Class information for:
Level 1: CREDIT DEFAULT SWAPS//CREDIT RISK//CREDIT SPREADS

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
8208 1280 30.9 44%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
17 3       BUSINESS//BUSINESS, FINANCE//MANAGEMENT 121089
40 2             BUSINESS, FINANCE//CORPORATE GOVERNANCE//JOURNAL OF BANKING & FINANCE 31296
8208 1                   CREDIT DEFAULT SWAPS//CREDIT RISK//CREDIT SPREADS 1280

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 CREDIT DEFAULT SWAPS authKW 1679987 10% 55% 127
2 CREDIT RISK authKW 1106615 14% 27% 173
3 CREDIT SPREADS authKW 804287 5% 54% 62
4 JOURNAL OF CREDIT RISK journal 531734 4% 42% 53
5 CREDIT DERIVATIVES authKW 353975 3% 46% 32
6 CORPORATE BONDS authKW 301608 2% 45% 28
7 BUSINESS, FINANCE WoSSC 256008 66% 1% 849
8 REDUCED FORM MODEL authKW 245623 2% 47% 22
9 COUNTERPARTY RISK authKW 245329 2% 43% 24
10 DEFAULT INTENSITY authKW 237132 1% 76% 13

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 Business, Finance 256008 66% 1% 849
2 Economics 30410 52% 0% 669
3 Social Sciences, Mathematical Methods 8324 10% 0% 129
4 Mathematics, Interdisciplinary Applications 3446 12% 0% 155
5 Statistics & Probability 1346 8% 0% 107
6 Operations Research & Management Science 780 6% 0% 77
7 Management 314 4% 0% 49
8 Business 208 3% 0% 34
9 Mathematics, Applied 108 5% 0% 64
10 International Relations 10 1% 0% 7

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 CORP ACTUARIAL 71562 0% 100% 3
2 FINANCE 52532 11% 2% 139
3 CREDIT MODELS 47708 0% 100% 2
4 QUANTITAT ANALYT 47704 0% 50% 4
5 FINANCE INT BUSINESS 37694 1% 23% 7
6 FINANCIAL ENGN 31176 2% 6% 21
7 ABORAT INNOVAT WEALTH MANAGEMENT QUANTI 23854 0% 100% 1
8 BANK AMER MERRILL LYNCH 23854 0% 100% 1
9 BUD ESTI CORVINUS EGYETEM 23854 0% 100% 1
10 C ITAL MARKET FINANCIAL PROD GRP 23854 0% 100% 1

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 JOURNAL OF CREDIT RISK 531734 4% 42% 53
2 JOURNAL OF BANKING & FINANCE 80805 10% 3% 122
3 JOURNAL OF DERIVATIVES 41366 1% 9% 19
4 QUANTITATIVE FINANCE 40821 4% 4% 47
5 REVIEW OF DERIVATIVES RESEARCH 35391 1% 12% 12
6 JOURNAL OF FINANCE 30221 5% 2% 62
7 FINANCE RESEARCH LETTERS 25043 2% 5% 23
8 MATHEMATICAL FINANCE 24981 2% 4% 24
9 REVIEW OF FINANCIAL STUDIES 23926 3% 3% 40
10 JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 21032 3% 2% 36

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 CREDIT DEFAULT SWAPS 1679987 10% 55% 127 Search CREDIT+DEFAULT+SWAPS Search CREDIT+DEFAULT+SWAPS
2 CREDIT RISK 1106615 14% 27% 173 Search CREDIT+RISK Search CREDIT+RISK
3 CREDIT SPREADS 804287 5% 54% 62 Search CREDIT+SPREADS Search CREDIT+SPREADS
4 CREDIT DERIVATIVES 353975 3% 46% 32 Search CREDIT+DERIVATIVES Search CREDIT+DERIVATIVES
5 CORPORATE BONDS 301608 2% 45% 28 Search CORPORATE+BONDS Search CORPORATE+BONDS
6 REDUCED FORM MODEL 245623 2% 47% 22 Search REDUCED+FORM+MODEL Search REDUCED+FORM+MODEL
7 COUNTERPARTY RISK 245329 2% 43% 24 Search COUNTERPARTY+RISK Search COUNTERPARTY+RISK
8 DEFAULT INTENSITY 237132 1% 76% 13 Search DEFAULT+INTENSITY Search DEFAULT+INTENSITY
9 DEFAULT RISK 210239 4% 19% 46 Search DEFAULT+RISK Search DEFAULT+RISK
10 VULNERABLE OPTION 169627 1% 89% 8 Search VULNERABLE+OPTION Search VULNERABLE+OPTION

