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New Research this week of November-15:

New in previous weeks:

• Comparison Results for Exchangeable Credit Risk Portfolios (updated)
• Exact and Efficient Simulation of Correlated Defaults
• CDO Tranche Sensitivities in the Gaussian Copula Model (updated)
• Forecasting Bank Loans Loss-given-default (updated)
• A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs (updated)
• Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion (updated)
• Theoretical Solution versus Industry Standard: Optimal leverage function for CPDOs (updated)
• Analytical Framework for Credit Portfolios, Part I: Systematic Risk

• Financial Institutions and Markets: 2007-2008 -- The Year of Crisis by George G. Kaufman (Editor), Robert R. Bliss (Editor), Palgrave Macmillan, October 27, 2009, Hardcover, 228 pages

• The research Top Ten Lists are updated.
• An Extension of Davis and Lo’s Contagion Model
• Valuing Toxic Assets: An analysis of CDO equity

• Stress-testing the Banking System: Methodologies and Applications by Mario Quagliariello (Editor) Cambridge University Press, November 30, 2009, Hardcover, 354 pages

• An Empirical Evaluation of Structural Credit Risk Models (updated)
• A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure (updated)
• Extension of Spot Recovery Model for Gaussian Copula
• CVA Calculation for CDS on Super Senior ABS CDO (updated)
• Immersion Property and Credit Risk Modelling (updated)

• Optimality and Risk - Modern Trends in Mathematical Finance Springer, October 14, 2009, Hardcover, 266 pages

• Financial Innovation and the Management and Regulation of Financial Institutions (updated)
• Interacting Particle Systems for the Computation of Rare Credit Portfolio Losses (updated)
• Frailty Correlated Default (updated)
• Detecting Regime Shifts in Corporate Credit Spreads (updated)
• Measuring Concentration Risk for Regulatory Purposes (updated)
• Illiquidity Component of Credit Risk
• Dynamic Bank Runs

• Arbitrage Theory in Continuous Time by Tomas Bjork Oxford University Press, October 4, 2009, Hardcover, 512 pages

• Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
• Additivity Properties for Value-at-Risk under Archimedean Dependence and Heavy-tailedness
• Discriminant Analysis of Zero Recovery for China’s NPL
• On the Tail Behavior of Sums of Dependent Risks
• Unintended Consequences of the Market Risk Requirement in Banking Regulation

• Handbook of Financial Econometrics, Vol 1, Volume 1: Tools and Techniques Eds. Yacine Ait-Sahalia, Lars Hansen Elsevier Science Ltd, September 29, 2009, Hardcover, 828 pages

• Pricing CDOs with State Dependent Stochastic Recovery Rates
• Recovery Rates and Macroeconomic Conditions: The role of loan covenants
• Demand Discovery and Asset Pricing (updated)
• Fixed-Income Portfolio Selection
• Affine Point Processes and Portfolio Credit Risk (updated)

• Term-Structure Models: A Graduate Course by Damir Filipovic Springer, September 18, 2009, Hardcover, 256 pages

• A Top-down Approach to Multi-name Credit (updated)
• Calibrating Low-default Portfolios, using the Cumulative Accuracy Profile (updated)
• French Banks Amid the Global Financial Crisis

• Mathematical Techniques in Finance: Tools for Incomplete Markets by Ales Cerny Princeton University Press, July 26, 2009, Paperback, 416 pages

• An EVT Primer for Credit Risk
• Scaling Of High-Quantile Estimators
• Credit Dynamics in a First Passage Time Model with Jumps
• Defaultable Game Options in a Hazard Process Model (updated)
• CDO Pricing: Copula implied by risk neutral dynamics (updated)

• Free: The Future of a Radical Price by Chris Anderson Hyperion, July 7, 2009, Hardcover, 288 pages I read this, found it astonishingly well researched, and feel it'd be very relevant to the visitors of this site who tend to be "information based". -- Greg Gupton

• Many unlinked papers are being mended, here.  If you know of more, contact me.
• Collections Policy Comparison in LGD Modelling
• Why are there Serial Defaulters? Quasi-experimental evidence from constitutions
• Credit Default Auctions and Price Discovery

• Understanding Credit Derivatives: Strategies and New Market Developments by Foued Ayari Wiley-Blackwell, September 11, 2009, Hardcover, 352 pages

• 
• The Merton Structural Model and IRB Compliance
• CDO Pricing: Copula implied by risk neutral dynamics
• Stressing Rating Criteria Allowing for Default Clustering: The CPDO case
• A Model of Returns for the Post-Credit-Crunch Reality: Hybrid Brownian motion with price feedback

• Loss Given Default - Empirical observations and models: A Basel II Ratio for calculation of Expected Losses by Ivan Petrov VDM Verlag, July 8, 2009, Paperback, 80 pages

• Most Cited Books  (updated).
• The Re-Emergence of Distressed Exchanges in Corporate Restructurings
• Measuring and Managing Risk in Innovative Financial Instruments

• Restoring Financial Stability: How to Repair a Failed System by Viral Acharya, Matthew Richardson (Editors) Wiley, March 23, 2009, Hardcover, 416 pages

• A Multiname First-Passage Model for Credit Risk
• Dynamic Frailties and Credit Portfolio Modelling (updated)
• What Accounts for Time Variation in the Price of Default Risk?
• Liquidity and Capital Structure

• Lévy Processes in Credit Risk by Wim Schoutens, Jessica Cariboni Wiley, September 22, 2009 (but available now on Amazon), Hardcover, 200 pages

• A Model of Asset Pricing under Country Risk
• Predicting Bank Failures Using a Simple Dynamic Hazard Model
• Defaults Surge, Recoveries Sink in 2009: Understanding the Fundamental and Cyclical Drivers of Corporate Recovery Rates
• The Dynamics of Sovereign Credit Risk
• Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress
• An Early Warning Model for EU Banks with Detection of the Adverse Selection Effect

