Counterparty Default Modeling is a quantitative framework within credit risk analysis that specifically characterizes the likelihood and timing of a counterparty's failure to meet its financial obligations under a derivative or trading arrangement, distinguishing itself from broader credit risk models through its focus on interparty exposure in over-the-counter and structured financial markets.
117
Publications
9.1K
Citations
156
Authors
126
Institutions
Publications per year
2017–2026
17
Parents
Publications
117
Counterparty Risk and the Pricing of Defaultable Securities
Robert A. Jarrow, Fan Yu · The Journal of Finance · 2001 · 671 citations
1–5 of 117
Authors
156
- DB
13
h-index
- SC
8
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- SB
5
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- DD
5
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- DD
4
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1–5 of 156
Institutions
126
Imperial College London
London, United Kingdom
9 h-index
10 publications
311 citations
Université d'Évry Val-d'Essonne
Évry-Courcouronnes, France
7 h-index
16 publications
553 citations
Columbia University
New York, United States
6 h-index
11 publications
2.3K citations
Federal Reserve
Washington D.C., United States
6 h-index
7 publications
242 citations
National Bureau of Economic Research
Cambridge, United States
5 h-index
6 publications
1.3K citations
Federal Reserve Board of Governors
Washington D.C., United States
5 h-index
6 publications
227 citations
Università Cattolica del Sacro Cuore
Milan, Italy
4 h-index
4 publications
1.1K citations
Hong Kong University of Science and Technology
Hong Kong, Hong Kong
4 h-index
5 publications
187 citations
1–8 of 126
Venues
- SSRN Electronic Journal
Repository · 35 publications · 1.7K citations
22
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- International Journal of Theoretical and Applied Finance
IJTAF · 6 publications · 285 citations
6
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- The Journal of Finance
6 publications · 2.9K citations
6
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- Quantitative Finance
5 publications · 157 citations
5
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- The Journal of Credit Risk
4 publications · 229 citations
4
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1–5