26 citations · 44 across the 5 of their papers we have counts for
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q-fin.RM2012★ 3 cited
Empirical Evidence for the Structural Recovery Model
Alexander Becker, Alexander F. R. Koivusalo, Rudi Schäfer
While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of d…
q-fin.RM2007★ 26 cited
Credit risk - A structural model with jumps and correlations
Rudi Schäfer, Markus Sjölin, Andreas Sundin +2
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors,…