JEL Classification C1 & C10
"Econometric and Statistical Methods: General"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C1 classification. (sorted by date) Castro, Carlos, "Confidence Sets for Asset Correlations in Portfolio Credit Risk", Revista de Economía del Rosario, Vol. 15, No. 1, (June 2012), pp. 19-58. Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
by Fabio Sigrist of ETH Zürich, and
Werner A. Stahel of ETH Zürich
(654K PDF) -- 39 pages -- May 30, 2012 Censored Gamma Regression Models for Limited Dependent Variables with an Application to Loss Given Default
by Fabio Sigrist of the ETH Zürich, and
Werner A. Stahel of the ETH Zürich
(352K PDF) -- 28 pages -- November 17, 2010 Simulation and Estimation of Loss Given Default
by Stefan Hlawatsche of Otto-von-Guericke University, Magdeburg, and
Sebastian Ostrowski of Otto-von-Guericke University, Magdeburg
(548K PDF) -- 38 pages -- March 2010 Jacobs, Jr., Michael, "Validation of Economic Capital Models: State of the practice, supervisory expectations and results from a bank study", Journal of Risk Management in Financial Institutions, Vol. 3, No. 4, (January 2010), pp. 334-365. Negative Probabilities in Financial Modeling
by Gunter Meissner of University of Hawaii, and
Mark Burgin of the University of California, Los Angeles
(152K PDF) -- 19 pages -- January 2010 Detecting Regime Shifts in Corporate Credit Spreads
by Georges Dionne of HEC Montreal,
Pascal François of HEC Montreal, and
Olfa Maalaoui of HEC Montreal
(314K PDF) -- 46 pages -- August 2009 Düllmann, Klaus and Nancy Masschelein, " A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios", Journal of Financial Services Research, Vol. 32, No. 1, (October 2007), pp. 55-79. Confidence Sets for Asset Correlation
by Delphine Cassart of the Universite Libre de Bruxelles,
Carlos Castro of the Universite Libre de Bruxelles,
Ronny Langendries of Dexia SA, and
Thomas Alderweireld of Dexia SA
(420K PDF) -- 31 pages -- July 6, 2007 Rating Philosophies: Some Clarifications
by Zoltan Varsanyi of the Magyar Nemzeti Bank
(245K PDF) -- 16 pages -- January 2007 From Fault Tree to Credit Risk Assessment: A Case Study
by Hayette Gatfaoui of the University of Technology, Sydney
(394K PDF) -- 32 pages -- September 2004 Cowan, Adrian M., Charles D. Cowan, "Default Correlation: An empirical investigation of a subprime lender", Journal of Banking & Finance, Vol. 28, No. 4, (April 2004), pp. 753-771. From Fault Tree to Credit Risk Assessment: An Empirical Attempt
by Hayette Gatfaoui of the University Paris I - Panthéon-Sorbonne
(322K PDF) -- 23 pages -- June 2003 Credit Risk Factor Modeling and the Basel II IRB Approach
by Alfred Hamerle of the University of Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Daniel Rösch of the University of Regensburg
(478K PDF) -- 32 pages -- 2003
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