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In these modern times, we need our dictators to rig their elections with some modicum of competence.  Here are three statistical analyses that are consistent with the finding that the Iranian presidential 'vote' was fraudulent. from: University of St. Andrews from: Nicolaus Copernicus University from: University of Michigan Download, here, datasets & links.

New Research this week of June-28:

New in previous weeks:

• 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

• The research Top Ten Lists are updated.
• Bankruptcy Codes, Liquidation Timing, and Debt Valuation
• The Information Content of Option-Implied Volatility for Credit Default Swap Valuation (updated)
• Most Cited Books  (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

• Computational Techniques for Basic Affine Models of Portfolio Credit Risk (updated)
• Cash Holdings and Credit Risk (updated)
• Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults
• The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk (updated)
• Forecasting Bank Loans Loss-given-default
• A Universal Spreadsheet for Bank Analysis
• A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs (updated)
• Implied Recovery (updated)
• Credit Risk - A structural model with jumps and correlations (updated)

• Lévy Processes and Stochastic Calculus, 2nd Ed. by David Applebaum Cambridge University Press, May 11, 2009, Paperback, 490 pages

• Value at Risk Calculations, Extreme Events, and Tail Estimation (mended)
• Excessive Variation of Risk Factor Correlations and Volatilities

• Professor Salih N. Neftci 1947  --  2009 Memorial Memorial More...

• Does a Central Clearing Counterparty Reduce Counterparty Risk? (updated)
• International Banks’ Ratings with an Indicator Variable for Country Effects
• Variance-Covariance Based Risk Allocation in Credit Portfolios: Analytical approximation

• Malliavin Calculus for Lévy Processes with Applications to Finance by Giulia Di Nunno, Bernt Øksendal, Frank Proske Springer, June 1, 2009, Paperback, 418 pages

• Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (updated)
• Many unlinked papers have been mended, here
• Bank Monitoring Incentives and Optimal CDOs
• Measuring Concentration Risk for Regulatory Purposes (updated)
• The Credit Crunch of 2007: What went wrong? Why? What lessons can be learned? (updated)

• Financial Risk Manager Handbook 5th Edition with CD by Philippe Jorion, GARP (Global Association of Risk Professionals) Wiley, May 4, 2009, Paperback, 752 pages

• The CreditMetrics Package (updated)
• On Break-even Correlation: The way to price structured credit derivatives by replication
• A Multi-Portfolio Model for Bespoke CDO Pricing, Part I: Methodology (updated)
• Counterparty Valuation Adjustment (CVA) (updated)
• Implied Market Loss Given Default in the Czech Republic: Structural-model approach
• Bank Loan and Bond Recovery Study: 1997-2000
• Credit Market Shocks and Economic Fluctuations: Evidence from corporate bond and stock markets

• The Elements of Statistical Learning: Data Mining, Inference, and Prediction, 2nd Ed. by Trevor Hastie, Robert Tibshirani, Jerome Friedman Springer, June 6, 2009, Hardcover, 746 pages

• Basel II’s Proposed Enhancements: Focus on concentration risk
• Proposed Enhancements to the Basel II Framework
• Rating Philosophy and Dynamic Properties of Internal Rating Systems: A general framework and an application to backtesting
• Lévy Density Based Intensity Modeling of the Correlation Smile (updated)
• Implied Recovery (updated)
• Measuring Portfolio Credit Risk Correctly: Why parameter uncertainty matters
• Defaultable Game Options in a Hazard Process Model (updated)

• Financial Boom and Gloom: The Credit and Banking Crisis of 2007-2009 and Beyond by Dimitris N. Chorafas Palgrave Macmillan, April 14, 2009, Hardcover, 240 pages

• Risk Analysis of Collateralized Debt Obligations (updated)
• A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery (updated)
• Does a Central Clearing Counterparty Reduce Counterparty Risk? (updated)
• A Unified Framework for Pricing Credit and Equity Derivatives (updated)
• Pricing Basket Default Swaps in a Tractable Shot-noise Model
• A Multi-Portfolio Model for Bespoke CDO Pricing, Part I: Methodology

• Credit Risk Assessment: The New Lending System for Borrowers, Lenders, and Investors by Clark R. Abrahams, Mingyuan Zhang Wiley, April 6, 2009, Hardcover, 306 pages

