{"id":"https://openalex.org/W4362590740","doi":"https://doi.org/10.1007/s10479-023-05289-3","title":"Extending the Merton model with applications to credit value adjustment","display_name":"Extending the Merton model with applications to credit value adjustment","publication_year":2023,"publication_date":"2023-03-30","ids":{"openalex":"https://openalex.org/W4362590740","doi":"https://doi.org/10.1007/s10479-023-05289-3"},"language":"en","primary_location":{"is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-023-05289-3","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_indexed_in_scopus":true,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319965","https://openalex.org/P4310319900"],"host_organization_lineage_names":["Springer Nature","Springer Science+Business Media"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false},"type":"article","type_crossref":"journal-article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5016753384","display_name":"Erdin\u00e7 Aky\u0131ld\u0131r\u0131m","orcid":"https://orcid.org/0000-0003-0102-4111"},"institutions":[{"id":"https://openalex.org/I139894009","display_name":"University of Bradford","ror":"https://ror.org/00vs8d940","country_code":"GB","type":"funder","lineage":["https://openalex.org/I139894009"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Erdinc Akyildirim","raw_affiliation_strings":["School of Management, University of Bradford, Bradford, UK"],"affiliations":[{"raw_affiliation_string":"School of Management, University of Bradford, Bradford, UK","institution_ids":["https://openalex.org/I139894009"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5060847806","display_name":"Alper Hekimo\u011flu","orcid":"https://orcid.org/0000-0003-3490-1985"},"institutions":[{"id":"https://openalex.org/I56519529","display_name":"European Investment Bank","ror":"https://ror.org/03zxry661","country_code":"LU","type":"nonprofit","lineage":["https://openalex.org/I56519529"]}],"countries":["LU"],"is_corresponding":false,"raw_author_name":"Alper A. Hekimoglu","raw_affiliation_strings":["Model Validation Unit, European Investment Bank (EIB), Luxembourg, Luxembourg"],"affiliations":[{"raw_affiliation_string":"Model Validation Unit, European Investment Bank (EIB), Luxembourg, Luxembourg","institution_ids":["https://openalex.org/I56519529"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5090267717","display_name":"Ahmet \u015eensoy","orcid":"https://orcid.org/0000-0001-7967-5171"},"institutions":[{"id":"https://openalex.org/I168864056","display_name":"Bilkent University","ror":"https://ror.org/02vh8a032","country_code":"TR","type":"funder","lineage":["https://openalex.org/I168864056"]}],"countries":["TR"],"is_corresponding":true,"raw_author_name":"Ahmet Sensoy","raw_affiliation_strings":["Faculty of Business Administration, Bilkent University, MA118, Cankaya, 06800, Ankara, Turkey"],"affiliations":[{"raw_affiliation_string":"Faculty of Business Administration, Bilkent University, MA118, Cankaya, 06800, Ankara, Turkey","institution_ids":["https://openalex.org/I168864056"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5055304783","display_name":"Frank J. Fabozzi","orcid":"https://orcid.org/0000-0002-2827-1465"},"institutions":[{"id":"https://openalex.org/I90326151","display_name":"Ecole des Hautes Etudes Commerciales du Nord","ror":"https://ror.org/05q7a8a02","country_code":"FR","type":"education","lineage":["https://openalex.org/I90326151"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Frank J. Fabozzi","raw_affiliation_strings":["EDHEC Business School, 06202, Nice cedex 3, France"],"affiliations":[{"raw_affiliation_string":"EDHEC Business School, 06202, Nice cedex 3, France","institution_ids":["https://openalex.org/I90326151"]}]}],"institution_assertions":[],"countries_distinct_count":4,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5090267717"],"corresponding_institution_ids":["https://openalex.org/I168864056"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.981,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.839938,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":76,"max":82},"biblio":{"volume":"326","issue":"1","first_page":"27","last_page":"65"},"is_retracted":false,"is_paratext":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9911,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9879,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/leverage","display_name":"Leverage (statistics)","score":0.4752959},{"id":"https://openalex.org/keywords/counterparty","display_name":"Counterparty","score":0.46363682}],"concepts":[{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.7709922},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.70985854},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.53660434},{"id":"https://openalex.org/C2780759654","wikidata":"https://www.wikidata.org/wiki/Q809934","display_name":"Basel II","level":4,"score":0.518555},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.4752959},{"id":"https://openalex.org/C2779312582","wikidata":"https://www.wikidata.org/wiki/Q1783272","display_name":"Counterparty","level":3,"score":0.46363682},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.45015448},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.38199398},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3806627},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.34515893},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.33955383},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.21240157},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.18652737},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-023-05289-3","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_indexed_in_scopus":true,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319965","https://openalex.org/P4310319900"],"host_organization_lineage_names":["Springer Nature","Springer Science+Business Media"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false}],"best_oa_location":null,"sustainable_development_goals":[],"grants":[{"funder":"https://openalex.org/F4320322628","funder_display_name":"T\u00fcrkiye Bilimler Akademisi","award_id":"GEBIP"}],"datasets":[],"versions":[],"referenced_works_count":36,"referenced_works":["https://openalex.org/W1485979810","https://openalex.org/W1499969990","https://openalex.org/W1543904758","https://openalex.org/W1980519218","https://openalex.org/W1981586072","https://openalex.org/W1997789214","https://openalex.org/W2013068782","https://openalex.org/W2037123982","https://openalex.org/W2040578088","https://openalex.org/W2059188394","https://openalex.org/W2098291186","https://openalex.org/W2100190417","https://openalex.org/W2112525167","https://openalex.org/W2118574463","https://openalex.org/W2158036201","https://openalex.org/W2163766194","https://openalex.org/W2413573154","https://openalex.org/W2473526392","https://openalex.org/W2490830374","https://openalex.org/W2503780184","https://openalex.org/W2590212920","https://openalex.org/W2606551483","https://openalex.org/W2791432312","https://openalex.org/W2947235546","https://openalex.org/W2974178925","https://openalex.org/W3004245008","https://openalex.org/W3121342101","https://openalex.org/W3124148401","https://openalex.org/W3124373426","https://openalex.org/W3124378112","https://openalex.org/W3125346872","https://openalex.org/W3125927282","https://openalex.org/W3134239780","https://openalex.org/W4230941884","https://openalex.org/W4233377166","https://openalex.org/W4401172093"],"related_works":["https://openalex.org/W4252712133","https://openalex.org/W4243831181","https://openalex.org/W3124162515","https://openalex.org/W3122065572","https://openalex.org/W3086176581","https://openalex.org/W2495791928","https://openalex.org/W2490830374","https://openalex.org/W2019076357","https://openalex.org/W1818809649","https://openalex.org/W1799126268"],"abstract_inverted_index":null,"abstract_inverted_index_v3":null,"cited_by_api_url":"https://api.openalex.org/works?filter=cites:W4362590740","counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1}],"updated_date":"2025-04-08T11:55:29.485267","created_date":"2023-04-06"}