These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C02 classification. (sorted by date)
Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009
A Model of Returns for the Post-Credit-Crunch Reality: Hybrid Brownian motion with price feedback
by William T. Shaw of King's College London
(439K PDF) -- 31 pages -- August 30, 2009
Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of Macquarie University, and
Thorsten Schmidt of of Chemnitz University of Technology
(265K PDF) -- 16 pages -- April 14, 2009
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
by Yadong Li of Barclays Capital
(301K PDF) -- 17 pages -- April 2, 2009
A Comparative Analysis of CDO Pricing Models
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009
Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks
by Olli Castrén of the European Central Bank,
Trevor Fitzpatrick of the European Central Bank, and
Matthias Sydow of the European Central Bank
(1,811K PDF) -- 38 pages -- February 2009
Implied Market Loss Given Default in the Czech Republic: Structural-model approach
by Jakub Seidler of Czech National Bank & Charles University in Prague, and
Petr Jakubík of Czech National Bank & Charles University in Prague
(515K PDF) -- 21 pages -- January 2009
Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
by Alexander Herbertsson of the University of Gothenburg
(409K PDF) -- 31 pages -- July 14, 2008
Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008
Valuzis, Mantas, "On the Probabilities of Correlated Defaults: a First Passage Time Approach", Nonlinear Analysis: Modelling and Control, Vol. 13, No. 1, (March 2008), pp. 117-133.
Modeling of CPDOs Identifying Optimal and Implied Leverage
by Jochen Dorn of the Université Paris1 Panthéon-Sorbonne
(738K PDF) -- 26 pages -- November 2007
Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,544K PDF) -- 25 pages -- October 2007
Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
by Alexander Herbertsson of Göteborg University, and
Holger Rootzen of Chalmers University of Technology
(448K PDF) -- 27 pages -- November 27, 2006
Dionne, Georges, Manuel Artís, and Montserrat Guillén, "Count Data Models for a Credit Scoring System", Journal of Empirical Finance, Vol. 3, No. 3, (September 1996), pp. 303-325. [Abstract]
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