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A comparative analysis of current credit risk models
Journal of Banking & Finance · 2000 · Vol. 24(1-2) · pp. 59–117
Michel Crouhy✉(Canadian Imperial Bank of Commerce (Canada))Dan Galai(Hebrew University of Jerusalem)Robert Mark(Canadian Imperial Bank of Commerce (Canada))
Credit Risk and Financial RegulationsStochastic processes and financial applicationsFinancial Markets and Investment StrategiesCredit riskEconomicsCredit valuation adjustmentBondInterest rateProbability of defaultCapital structureLoss given defaultFinancial economicsCapital requirement
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References
Modern Portfolio Theory and Investment Analysis.
The Journal of Finance · 1982 · 3,091 citations
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
The Journal of Finance · 1974 · 11,005 citations
On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
The Journal of Finance · 1974 · 2,806 citations
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