Contagion effect on bond portfolio risk measures in a hybrid credit risk model-Reference-Cited by-同舟云学术

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

Published:2014-06 Issue:2 Volume:11 Page:131-139
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Boudreault Mathieu,Gauthier Geneviève,Thomassin Tommy

Publisher

Elsevier BV

Subject

Finance

Reference26 articles.

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2. Default recovery rates in credit risk modelling: a review of the literature and empirical evidence;Altman;Econ. Notes Banca Monte Paschi Siena,2004

3. Altman, E., 2006. Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence. Working Paper.

4. Andersen, L and J Sidenius (2004). Extensions to the Gaussian copula: Random recovery and random factor loadings, Journal of Credit Risk 1, 29-69.

5. Investigating the role of systematic and firm-specific factors in default risk: lessons from empirically evaluating credit risk models;Bakshi;J. Business,2006

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