SSRN Electronic Journal · 2004 · 44 citations · 11 references
BusinessFinanceRisk ManagementFinancial EconomicsFinancial MarketsQuantitative FinanceCounterparty Credit RiskCredit DerivativesCredit MarketsCredit RiskFinancial RiskOption PricingConditional Intensity ModelsCounterparty Default ModelingCounterparty RiskCredit Risk CalibrationCredit Risk ModelingDefault ProbabilityDefault Risk ModelingSwap Valuation
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ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
Robert C. Merton · The Journal of Finance · 1974 · 11K citations · Full text
Business, Finance, Asset Pricing +16
Modeling Term Structures of Defaultable Bonds
Darrell Duffie, Kenneth J. Singleton · Review of Financial Studies · 1999 · 2.6K citations
VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS
Fischer Black, John C. Cox · The Journal of Finance · 1976 · 2.5K citations
Business, Finance, Asset Pricing +10
On cox processes and credit risky securities
David Lando · Review of Derivatives Research · 1998 · 1.3K citations
A comparative analysis of current credit risk models
Michel Crouhy, Dan Galai, Robert Mark · Journal of Banking & Finance · 2000 · 989 citations
Management, Economics, Finance +14