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Today's Featured Book

The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage
by Ralph Vince, Wiley, (May 25, 2007), Hardcover, 448 pages

	I spoke at C.R.E.D.I.T. 2007.
	I published 2 implied ratings models using Equity prices and CDS spreads.
	I published: How Much Credit in Credit Risk Models?.
	It's just for fun, but I wrote a brief article for Financial Engineering News.
	Fitch Group Announces Academic Advisory Board, Launches Grant Program.
	I was published in Economic Notes.

New this week of August-24:

New in previous weeks:

• Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
• On CDO Tranche Pricing when Copula is Nearly Comonotone
• CVA Calculation for CDS on Super Senior ABS CDO

• Modelling Single-name and Multi-name Credit Derivatives by Dominic O'Kane Wiley, August 25, 2008, Hardcover, 514 pages

• All of the Top Ten Lists are updated.
• Credit Contagion from Counterparty Risk
• Default and the Maturity Structure in Sovereign Bonds
• Limited Arbitrage and Liquidity in the Market for Credit Risk (mended)

• The Definitive Guide to CDOs by Gunter Meissner (Editor) Incisive Media, July 31, 2008, Hardcover, 350 pages

• Arbitrage-free Loss Surface Closest to Base Correlations
• Determinants of Sovereign Risk: Macroeconomic fundamentals and the pricing of sovereign debt (updated)

• Loss Given Default Implied by Cross-sectional No Arbitrage (Job Market Paper) (updated)
• Don't Fall from the Saddle: the importance of higher moments of credit loss distributions (updated)
• Utility Valuation of Multiname Credit Derivatives and Application to CDOs (updated)
• Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads (updated)
• Self-exciting Corporate Defaults: Contagion vs. frailty (updated)
• Extracting Systematic Factors in a Continuous-time Credit Migration Model
• The Discrete Gamma Pool Model (updated)

• Risk Analysis: A Quantitative Guide, 3rd Ed. by David Vose Wiley, May 19, 2008, Hardcover, 752 pages

• Hedging Credit: Equity liquidity matters
• Testing Homogeneity of Time-Continuous Rating Transitions
• Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach (updated)

• Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers by Greg N. Gregoriou and Paul U. Ali McGraw-Hill, July 2, 2008, Hardcover, 528 pages

• Systemic Credit Risk: What is the market telling us?
• Credit Risk Discovery in the Stock and CDS Market: Who, when and why leads?

• Lévy Density Based Intensity Modeling of the Correlation Smile
• Risk Aversion and the Yield of Corporate Debt
• Optimal Stochastic Recovery for Base Correlation

• Credit Risk: Models, Derivatives, and Management by Niklas Wagner (Editor) Chapman & Hall/CRC, May 28, 2008, Hardcover, 600 pages

• Liquidating Illiquid Collateral (Job Market Paper) (updated)
• Premia for Correlated Default Risk (updated)

• Recovery Rates, Default Probabilities and the Credit Cycle (updated)
• Credit Risk Discovery in the Stock and CDS Market: Who, when and why leads?
• Dynamic Default Rates
• The Cyclical Behavior of Default and Recovery Rates
• Asset Correlations and Credit Portfolio Risk: An empirical analysis

• Bio-Inspired Credit Risk Analysis: Computational Intelligence with Support Vector Machines by Lean Yu, Shouyang Wang, Kin Keung Lai, Ligang Zhou Springer, June 5, 2008, Hardcover, 244 pages

• How has CDO Market Pricing Changed During the Turmoil: Evidence from CDS index tranches
• Default Correlations and the Effect of Estimation Errors on Risk Figures
• Are Default Correlations Time Dependent? A Bayesian approach
• Limited Arbitrage and Liquidity in the Market for Credit Risk
• Latent Liquidity: A new measure of liquidity, with an application to corporate bonds
• Estimating a Financial Distress Rating System for Spanish Firms with a Simple Hazard Model

• Understanding Risk: The Theory and Practice of Financial Risk Management by David Murphy Chapman & Hall/CRC, April 23, 2008, Paperback, 472 pages

• Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
• Generalized Beta Regression Models for Random Loss-Given-Default
• An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches (updated)
• A Note on Fitting Markov Operator Credit Risk Models
• Euler Allocation: Theory and Practice (updated)

• Macrofinancial Risk Analysis by Dale Gray, Samuel W Malone Wiley, May 16, 2008, Hardcover, 362 pages

• Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation (updated)
• Optimal Leverage Function for CPDOs
• Modeling of CPDOs Identifying Optimal and Implied Leverage
• A Top-down Approach to Multi-name Credit (updated)
• The Discrete Gamma Pool Model (updated)
• In Search of Hybrid Models for Credit Risk: from Leland-Toft to Carr-Linetsky
• Inverse CIR and Semi-Affine Intensity-based Modeling on Credit Risk