• On the Determinants of the Implied Default Barrier
• Charting a Course Through the CDS Big Bang
• ISDA CDS Standard Model
• Credit Risk, Default Loss, and the Economics of Bankruptcy
• Affine Point Processes and Portfolio Credit Risk (updated)
• The CreditMetrics Package (updated)

• Material Markets: How Economic Agents are Constructed by Donald MacKenzie Oxford University Press, March 8, 2009, Hardcover, 240 pages

• Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering
• Does a Central Clearing Counterparty Reduce Counterparty Risk?
• CDO Mapping with Stochastic Recovery (updated)
• Counterparty Valuation Adjustment (CVA)

• Active Credit Portfolio Management in Practice by Jeffrey R. Bohn, Roger M. Stein Wiley, April 6, 2009, Hardcover, 610 pages

• Macro Stress-Testing on the Loan Portfolio of Japanese Banks
• Affine Point Processes and Portfolio Credit Risk (updated)
• Valuation of Loan CDS and Synthetic Loan CDO with Prepayment Risk
• The Turner Review: A regulatory response to the global banking crisis
• Understanding Decreasing CDS Curves

• Mathematical Modelling and Numerical Methods in Finance by Philippe G. Ciarlet North Holland, January 15, 2009, Hardcover, 684 pages

• Do Not Forget the Cancellation: Marking-to-market and hedging LCDX tranches
• Risk Analysis of Collateralized Debt Obligations (updated)
• The CreditMetrics Package (updated)
• An Overview of Credit Derivatives (updated)
• Optimal Investment with Counterparty Risk: A default-density modeling approach
• Large Portfolio Losses: A dynamic contagion model (updated)
• Up and Down Credit Risk (updated)

• Risk Management for Central Banks and Other Public Investors by Ulrich Bindseil (Editor), Fernando Gonzalez (Editor), Evangelos Tabakis (Editor) Cambridge University Press, February 9, 2009, Hardcover, 540 pages

• Pricing of Default Risk Revisited: Corporate bond spread as a proxy for default risk
• Double t Copula Pricing of Structured Credit Products: Practical aspects of a trustworthy implementation
• NEWS: The Game is not Over for Quants
• Credit Spread Changes within Switching Regimes
• Detecting Regime Shifts in Corporate Credit Spreads
• Multi-Scale Time-changed Birth Processes for Pricing Multi-name Credit Derivatives (updated)
• Limited Arbitrage and Liquidity in the Market for Credit Risk (updated)

• The Rating Agencies and Their Credit Ratings: What They Are, How They Work, and Why They are Relevant by Herwig Langohr and Patricia Langohr Wiley, March 16, 2009, Hardcover, 524 pages

• The CreditMetrics Package (updated)

• An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches
• Credit Risk Modeling With Misreporting and Incomplete Information (updated)
• CDO Mapping with Stochastic Recovery

• Anticipating Correlations: A New Paradigm for Risk Management by Robert Engle Princeton University Press, February 8, 2009, Hardcover, 176 pages

• A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
• Risk Analysis of Collateralized Debt Obligations
• An Overview of Credit Derivatives (updated)

• Convertible Bonds in a Defaultable Diffusion Model (updated)
• Basel II Second Pillar: An analytical VaR with contagion and sectorial risks
• A Comparative Analysis of CDO Pricing Models (updated)

• Foundations of Financial Markets and Institutions (4th Edition) by Frank J Fabozzi, Frank P Modigliani Prentice Hall, February 1, 2009, Hardcover, 696 pages

• Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps (updated)
• A Model for Longevity Swaps: Pricing life expectancy
• European RMBS: Cashflow dynamics and key assumptions
• Coping with Copulas: Managing tail risk

• Pillar II in the New Basel Accord by Andrea Resti (Editor) Risk Publications, December 31, 2008, Hardcover, 300 pages Chapter 6 is especially well written!  :-)

• Maturity, Indebtedness and Default Risk
• Financial and Economic Determinants of Firm Default

• Mastering Credit Derivatives: A step-by-step guide to credit derivatives and structured credit (2nd Edition) by Andrew Kasapis FT Press, January 12, 2009, Paperback, 296 pages