36 citations · 36 across the 8 of their papers we have counts for
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cond-mat2003
Debt Subordination and The Pricing of Credit Default Swaps
Peter B. Lee, Mark B. Wise, Vineer Bhansali
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default…
cond-mat2002
Diversification and Gerneralized Tracking Errors For Correlated Non-Normal Returns
Mark B. Wise, Vineer Bhansali
The probability distribution for the relative return of a portfolio constructed from a subset n of the assets from a benchmark, consisting of N assets whose returns are multivariat…