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 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, Eindhoven, 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. [Abstract]
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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