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Volumn 39, Issue 10, 2006, Pages 2231-2251

Effects of economic interactions on credit risk

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[No Author keywords available]

Indexed keywords


EID: 33644541824     PISSN: 03054470     EISSN: None     Source Type: Journal    
DOI: 10.1088/0305-4470/39/10/001     Document Type: Article
Times cited : (21)

References (48)
  • 3
    • 33644543629 scopus 로고    scopus 로고
    • J.P. Morgan Global Research 1997 CreditMetrics™: The Benchmark for Understanding Credit Risk Technical Document (New York) (www.creditmetrics.com)
    • (1997) Technical Document (New York)
  • 4
    • 33644543629 scopus 로고    scopus 로고
    • Credit Suisse First Boston 1997 Credit Risk+: A Credit Risk Management Framework Technical Document (New York) (www.csfb.com/creditrisk)
    • (1997) Technical Document (New York)
  • 9
    • 1542744454 scopus 로고    scopus 로고
    • Davis M and Lo V 2001 Mastering Risk vol 2: Applications ed C Alexander (Financial Times Prentice-Hall) pp 141-51
    • (2001) Mastering Risk , vol.2 , pp. 141-151
    • Davis, M.1    Lo, V.2
  • 14
    • 33644542297 scopus 로고    scopus 로고
    • Yu F 2006 Correlated defaults in intensity-based models Math. Finance in press
    • (2006) Math. Finance
    • Yu, F.1
  • 15
    • 33644502746 scopus 로고    scopus 로고
    • Rogge E and Schönbucher P 2003 Modelling Dynamic Portfolio Credit Risk Working Paper Imperial College, London, ABN Amro Bank, London, and ETH, Zürich
    • (2003) Working Paper
    • Rogge, E.1    Schönbucher, P.2
  • 18
    • 84918571911 scopus 로고    scopus 로고
    • Das S R, Duffie D and Kapadia N 2005 Common Failings: How Corporate Defaults are Correlated Working Paper Santa Clara University, Stanford University, University of Massachusetts
    • (2005) Working Paper
    • Das, S.R.1    Duffie, D.2    Kapadia, N.3
  • 19
    • 33644560168 scopus 로고    scopus 로고
    • Default correlation in reduced-form models
    • Yu F 2005 Default correlation in reduced-form models J. Investment Manage. 3 33-42
    • (2005) J. Investment Manage. , vol.3 , pp. 33-42
    • Yu, F.1
  • 23
  • 29
    • 4544262887 scopus 로고    scopus 로고
    • Neu P and Kühn R 2004 Physica A 342 639-55
    • (2004) Physica , vol.342 , Issue.3-4 , pp. 639-655
    • Neu, P.1    Kühn, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.