JEL Classification C13
"Estimation: 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 C13 classification. (sorted by date) Validating Default Models when the Validation Data are Corrupted: Analytic results and bias corrections
by Roger M. Stein of Massachusetts Institute of Technology & State Street Corporation
(139K PDF) -- 61 pages -- July 13, 2013 The Art of PD Curve Calibration
by Dirk Tasche of Financial Services Authority, UK
(518K PDF) -- 36 pages -- January 24, 2013 Dynamics of Dependence in Collateralized Debt Obligations
by Barbara Choroś-Tomczyk of Humboldt-Universität, Berlin,
Wolfgang Karl Härdle of Humboldt-Universität, Berlin, and
Ludger Overbeck of Giessen University
(430K PDF) -- 17 pages -- August 12, 2011 Credit Rating Dynamics in the Presence of Unknown Structural Breaks
by Haipeng Xing of the State University of New York, Stony Brook,
Ning Sun of the State University of New York, Stony Brook, and
Ying Chen of MEAG New York Corp.
(294K PDF) -- 31 pages -- May 5, 2011 Drehmann, Mathias, Steffen Sorensen, Marco Stringa, "The Integrated Impact of Credit and Interest Rate Risk on Banks: A dynamic framework and stress testing application", Journal of Banking & Finance, Vol. 34, No. 4, (April 2010), pp. 713-729. 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 The Merton Structural Model and IRB Compliance
by Matej Jovan of the Bank of Slovenia
(233K PDF) -- 19 pages -- 2010 Factor Models and the Credit Risk of a Loan Portfolio
by Edgardo Palombini of Fondo Interbancario di Tutela dei Depositi (FITD)
(312K PDF) -- 23 pages -- October 2009 Systematic Risk of CDOs and CDO Arbitrage
by Alfred Hamerle of the University of Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Hans-Jochen Schropp of the University of Regensburg
(428K PDF) -- 52 pages -- October 2009 Crash Testing German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Martin Erdelmeier of Deutsche Bundesbank
(659K PDF) -- 37 pages -- September 2009 Estimating Discriminatory Power and PD Curves when the Number of Defaults is Small
by Dirk Tasche of Lloyds Banking Group
(802K PDF) -- 58 pages -- May 24, 2009 A Framework for Assessing the Systemic Risk of Major Financial Institutions
by Xin Huang of the University of Oklahoma,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(377K PDF) -- 44 pages -- April 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. Rating Philosophy and Dynamic Properties of Internal Rating Systems: A general framework and an application to backtesting
by Marco Morone of Intesa Sanpaolo, and
Anna Cornaglia of Intesa Sanpaolo
(284K PDF) -- 25 pages -- January 23, 2009 A Simple Robust Link Between American Puts and Credit Insurance
by Peter Carr of Bloomberg, L.P. & Courant Institute, and
Liuren Wu of Baruch College
(240K PDF) -- 36 pages -- May 7, 2008 An Empirical Evaluation of Structural Credit Risk Models
by Nikola A Tarashev of the Bank for International Settlements
(674K PDF) -- 53 pages -- March 2008 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007 Flexing the Default Barrier
by Gregor Dorfleitner of Vienna University of Economics and Business Administration,
Paul Schneider of Vienna University of Economics and Business Administration, and
Tanja Veža of Vienna University of Economics and Business Administration
(7,397K PDF) -- 26 pages -- November 7, 2007 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 Credit Rating Dynamics and Markov Mixture Models
by Halina Frydman of New York University, and
Til Schuermann of the Federal Reserve Bank of New York and University of Pennsylvania
(412K PDF) -- 32 pages -- August 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 (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
by Christian Gourieroux of CEPREMAP & the University of Toronto, and
Alain Monfort of CNAM
(533K PDF) -- 29 pages -- December 2006 The Delivery Option in Credit Default Swaps
by Rainer Jankowitsch of Vienna University of Economics and Business Administration,
Rainer Pullirsch of the Bank Austria-Creditanstalt, and
Tanja Veža of Vienna University of Economics and Business Administration
(428K PDF) -- 33 pages -- October 18, 2006 Default Estimation for Low Default Portfolios
by Nicholas M. Kiefer of Cornell University
(219K PDF) -- 28 pages -- August 2006 Validation of Internal Rating Systems and PD Estimates
by Dirk Tasche of Deutsche Bundesbank
(302K PDF) -- 27 pages -- June 7, 2006 Estimating Continuous Time Transition Matrices From Discretely Observed Data
by Yasunari Inamura of the Bank of Japan
(351K PDF) -- 41 pages -- April 2006 Nonparametric Estimation for Non-homogeneous semi-Markov Processes: An application to credit risk
by André Lucas of Vrije Universiteit Amsterdam,
André Monteiro of Vrije Universiteit Amsterdam, and
Georgi Smirnov of the University of Porto
(608K PDF) -- 43 pages -- March 13, 2006 Pricing Default Swaps: Empirical Evidence
by Patrick Houweling of Erasmus University Rotterdam and Rabobank Int'l, and
Ton Vorst of Erasmus University Rotterdam and ABN Amro
(437K PDF) -- 26 pages -- December 2005 Are European Corporate Bond and Default Swap Markets Segmented?