• Options, Futures, and Other Derivatives with Derivagem CD (7th Edition) by John C. Hull Prentice Hall, May 2008, Hardcover, 744 pages

• Explicit Formulas for Laplace Transforms of Stochastic Integrals
• Pricing Equity Derivatives Subject To Bankruptcy

• Forced Selling of Fallen Angels
• Credit Spreads and Incomplete Information
• Discriminatory Power: An obsolete validation criterion?
• Myth and Reality of Discriminatory Power for Rating Systems
• Randomized Structure Model of Credit Spreads (updated)

• Rethinking Bank Regulation: Till Angels Govern by James R. Barth, Gerard Caprio, Ross Levine Cambridge University Press, May 12, 2008, Paperback, 448 pages

• Basel II Correlation Values: An empirical analysis of EL, UL and the IRB Model
• A Simple Robust Link Between American Puts and Credit Insurance
• Fitch Ratings 1991–2007 Global Structured Finance Transition and Default Study

• Managing Credit Risk: The Great Challenge for Global Financial Markets by John B. Caouette, Edward I. Altman, Paul Narayanan, Robert Nimmo Wiley, May 16, 2008, Hardcover, 656 pages

• Pricing Distressed CDOs with Base Correlation and Stochastic Recovery
• Modeling the Loss Distribution
• How Sovereign is Sovereign Credit Risk?
• Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
• Large Portfolio Losses: A dynamic contagion model (updated)
• Optimal Dynamic Hedging of Cliquets
• The Discrete Gamma Pool Model (updated)
• Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions (updated)

• The Drunkard's Walk: How Randomness Rules Our Lives by Leonard Mlodinow Pantheon, May 13, 2008, Paperback, 272 pages

• Decomposing Swap Spreads (updated)
• Pricing Tranched Credit Products with Generalized Multifactor Models (updated)
• An Improved Implied Copula Model And Its Application To The Valuation Of Bespoke CDO Tranches

• Nested Simulation in Portfolio Risk Measurement
• An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches (updated)
• Ratings-Based Pricing and Stochastic Spreads
• Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (updated)

• The Banker's Handbook on Credit Risk: Implementing Basel II by Morton Glantz, Johnathan Mun Academic Press, May 1, 2008, Hardcover, 432 pages

• Toward a New Framework and a Better Understanding of Credit Default Swaps
• The Distribution of Loan Portfolio Value

• Dynamic Conditioning and Credit Correlation Baskets (updated)
• A Unified Framework for Pricing Credit and Equity Derivatives (updated)

• The Cognitive Style of PowerPoint: Pitching Out Corrupts Within by Edward R. Tufte Graphics Press, (2006), Paperback, 32 pages

• Risk Contributions of Systematic Factors in Portfolio Credit Risk Models
• Risk Transfer with CDOs (updated)

• Self-exciting Corporate Defaults
• Premia for Correlated Default Risk (updated)
• A Comparative Analysis of CDO Pricing Models (updated)
• Affine Processes and Applications in Finance
• Macro Stress Tests and History-Based Stressed PD: The case of Hong Kong

• Advanced Analytical Models, + DVD: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond by Johnathan Mun Wiley, May 2, 2008, Hardcover, 1032 pages

• Pricing Options on Defaultable Stocks (updated)

• A Novel Methodology for Credit Portfolio Analysis: Numerical approximation approach
• CDO Loss Term-structure Expansions in a Fatal-Shock Framework
• Risk Transfer with CDOs (updated)
• On Recovery And Intensity Correlation: A new class of credit risk models

• Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors by Brian P. Lancaster, Glenn M. Schultz, Frank J. Fabozzi Wiley, April 25, 2008, Hardcover, 524 pages

• Hedging Default Risks of CDOs in Markovian Contagion Models (updated)
• Credit Risk Transfer: Developments from 2005 to 2007
• Regimes of Volatility: Some observations on the variation of S&P 500 implied volatilities

• Euler Allocation: Theory and Practice (updated)
• Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics (updated)
• Forecasting Cross-Sections of Frailty-Correlated Default
• Large Portfolio Losses: A dynamic contagion model
• Correlated Binomial Models and Correlation Structures (updated)
• Do Unsolicited Ratings Contain a Strategic Rating Component? Evidence from S&P
• Why Do Firms Pay for Bond Ratings When They Can Get Them for Free? (Job Market Paper)
• What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches

