the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search
JEL C0 & C00

Submit Your Paper

In Rememberance: World Trade Center (WTC)

JEL Classification C0 & C00
"General: Mathematical and Quantitative Methods"

These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C0 & C00 classifications.     (sorted by date)

Optimal Right and Wrong Way Risk
by Ignacio Ruiz of iRuiz Consulting,
Ricardo Pachon of Credit Suisse, and
Piero del Boca of Credit Suisse
(405K PDF) -- 27 pages -- April 2013

Fine-tuning the Equivalent Strike Framework for Bespoke CDO Pricing
by Moez Mrad of the Crédit Agricole Corporate and Investment Bank, and
Racem Triki of the Crédit Agricole Corporate and Investment Bank
(405K PDF) -- 20 pages -- March 30, 2011

Calculating Incremental Risk Charges: The effect of the liquidity horizon
by Jimmy Skoglund of SAS Institute Inc., and
Wei Chen of SAS Institute Inc.
(250K PDF) -- 15 pages -- June 30, 2010

Dynamic Copulas: Applications to finance and economics
by Daniel Totouom-Tangho of MINES ParisTech
(3,209K PDF) -- 158 pages -- November 6, 2007

Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
by David Wang of Hsuan Chuang University
(62K PDF) -- 10 pages -- February 2005

Arbitrage-Free Price Ranges for n th -to-Default Swaps
by Michael B. Walker of the University of Toronto
(141K PDF) -- 11 pages -- November 29, 2004

CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997

[Home] [JEL Classification]