papers in Economics.
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  55. Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach. (2007). Herbertsson, Alexander.
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  56. Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach. (2007). Herbertsson, Alexander ; Rootzen, Holger .
    In: Working Papers in Economics.
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  57. A simple model of credit contagion. (2007). vanini, paolo ; Leippold, Markus ; Egloff, Daniel .
    In: Journal of Banking & Finance.
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    In: Economics Papers.
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  21. Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market. (2004). Longstaff, Francis ; Neis, Eric ; Mithal, Sanjay .
    In: NBER Working Papers.
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  22. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Jacobs, Kris ; Oviedo-Helfenberger, Rodolfo.
    In: SIFR Research Report Series.
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  23. Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000-2002. (2004). Andritzky, Jochen.
    In: Econometric Society 2004 Far Eastern Meetings.
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  24. Nonlinearity in the Term Structure. (2004). Kim, Dong Heon.
    In: Econometric Society 2004 Far Eastern Meetings.
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  25. Option Valuation with Long-run and Short-run Volatility Components. (2004). Christoffersen, Peter ; Jacobs, Kris ; Wang, Yintian.
    In: CIRANO Working Papers.
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  26. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Jacobs, Kris ; Oviedo, Rodolfo A..
    In: CIRANO Working Papers.
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  27. An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps. (2004). Marsh, Ian ; Blanco, Roberto .
    In: Bank of England working papers.
    RePEc:boe:boeewp:211.

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  28. Credit Risk Factor Modeling and the Basel II IRB Approach. (2003). Liebig, Thilo ; Hamerle, Alfred ; Rosch, Daniel.
    In: Discussion Paper Series 2: Banking and Financial Studies.
    RePEc:zbw:bubdp2:2226.

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  29. Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit. (2003). Gatfaoui, Hayette.
    In: Risk and Insurance.
    RePEc:wpa:wuwpri:0308005.

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  30. Credit Risk Modeling and the Term Structure of Credit Spreads. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0312009.

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  31. A Simple Model for Credit Migration and Spread Curves. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0305003.

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  32. Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0303008.

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  33. Valuing Corporate Liabilities. (2003). Ericsson, Jan ; Reneby, Joel .
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0015.

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  34. An empirical test of a two-factor mortgage valuation model: how much do house prices matter?. (2003). Downing, Chris ; Stanton, Richard ; Wallace, Nancy.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-42.

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  35. On credit spread slopes and predicting bank risk. (2003). Thomson, James ; C. N. V. Krishnan, ; Ritchken, Peter H..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0314.

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  36. Monitoring and controlling bank risk: does risky debt serve any purpose?. (2003). Thomson, James ; C. N. V. Krishman, ; RITCHKEN, P. H..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0301.

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  37. Understanding the Recovery Rates on Defaulted Securities. (2003). Acharya, Viral ; Srinivasan, Anand ; Bharath, Sreedhar T.
    In: CEPR Discussion Papers.
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  38. Macroeconomic Dynamics and Credit Risk: A Global Perspective. (2003). Schuermann, Til ; Pesaran, M ; Treutler, Bjorn-Jakob ; Weiner, Scott M..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0330.

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  39. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. (2002). Longstaff, Francis ; LIU, JUN ; Mandell, Ravit E..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8990.

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  40. The Valuation of Corporate Liabilities: Theory and Tests. (2002). Ericsson, Jan ; Reneby, Joel .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0445.

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  41. Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans. (2002). Sorensen, Carsten ; Richter, Martin .
    In: Working Papers.
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  42. Insolvency or liquidity squeeze? Explaining very short-term corporate yield spreads. (2002). Downing, Chris ; Covitz, Dan.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2002-45.

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  43. Getting the most out of a mandatory subordinated debt requirement. (2002). Thomson, James ; Haubrich, Joseph ; Ritchken, Peter ; Fan, Rong.
    In: Working Papers (Old Series).
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  44. Pricing Credit Derivatives with Rating Transitions. (2002). Das, Sanjiv ; Acharya, Viral ; Sundaram, Rangarajan K.
    In: CEPR Discussion Papers.
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  45. Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy. (2002). Carpenter, Jennifer ; Acharya, Viral.
    In: CEPR Discussion Papers.
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  46. A numerical PDE approach for pricing callable bonds. (2001). Labahn, G. ; D'Halluin, Y. ; Forsyth, P. A. ; Vetzal, K. R..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:8:y:2001:i:1:p:49-77.

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  47. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. (2001). Jagannathan, Ravi ; Kaplin, Andrew ; Sun, Steve Guoqiang.
    In: NBER Working Papers.
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  48. On the term structure of default premia in the Swap and Libor markets. (2000). Solnik, Bruno ; Collin-Dufresne, Pierre.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0704.

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  49. Coordination Risk and the Price of Debt. (1999). Shin, Hyun Song ; Morris, Stephen.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1241.

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  50. Macroeconomic Dynamics and Credit Risk: A Global Perspective. (). Schuermann, Til ; Pesaran, M ; April, ; Weiner, Scott M. ; Treutler, Bjorn-Jakob .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-13.

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