• Extreme Values, Regular Variation, and Point Processes by Sidney I. Resnick Springer, November 26, 2007, Paperback, 320 pages

• Excess Volatility of Corporate Bonds

• Hedging and Asset Allocation for Structured Products
• Ownership Links, Leverage and Credit Risk
• Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
• The Discrete Gamma Pool Model
• Comparing Some Alternative Lévy Base Correlation Models for Pricing and Hedging CDO Tranches

• CREDIT CORRELATION: Life After Copulas by Alexander Lipton World Scientific Publishing, December 25, 2007, Hardcover, 176 pages

• Infectious Default Model with Recovery and Continuous Limits

• Credit Risk and Risk Neutral Default Probabilities: Information about migrations and defaults
• Global List of Credit Rating Agencies (updated)
• A Stochastic Framework for Public Debt Sustainability Analysis
• Modeling the Recovery Rate in a Reduced Form Model (updated)

• International Financial Instability by Douglas D. Evanoff (Editor), George G. Kaufman (Editor), and John R. LaBrosse (Editor) World Scientific Publishing, "October 15, 2008" -- but now shipping, Hardcover, 492 pages

• Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" Approach
• A Risk Management Approach to Emerging Markets Sovereign Debt Sustainability with an Application to Brazilian Data
• Debt Intolerance

• Default Contagion in Large Homogeneous Portfolios (updated)
• Dynamic Pricing of Synthetic Collateralized Debt Obligations
• A Stochastic Processes Toolkit for Risk Management
• Quantitative Validation of Rating Models for Low Default Portfolios through Benchmarking

• A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation by Richard Bookstaber John Wiley & Sons, April 17, 2007, Hardcover, 288 pages

• Credit Risk Transfer and Contagion

• Loss Given Default Implied by Cross-sectional No Arbitrage (Job Market Paper)
• The CreditMetrics Package
• Credit Spreads on Corporate Bonds and the Macroeconomy in Japan (updated)
• Strategic Default Jump as Impulse Control in Continuous Time (mended)

• Statistics of Financial Markets: An Introduction by Jürgen Franke, Wolfgang K. Härdle, and Christian M. Hafner Springer, February 13, 2008, Paperback, 501 pages

• Collateral Damage

• On the Probabilities of Correlated Defaults: a First Passage Time Approach
• Credit Default Swap Spreads and US Financial Market: Investigating some dependence structure
• Credit Risk Assessment Considering Variations in Exposure: Application to commitment lines
• A Brief Review of "The Basis"
• Randomization in the Default Boundary Problem

• Why Are There So Many Banking Crises?: The Politics and Policy of Bank Regulation by Jean-Charles Rochet Princeton University Press, January 3, 2008, Hardcover, 336 pages

• Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models (updated)
• Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios (updated)
• Are Credit Default Swap Spreads Market Driven

• Time-changed Birth Processes and Multi-name Credit Derivatives (updated)
• Credit Risk - A structural model with jumps and correlations (updated)
• Correlated Binomial Models and Correlation Structures (updated)
• Measuring the Risk of Large Losses (updated)
• Gaussian Copula Approximations and Their Applications
• Adjusting Multi-Factor Models for Basel II-consistent Economic Capital (updated)
• Premia for Correlated Default Risk (updated)
• Dynamic Credit Portfolio Management: Linking credit risk systems, securitization and standardised credit indices

• Proportional Hazards Regression by John O'Quigley Springer, February 6, 2008, Hardcover, 542 pages

• A Useful Result on First Passage OU Process
• Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion (updated)
• Note new Conference listings, including:
  The 2008 Credit Risk Management Summit
  Global Derivatives & Risk Management 2008
  Second Princeton Credit Risk Conference: The Mathematics of Defaultable Securities
  International Workshop: CREDIT RISK
  Credit and Loan Markets Training Course
  2008 International Workshop on Credit Risk Management
  Second Annual Risk Management Conference

• Linking Credit Risk Premia to the Equity Premium
• The Static Hedging of CDO Tranche Correlation Risk
• Immersion Property and Credit Risk Modelling
• Firm Value, Diversified Capital Assets, and Credit Risk: Towards a Theory of Default Correlation
• Finding Generators for Markov Chains via Empirical Transition Matrices with Applications to Credit Ratings

• Emerging Markets and Financial Globalization: Sovereign Bond Spreads in 1870-1913 and Today by Paolo Mauro, Nathan Sussman, and Yishay Yafeh Springer, February 9, 2008, Paperback, 208 pages

• Adjusting Multi-Factor Models for Basel II-consistent Economic Capital
• Don't Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions (updated)
• The Skewed t Distribution for Portfolio Credit Risk (updated)