Further Reading

Balakrishna, B. S. “A Semi-Analytical Parametric Model for Credit Defaults.” (2006). Available at www.defaultrisk.com.

Balakrishna, B. S. “Delayed Default Dependency and Default Contagion.” (2007). Available at http://ssrn.com.

Baxter, M. “Levy Simple Structural Models.” In Credit Correlation—Life after Copulas, edited by A. Lipton and A. Rennie. Singapore: World Scientific, 2007.

Bennani, N. “The Forward Loss Model: A Dynamic Term Structure Approach for the Pricing of Portfolio Credit Derivatives.” (2005). Available at www.defaultrisk.com.

Berd, A. M., R. F. Engle, and A. B. Voronov. “The Underlying Dynamics of Credit Correlations.” (2007). Available at http://ssrn.com.

Bielecki, T., S. Crépey, and A. Herbertsson. “Markov ...

Get Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.

Start your free trial