A comparative analysis of current credit risk models
Top Cited Papers
- 1 January 2000
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 24 (1-2) , 59-117
- https://doi.org/10.1016/s0378-4266(99)00053-9
Abstract
No abstract availableThis publication has 9 references indexed in Scilit:
- Portfolio Credit RiskSSRN Electronic Journal, 1998
- Almost Everything You Wanted to Know about Recoveries on Defaulted BondsCFA Magazine, 1996
- Default Correlation and Credit AnalysisThe Journal of Fixed Income, 1995
- Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrantsApplied Mathematical Finance, 1995
- The interaction between the financial and investment decisions of the firm: the case of issuing warrants in a levered firmJournal of Banking & Finance, 1994
- Stochastic equity volatility related to the leverage effectApplied Mathematical Finance, 1994
- Sorting Out Risks Using Known APT FactorsCFA Magazine, 1988
- Economic Forces and the Stock MarketThe Journal of Business, 1986
- On the Pricing of Corporate Debt: The Risk Structure of Interest RatesThe Journal of Finance, 1974