These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C11 classification. (sorted by date) Default Probability Estimation in Small Samples: With an application to sovereign bonds
by Walter Orth of University of Cologne
(256K PDF) -- 24 pages -- February 9, 2012 Exploring the Sources of Default Clustering
by Shahriar Azizpour of Stanford University,
Kay Giesecke of Stanford University, and
Gustavo Schwenkler of Stanford University
(2.691K PDF) -- 28 pages -- January 10, 2012 Portfolio Optimization in Defaultable Markets under Incomplete Information
by Giorgia Callegaro of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne, and
Wolfgang Runggaldier of the University of Padova
(377K PDF) -- 20 pages -- August 9, 2010 Credit Risk Premia and Quadratic BSDEs with a Single Jump
by Stefan Ankirchner of the Universtät Bonn,
Christophette Blanchet-Scalliet of the Université de Lyon, and
Anne Eyraud-Loisel of the Université Lyon 1
(303K PDF) -- 27 pages -- June 8, 2010 An Econometric Model to Quantify Benchmark Downturn LGD on Residential Mortgages
by Marco Morone of Intesa Sanpaolo, and
Marco Cornaglia of Intesa Sanpaolo
(499K PDF) -- 28 pages -- May 28, 2010 An Extended Macro-finance Model with Financial Factors
by Hans Dewachter of the University of Leuven & Erasmus University, and
Leonardo Iania of the University of Leuven
(599K PDF) -- 58 pages -- November 2009 Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 2009 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of the University of Warwick,
Leopold Sögner of Institute for Advanced Studies, Vienna, and
Tanja Veža of Vienna University of Economics and Business
(498K PDF) -- 60 pages -- May 14, 2009 Measuring Portfolio Credit Risk Correctly: Why parameter uncertainty matters
by Nikola A Tarashev of the Bank for International Settlements
(423K PDF) -- 43 pages -- April 3, 2009 Stefanescu, Catalina, Radu Tunaru, Stuart M. Turnbull, "The Credit Rating Process and Estimation of Transition Probabilities: A Bayesian approach", Journal of Empirical Finance, Vol. 16, No. 2, (March 2009), pp. 216-234. Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration
by Ashay Kadam of City University, London, and
Peter Lenk of the University of Michigan
(273K PDF) -- 46 pages -- September 7, 2007 Valuation of Risky Debt: a Multi-Period Bayesian Framework
by Leonid V. Philosophov of the Moscow Committee of Bankruptcy Affairs
(317K PDF) -- 22 pages -- March 26, 2007 Default Estimation for Low Default Portfolios
by Nicholas M. Kiefer of Cornell University
(219K PDF) -- 28 pages -- August 2006 Multi-period Bayesian Bankruptcy Prediction: Using financial ratios and the maturity schedule of long-term debt
by Leonid Philosophov of the Moscow Committee of Bankruptcy Affairs,
Jonathan Batten of Macquarie University, and
Vladimir Philosophov (Independent)
(1,208K PDF) -- 34 pages -- January 5, 2006 Bayesian Methods for Improving Credit Scoring Models
by Gunter Löffler of the University of Ulm,
Peter N. Posch of the University of Ulm, and
Christiane Schöne of the University of Ulm
(222K PDF) -- 26 pages -- May 31, 2005 Assessing Credit Loss Distributions: Bayesian Multi-Period Model vs. Basel II Model
by Leonid V. Philosophov of Moscow Committee of Bankruptcy Affairs
(405K PDF) -- 25 pages -- August 9, 2004 The Resolution of Financial Distress
by Ronald M. Giammarino of the University of British Columbia
(256K PDF) -- 23 pages -- 1989
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