The Dependence of Recovery Rates and Defaults

A Markov Model for the Term Structure of Credit Risk Spreads

Robert A. Jarrow, David Lando, Stuart M. Turnbull · Review of Financial Studies · 1997 · 1.5K citations

Business, Economics, Finance +14

Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds

Edward I. Altman, Vellore Kishore · Financial Analysts Journal · 1996 · 498 citations

Business, Finance, Damages +9

Using Default Rates to Model the Term Structure of Credit Risk

Jerome S. Fons · Financial Analysts Journal · 1994 · 321 citations

Management, Economics, Finance +16

The intersection of market and credit risk

Robert A. Jarrow, Stuart M. Turnbull · Journal of Banking & Finance · 2000 · 314 citations

Business, Economics, Finance +12

Tail-Index Estimates in Small Samples

Ronald Huisman, Kees Koedijk, Clemens Kool et al. · Journal of Business and Economic Statistics · 2001 · 300 citations · Full text

Business, Economics, Finance +13