SSRN Electronic Journal · 2000 · 42 citations · 7 references
BusinessEconomicsFinanceFinancial EconomicsFinancial ModelingPortfolio ManagementAsset Return ModelingCredit RiskDebt DefaultDebt ModelingFinancial RiskCredit Risk ModelingDefault PredictionDefault ProbabilityDefault Risk AnalysisDefault Risk ModelingDefault Risk PredictionModel ChoicePortfolio Company Default Risk
7
Modeling Term Structures of Defaultable Bonds
Darrell Duffie, Kenneth J. Singleton · Review of Financial Studies · 1999 · 2.6K citations
David X. Li · The Journal of Fixed Income · 2000 · 1.3K citations
A comparative anatomy of credit risk models
Michael B. Gordy · Journal of Banking & Finance · 2000 · 732 citations
Business, Finance, Risk Management +14
Risk and Valuation of Collateralized Debt Obligations
Darrell Duffie, Nicolae Gârleanu · Financial Analysts Journal · 2001 · 630 citations
Management, Finance, Risk Management +17
Thomas C. Wilson · Federal Reserve Bank of New York Economic policy review · 1998 · 358 citations
Management, Finance, Risk Management +14