Collateralized CDS and Default Dependence - Implications for the Central Clearing

Swap Rates and Credit Quality

Darrell Duffie · The Journal of Finance · 1996 · 454 citations

Business, Finance, Contract Theory +14

Copula-Dependent Defaults in Intensity Models

Philipp Schönbucher, Dirk Schubert · SSRN Electronic Journal · 2002 · 311 citations · Full text

Business, Finance, Risk Management +13

A General Formula for Valuing Defaultable Securities

Pierre Collin‐Dufresne, Robert S. Goldstein, Julien Hugonnier · Econometrica · 2004 · 180 citations · Full text

Business, Finance, Mathematics +13

Swap Rates and Credit Quality

Darrell Duffie · The Journal of Finance · 1996 · 144 citations

Business, Finance, Contract Theory +14

The Impact of Collateralization on Swap Rates

Michael Johannes, Suresh Sundaresan · The Journal of Finance · 2007 · 133 citations

Business, Economics, Finance +12