by Didier Cossin of IMD, Lausanne, and
Hongze Lu of IMD & HEC, University of Lausanne,
(291K PDF) -- 39 pages -- November 28, 2005 Time Series Properties of a Rating System based on Financial Ratios
by Ulrich Krüger of Deutsche Bundesbank,
Martin Stötzel of the Universität Karlsruhe, and
Stefan Trück of the Universität Karlsruhe
(926K PDF) -- 60 pages -- November 23, 2005 Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation
by João Eduardo Fernandes of Banco BPI
(668K PDF) -- 73 pages -- October 2005 On Sovereign Credit Migration: A study of alternative estimators and rating dynamics
by Ana-Maria Fuertes of the City University London, and
Elena Kalotychou of the City University London
(2,967K PDF) -- 39 pages -- February 2006 Comparing Possible Proxies of Corporate Bond Liquidity
by Patrick Houweling of Robeco Asset Management,
Albert Mentink of Erasmus University Rotterdam & AEGON Asset Management, and
Ton Vorst of Erasmus University Rotterdam Rotterdam & ABN Amro
(718K PDF) -- 41 pages -- June 2005 Credit Default Swap Prices as Risk Indicators of Large German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Agnieszka Sosinska of the Universität Frankfurt
(467K PDF) -- 33 pages -- June 2005 The Impact of Stock Returns Volatility on Credit Default Swap Rates: A copula study
by Fathi Abid of the University of Sfax, and
Nader Naifar of the University of Sfax
(304PDF) -- 23 pages -- May 2005 The Pricing of Unexpected Credit Losses
by Jeffery D. Amato of the Bank for International Settlements, and
Eli M. Remolona of the Bank for International Settlements
(254K PDF) -- 41 pages -- May 2005 Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation
by João Eduardo Fernandes of Banco BPI
(594K PDF) -- 70 pages -- April 2005 Modelling the Economic Value of Credit Rating Systems
by Rainer Jankowitsch of Vienna University of Economics and Business Administration, and
Stefan Pichler of Vienna University of Economics and Business Administration
(258K PDF) -- 38 pages -- March 2005 Renault, Olivier and Olivier Scaillet, " On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities" Journal of Banking & Finance, Vol. 28, No. 12, (December 2004), pp. 2915-2931. 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 Systematic Risk in Recovery Rates - An Empirical Analysis of U.S. Corporate Credit Exposures
by Klaus Düllmann Deutsche Bundesbank, and
Monika Trapp of the Universität Ulm
(430K PDF) -- 35 pages -- June 2004 Validating Default Probabilities on Short Time Series
by Stefan Blochwitz of Deutsche Bundesbank,
Stefan Hohl of the Bank for International Settlements,
Dirk Tasche of Deutsche Bundesbank, and
Carsten Wehn of Deutsche Bundesbank
(168K PDF) -- 11 pages -- May 7, 2004 Measurement, Estimation and Comparison of Credit Migration Matrices
by Yusuf Jafry of the Risk Integrated Group, and
Til Schuermann of the Federal Reserve Bank of New York
(389K PDF) -- 53 pages -- March 5, 2004 Valuing Euro Rating-Triggered Step-Up Telecom Bonds
by Patrick Houweling of Erasmus University,
Albert Mentink of Erasmus University & AEGON Asset Management, and
Ton Vorst of Erasmus University & ABN Amro
(935K PDF) -- 39 pages -- January 27, 2004 An Empirical Comparison of Default Swap Pricing Models
by Patrick Houweling of Erasmus University Rotterdam and Rabobank Int'l, and
Ton Vorst of Erasmus University Rotterdam and ABN Amro
(869K PDF) -- 49 pages -- November 14, 2003 Spectral Risk Measures for Credit Portfolios
by Claudio Albanese of the University of Toronto, and
Stephan Lawi of the University of Toronto & the National University of Singapore
(379K PDF) -- 17 pages -- April 15, 2003 An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
by Herman Bierens of Pennsylvania State University, and
Jing-zhi Huang of Pennsylvania State University & New York University
(422K PDF) -- 42 pages -- April 8, 2003 Metrics for Comparing Credit Migration Matrices
by Yusuf Jafry, and
Til Schuermann of the Federal Reserve Bank of New York
(610K PDF) -- 45 pages -- March 25, 2003 Tasche, Dirk and Luisa Tibiletti, "A Shortcut to Sign Incremental Value-at-Risk for Risk Allocation", Journal of Risk Finance, Vol. 4, No. 2, (2003), pp. 43-46. Estimation in the Continuous Time Mover-stayer Model with an Application to Bond Ratings Migration
by Halina Frydman of New York University, and
Ashay Kadam of the University of Michigan
(547K PDF) -- 24 pages -- December 19, 2002 Expected Shortfall and Beyond
by Dirk Tasche of Deutsche Bundesbank
(547K PDF) -- 24 pages -- October 20, 2002 Acerbi, Carlo and Dirk Tasche, "On the Coherence of Expected Shortfall", Journal of Banking & Finance, Vol. 26, No. 7, (July 2002), pp. 1487-1503. The Effects of Estimation Error on Measures of Portfolio Credit Risk
by Gunter Löffler of the University of Frankfurt
(249K PDF) -- 35 pages -- October 15, 2001 The Joint Estimation of Term Structures and Credit Spreads
by Patrick Houweling of Rabobank Int'l & the University Rotterdam,
Jaap Hoek of Robeco Group,
Frank Kleibergen of Erasmus University Amsterdam
(387K PDF) -- 27 pages -- March 21, 2001
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