JEL Classification G15
"International Financial Markets"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G15 classification. (sorted by date) Aggregate and Firm-level Measures of Systemic Risk from a Structural Model of Default
by Alexander Reyngold of Moody's Analytics,
Shnyra Ksenia of Moody's Analytics, and
Roger Stein of MIT Laboratory for Financial Engineering
(1620K PDF) -- 35 pages -- June 13, 2013 Sovereign Correlations in Recent Recessions
by Taehan Bae of University of Regina, and
Ian Iscoe of Algorithmics Inc, an IBM Company
(318K PDF) -- 11 pages -- March 2012 Default Probability Estimation in Small Samples: With an application to sovereign bonds
by Walter Orth of University of Cologne
(256K PDF) -- 24 pages -- February 9, 2012 Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
by René Kallestrup of Copenhagen Business SchooL,
David Lando of Copenhagen Business SchooL, and
Agatha Murgoci of Copenhagen Business SchooL
(364K PDF) -- 40 pages -- July 12, 2011 Regulation of Credit Rating Agencies: Evidence from recent crisis
by Mai Hassan of the German University in Cairo, and
Christian Kalhoefer of the German University in Cairo
(132K PDF) -- 15 pages -- February 2011 To Err is Human: US rating agencies and the interwar foreign government debt crisis
by Marc Flandreau of the Graduate Institute of International and Development Studies,
Norbert Gaillard of Sciences Po, Paris, and
Frank Packer of the Bank for International Settlements
(2,519K PDF) -- 15 pages -- December 2010 Finding Systemically Important Financial Institutions around the Global Credit Crisis: Evidence from credit default swaps
by Jian Yang of the University of Colorado Denver, and
Yinggang Zhou of the Chinese University of Hong Kong
(165K PDF) -- 54 pages -- September 16, 2010 French Banks Amid the Global Financial Crisis
by Yingbin Xiao of the International Monetary Fund
(1,058K PDF) -- 23 pages -- September 4, 2009 The Dynamics of Sovereign Credit Risk
by Alexandre Jeanneret of the University of Lausanne & Swiss Finance Institute
(1,337K PDF) -- 48 pages -- August 4, 2009 A Model of Asset Pricing under Country Risk
by Sandro C. Andrade of the University of Miami
(466K PDF) -- 25 pages -- June 2009 Credit Risk Spreads in Local and Foreign Currencies
by Dan Galai of Sigma Group, Israel, and
Zvi Wiener of Hebrew University of Jerusalem
(947K PDF) -- 21 pages -- May 2009 Do Not Forget the Cancellation: Marking-to-market and hedging LCDX tranches
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(176K PDF) -- 5 pages -- March 11, 2009 Cross-Border Bank Contagion In Europe
by Reint Gropp of the European Business School & the Centre for European Economic Research (ZEW),
Marco Lo Duca of the European Central Bank, and
Jukka Vesala of the Financial Supervision Authority of Finland (Fin-FSA)
(804K PDF) -- 43 pages -- March 2009 Sovereign Risk Premia
by Nicola Borri of Boston University, and
Adrien Verdelhan of Boston University
(392K PDF) -- 49 pages -- December 1, 2008 Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven
(238K PDF) -- 18 pages -- November 13, 2008 Reverse-engineering Country Risk Ratings: A combinatorial non-recursive model
by Peter L. Hammer of Rutgers University,
Alexandr Kogan of Rutgers University, and
Miguel A. Lejeune of George Washington University
(473K PDF) -- 31 pages -- September 1, 2008 Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
by Péter Dobránszky of Finalyse SA, FORTIS Bank & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(216K PDF) -- 14 pages -- July 29, 2008 Bankruptcy Prediction: The case of Japanese listed companies
by Ming Xu of the Hong Kong Polytechnic University, and
Chu Zhang of the Hong Kong University of Science & Technology
(336K PDF) -- 36 pages -- July 26, 2008 Determinants of Sovereign Risk: Macroeconomic fundamentals and the pricing of sovereign debt
by Jens Hilscher of Brandeis University, and
Yves Nosbusch of the London School of Economics
(413K PDF) -- 66 pages -- July 2008 Do Unsolicited Ratings Contain a Strategic Rating Component? Evidence from S&P
by Christina E. Bannier of Frankfurt School of Finance and Management,
Patrick Behr of Goethe-University Frankfurt, and
André Güttler of the International University, Rheingaustr
(238K PDF) -- 30 pages -- February 28, 2008 Flexing the Default Barrier