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref.
in cl.		 Shr. of ref. in
cl.		 Citations
1 CARR, P , WU, LR , (2011) A SIMPLE ROBUST LINK BETWEEN AMERICAN PUTS AND CREDIT PROTECTION.REVIEW OF FINANCIAL STUDIES. VOL. 24. ISSUE 2. P. 473 -505 32 80% 9
2 HAN, B , ZHOU, Y , (2015) UNDERSTANDING THE TERM STRUCTURE OF CREDIT DEFAULT SWAP SPREADS.JOURNAL OF EMPIRICAL FINANCE. VOL. 31. ISSUE . P. 18 -35 25 93% 1
3 GUNDUZ, Y , UHRIG-HOMBURG, M , (2014) DOES MODELING FRAMEWORK MATTER? A COMPARATIVE STUDY OF STRUCTURAL AND REDUCED-FORM MODELS.REVIEW OF DERIVATIVES RESEARCH. VOL. 17. ISSUE 1. P. 39-78 31 78% 0
4 AUSSENEGG, W , GOTZ, L , JELIC, R , (2016) EUROPEAN ASSET SWAP SPREADS AND THE CREDIT CRISIS.EUROPEAN JOURNAL OF FINANCE. VOL. 22. ISSUE 7. P. 572 -600 25 81% 1
5 ANNAERT, J , DE CEUSTER, M , VAN ROY, P , VESPRO, C , (2013) WHAT DETERMINES EURO AREA BANK CDS SPREADS?.JOURNAL OF INTERNATIONAL MONEY AND FINANCE. VOL. 32. ISSUE . P. 444-461 28 72% 24
6 KIM, HS , (2014) A SIMPLE STRUCTURAL MODEL WITH A DEFAULT BOUNDARY DEPENDENT ON STOCK MARKET PERFORMANCE.ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES. VOL. 43. ISSUE 3. P. 356 -383 23 88% 1
7 KIM, J , LEE, C , (2014) A DECOMPOSITION OF KOREAN SOVEREIGN BOND YIELDS: JOINT ESTIMATION USING SOVEREIGN CDS AND BOND DATA.ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES. VOL. 43. ISSUE 6. P. 918 -947 23 85% 0
8 SUNDARESAN, S , (2013) A REVIEW OF MERTON'S MODEL OF THE FIRM'S CAPITAL STRUCTURE WITH ITS WIDE APPLICATIONS.ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 5. VOL. 5. ISSUE . P. 21 -41 33 59% 2
9 TURNBULL, SM , (2014) COUNTERPARTY RISK: A REVIEW.ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 6. VOL. 6. ISSUE . P. 241 -258 24 80% 0
10 CHEN, RR , CHENG, XL , WU, LR , (2013) DYNAMIC INTERACTIONS BETWEEN INTEREST-RATE AND CREDIT RISK: THEORY AND EVIDENCE ON THE CREDIT DEFAULT SWAP TERM STRUCTURE.REVIEW OF FINANCE. VOL. 17. ISSUE 1. P. 403-441 24 77% 5

Classes with closest relation at Level 1


Rank Class id link
1 23042 CREDIT RATING AGENCIES//CREDIT RATINGS//RATING AGENCIES
2 4711 TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS
3 7836 CAPITAL STRUCTURE//PECKING ORDER THEORY//TRADE OFF THEORY
4 4761 CREDIT SCORING//BANKRUPTCY PREDICTION//CREDIT RISK
5 32553 HAWKES PROCESS//SELF EXCITING PROCESS//DYNAMIC CONTAGION PROCESS
6 1907 OPTION PRICING//IMPLIED VOLATILITY//STOCHASTIC VOLATILITY
7 24611 MUNICIPAL BONDS//JOURNAL OF ACCOUNTING AND PUBLIC POLICY//BUILD AMERICA BONDS
8 863 SYSTEMIC RISK//DEPOSIT INSURANCE//JOURNAL OF FINANCIAL STABILITY
9 32855 STRUCTURED PRODUCTS//GERMAN MARKET//CURRENCY FLOW
10 5363 CONTAGION//STOCK MARKET INTEGRATION//VOLATILITY SPILLOVERS

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