JEL Classification C1
"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) 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 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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