An analytic approach to credit risk of large corporate bond and loan portfolios-Reference-Cited by-同舟云学术

An analytic approach to credit risk of large corporate bond and loan portfolios

Published:2001-09 Issue:9 Volume:25 Page:1635-1664
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Lucas André,Klaassen Pieter,Spreij Peter,Straetmans Stefan

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

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3. Belkin, B., Suchower, S., Forest, L., 1998a. The effect of systematic credit risk on loan portfolio value-at-risk and loan pricing. CreditMetrics Monitor (1st Quarter), 17–28. http://www.creditmetrics.com

4. Belkin, B., Suchower, S., Forest, L., 1998b. A one-parameter representation of credit risk transition matrices. CreditMetrics Monitor (3rd Quarter), 46–56. http://www.creditmetrics.com

5. Valuing corporate securities: Some effects of bond indenture provisions;Black;Journal of Finance,1976

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