by Gregor Dorfleitner of Vienna University of Economics and Business Administration,
Paul Schneider of Vienna University of Economics and Business Administration, and
Tanja Veža of Vienna University of Economics and Business Administration
(7,397K PDF) -- 26 pages -- November 7, 2007 Volatility and Jump Risk Premia in Emerging Market Bonds
by John M. Matovu of Makerere University
(520K PDF) -- 27 pages -- July 2007 The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
by Martin Grandes of the the American University of Paris, and
Marcel Peter of Swiss National Bank
(338K PDF) -- 40 pages -- July 2007 Reverse Engineering Banks Financial Strength Ratings Using Logical Analysis of Data
by Peter L. Hammer of Rutgers University,
Alexander Kogan of Rutgers University, and
Miguel A. Lejeune of Carnegie Mellon University
(375K PDF) -- 31 pages -- January 2007 Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications
by Jorge A. Chan-Lau of the International Monetary Fund, and
Andre O. Santos of the International Monetary Fund
(513K PDF) -- 13 page -- December 2006 Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence
by Edward Altman of New York University
(190K PDF) -- 36 pages -- November 2006 The Pricing of Credit Default Swaps During Distress
by Jochen Andritzky of the International Monetary Fund, and
Manmohan Singh of the International Monetary Fund
(423K PDF) -- 25 pages -- November 2006 The Delivery Option in Credit Default Swaps
by Rainer Jankowitsch of Vienna University of Economics and Business Administration,
Rainer Pullirsch of the Bank Austria-Creditanstalt, and
Tanja Veža of Vienna University of Economics and Business Administration
(428K PDF) -- 33 pages -- October 18, 2006 The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model
by Andrea Resti of Bocconi University, and
Andrea Sironi of Bocconi University
(337K PDF) -- 35 pages -- May 2006 A New Risk Indicator and Stress Testing Tool: A Multifactor N th -to-Default CDS Basket
by Renzo G. Avesani of the International Monetary Fund,
Antonio García Pascual of the International Monetary Fund, and
Jing Li of the International Monetary Fund
(509K PDF) -- 25 pages -- April 2006 The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
by Edward I. Altman of New York University,
Brooks Brady of Standard & Poor's,
Andrea Resti of Bergamo University, and
Andrea Sironi of Bocconi University
(428K PDF) -- 26 pages -- November 2005 How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa
by Marcel Peter of Swiss National Bank, and
Martin Grandes of the American University of Paris
(928K PDF) -- 64 pages -- November 2005 Determinants of Spreads on Sovereign Bank Loans: The role of credit history
by Peter Benczur of Magyar Nemzeti Bank & Central European University, and
Cosmin Ilut of Northwestern University
(858K PDF) -- 29 pages -- November 2005 Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
by Doron Avramov of the University of Maryland,
Gergana Jostova of George Washington University, and
Alexander Philipov of American University
(268K PDF) -- 39 pages -- September 22, 2005 Overpricing in Emerging Market Credit-Default-Swap Contracts: Some evidence from recent distress cases
by Manmohan Singh of the International Monetary Fund, and
Jochen Andritzky of the International Monetary Fund
(367K PDF) -- 14 pages -- June 2005 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
by Didier Cossin of IMD International and FAME, and
Gero Jung of Fame, and the Graduate Institute of International Studies
(2,778K PDF) -- 35 pages -- March 2005 CDO rating methodology: Some thoughts on model risk and its implications
by Ingo Fender of the Bank for International Settlements, and
John Kiff of the Bank of Canada
(160K PDF) -- 31 pages -- November 2004 Determants of Euro Term Structure of Credit Spreads
by Astrid Van Landschoot of National Bank of Belgium & Ghent University
(1,204K PDF) -- 58 pages -- October 2004 Altman, Edward, Andrea Resti, and Andrea Sironi, " Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence", Economic Notes, Vol. 33, No. 2, (July 2004), pp. 183-208. Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
by Andrea Berardi of the University of Verona,
Stefania Ciraolo of the University of Leuven, and
Michele Trova of Monte Paschi A.M.