• Investment Banking: Valuation, Leveraged Buyouts, and Mergers and Acquisitions by Joshua Rosenbaum, Joshua Pearl CRC, May 4, 2009, Hardcover, 336 pages

• How Much do Banks use Credit Derivatives to Hedge Loans? (updated)
• A Framework for Assessing the Systemic Risk of Major Financial Institutions
• Recent Advances in Credit Risk Modeling
• The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing (updated)
• A Spot Recovery Rate Extension of the Gaussian Copula

• Emerging Markets: Performance, Analysis and Innovation by Greg N. Gregoriou (Editor) CRC, June 26, 2009, Hardcover, 868 pages

• The "Big List" of 1,711 researchers who are listed authors on DefaultRisk posted papers. New this month, are over 600 linked names to these author's pages. I encourage you to get to know your fellow researchers.

• Bank Management by Timothy W. Koch, S. Scott MacDonald South-Western College, July 2009, Hardcover, 820 pages

• Risk Management Framework for Hedge Funds Role of Funding and Redemption Options on Leverage
• Stochastic Evolution Equations in Portfolio Credit Modelling

• Continuous Bivariate Distributions: 2nd Edition by N. Balakrishnan, Chin-Diew Lai Springer, June 29, 2009, Hardcover, 676 pages

• A Default Probability Estimation Model: An application to Japanese companies
• Dynamic Factor Copula Model
• The Use (and Abuse) of CDS Spreads During Distress

• A History of Monetary Policy: The Contribution of the Bundesbank by Heinz Herrmann (Editor) Routledge, July 10, 2009, Hardcover, 164 pages

• Does a Central Clearing Counterparty Reduce Counterparty Risk? (updated)
• Using Securities Market Information for Bank Supervisory Monitoring (updated)
• Correlation in Corporate Defaults: Contagion or conditional independence?

• Leveraged Finance: Concepts, Methods, and Trading of High-Yield Bonds, Loans, and Derivatives by Stephen J. Antczak, Douglas J. Lucas, Frank J. Fabozzi Wiley, July 27, 2009, Hardcover, 368 pages

• CDOs, How far should we depart from Gaussian copulas?
• How to Gauge the Default Risk? An empirical application of structural-form models
• A Framework for Valuing Corporate Securities
• Prof. Wim Schoutens , and
  Prof. André Lucas now have organizing pages.  I encourage you to browse their contributions. Please note that organizing pages are a bit of a pain for me, are composed sporadically, and are assigned by ranking formula.

• The Banks and the Italian Economy by Damiano Bruno Silipo (Editor) Physica-Verlag Heidelberg, June 1, 2009, Hardcover, 243 pages

• Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models
• Credit Cycles and Macro Fundamentals
• A New Capital Regulation for Large Financial Institutions
• Corporate Bankruptcy Reorganizations: Estimates from a Bargaining Model (updated)
• A Credit Risk Model Incorporating Microstructural Dependencies and Stochastic Recovery
• Fallen Angels and Price Pressure

• Handbook of Financial Time Series Springer, May 20, 2009, Hardcover, 1050 pages With chapters by Paul Embrechts, & separately, David Lando

• Risk Analysis of Collateralized Debt Obligations (updated)
• The Static Hedging of CDO Tranche Correlation Risk (mended)
• Recent Advancements in the Theory and Practice of Credit Derivatives (conference)
• On Break-even Correlation: The way to price structured credit derivatives by replication (updated)
• Pricing and Hedging CLOs with Implied Factor Models
• Credit Migration Risk Modelling

• Risk Management and Financial Institutions (2nd Edition) by John C. Hull Prentice Hall, June 19, 2009, Hardcover, 576 pages

• Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
• A Multi-Portfolio Model for Bespoke CDO Pricing, Part I: Methodology (updated)
• Does a Central Clearing Counterparty Reduce Counterparty Risk? (updated)
• Pricing Distressed CDOs with Stochastic Recovery (updated)
• Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks

• The Flaw of Averages: Why We Underestimate Risk in the Face of Uncertainty by Sam L. Savage Wiley, June 9, 2009, Hardcover, 392 pages

• Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk (updated)
• Multivariate Extremes and the Aggregation of Dependent Risks: Examples and counter-examples
• An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches (updated)
• Credit Risk Spreads in Local and Foreign Currencies
• Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation (updated)
• Incorporating the Dynamics of Leverage into Default Prediction
• Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries

• Credit Risk Modeling: An Empirical Analysis on Pricing, Procyclicality and Dependence by Foued Ayari VDM Verlag, March 6, 2009, Paperback, 148 pages

• Bankruptcy Codes, Liquidation Timing, and Debt Valuation
• The Information Content of Option-Implied Volatility for Credit Default Swap Valuation (updated)
• Pricing Distressed CDOs with Stochastic Recovery
• Properties of Hierarchical Archimedean Copulas

• Lecturing Birds on Flying: Can Mathematical Theories Destroy the Financial Markets? by Pablo Triana, Nassim Nicholas Taleb Wiley, June 9, 2009, Hardcover, 350 pages

• Range of Practices and Issues in Economic Capital Frameworks
• The Risk of Tranches Created from Residential Mortgages
• Estimating Discriminatory Power and PD Curves when the Number of Defaults is Small
• What Happens After a Default: A conditional density approach
• Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
• Wavelet Analysis of Business Cycles for Validation of Probability of Default: What is the influence of the current credit crisis on model validation?

• Microeconometrics of Banking: Methods, Applications, and Results by Hans Degryse, Moshe Kim, Steven Ongena Oxford University Press, May 22, 2009, Hardcover, 256 pages