(640K PDF) -- 28 pages -- June 29, 2004 A Risk Management Approach to Emerging Markets Sovereign Debt Sustainability with an Application to Brazilian Data
by Márcio Gomes Pinto Garcia of Pontifícia Universidade Católica do Rio de Janeiro, and
Roberto Rigobon of the Massachusetts Institute of Technology
(433K PDF) -- 26 pages -- March 17, 2004 Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund, and
Yoon Sook Kim of the International Monetary Fund
(1,652K PDF) -- 31 pages -- February 2004 An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund,
Arnaud Jobert of the International Monetary Fund, and
Janet Kong of the International Monetary Fund
(470K PDF) -- 22 pages -- February 2004 Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000-2002
by Jochen R. Andritzky of the University of St. Gallen
(391K PDF) -- 28 pages -- January 28, 2004 A Multi-factor, Credit Migration Model for Sovereign and Corporate Debts
by Jason Z. Wei of the University of Toronto
(262K PDF) -- 27 pages -- October 2003 Recovery Rates from Distressed Debt - Empirical Evidence from Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings
by Manmohan Singh of the International Monetary Fund
(679K PDF) -- 25 pages -- August 2003 Anticipating Credit Events Using Credit Default Swaps, with an Application to Sovereign Debt Crises
by Jorge A. Chan-Lau of the International Monetary Fund
(609K PDF) -- 20 pages -- May 2003 Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is fixed-income markets information sufficient to evaluate credit risk
by Daniel Aunon-Nerin of the University of Lausanne & Fame,
Didier Cossin of HEC, University of Lausanne, IMD & Fame,
Tomas Hricko of HEC, University of Lausanne & Fame, and
Zhijiang Huang of the University of Lausanne & Fame
(2,407K PDF) -- 74 pages -- December 2002 Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
by Andrea Sironi of Bocconi University, and
Giampaolo Gabbi of the Universita di Siena
(182K PDF) -- 48 pages -- September 2002 Sironi, Andrea, " Strengthening banks' market discipline and leveling the playing field: Are the two compatible?", Journal of Banking & Finance, Vol. 26, No. 5, (May 2002), pp. 1065-1091. Is Banks' Cost of Equity Capital Different Across Countries? Evidence from the G10 Countries Major Banks
by Aurelio Maccario of the Università Luiss,
Andrea Sironi of the Università Bocconi, and
Cristiano Zazzara of the Università Luiss"
(357K PDF) -- 33 pages -- May 2002 Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina
by John J. Merrick, Jr. of New York University
(234K PDF) -- 19 pages -- October 2001 Sironi, Andrea, " An Analysis of European Banks' SND Issues and its Implications for the Design of a Mandatory Subordinated Debt Policy", Journal of Financial Services Research, Vol. 20, No. 2, (October 2001), pp. 233-266. Collin-Dufresne, Pierre and Bruno Solnik, " On the Term Structure of Default Premia in the Swap and LIBOR Markets", Journal of Finance, Vol. 56, No. 3, (June 2001), pp. 1095-1115. Hübner, Georges, " The Analytic Pricing of Asymmetric Defaultable Swaps", Journal of Banking & Finance, Vol. 25, No. 2, (February 2001), pp. 295-316. Morck, Randall, Bernard Yeung, and Wayne Yu, " The Information Content of Stock Markets: Why do emerging markets have synchronous stock price movements?", Journal of Financial Economics, Vol. 58, No. 1, (October 2000), pp. 215-260. Cossin, Didier and Hugues Pirotte, " How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?", European Financial Management, Vol. 4, No. 1, (March 1998), pp. 65-77.
[Home] [JEL Classification] | 
