JEL Classification C14
"Semi-parametric and Nonparametric 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 C14 classification. (sorted by date) Wozabal, David, Ronald Hochreiter, "A Coupled Markov Chain Approach to Credit Risk Modeling", Journal of Economic Dynamics and Control, Vol. 36, No. 3, (March 2012), pp. 403-415. The Riskiness of Risk Models
by Christophe M. Boucher of the ABN AMRO & Université Panthéon-Sorbonne - Paris I, and
Bertrand B. Maillet of the ABN AMRO & University of Paris-1
(423K PDF) -- 14 pages -- March 2011 Witzany, Jiří, "Estimating LGD Correlation", IUP Journal of Financial Risk Management, Vol. 52, No. 4, (December 2010), pp. 73-83. A Non-parametric Approach to Incorporating Incomplete Workouts into Loss Given Default Estimates
by Grazia Rapisarda of the Royal Bank of Scotland, and
David Echeverry of the Royal Bank of Scotland
(452K PDF) -- 16 pages -- November 16, 2010 Bank Loan Recovery Rates: Measuring and nonparametric density estimation
by Raffaella Calabrese of the University of Milano-Bicocca, and
Michele Zenga of the University of Milano-Bicocca
(392K PDF) -- 9 pages -- May 2010 Witzany, Jiří, "Unexpected Recovery Risk and LGD Discount Rate Determination", European Financial and Accounting Journal, Vol. 4, No. 1, (2009), pp. 61-84. Financial and Economic Determinants of Firm Default
by Giulio Bottazzi of Scuola Superiore Sant'Anna,
Marco Grazzi of Scuola Superiore Sant'Anna,
Angelo Secchi of the Università di Pisa, and
Federico Tamagni of Scuola Superiore Sant'Anna
(411K PDF) -- 29 pages -- October 19, 2009 Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
by Igor Halperin of JP Morgan
(638K PDF) -- 41 pages -- October 14, 2009 Climbing Down from the Top: Single name dynamics in credit top down models
by Igor Halperin of JP Morgan, and
Pascal Tomecek of JP Morgan
(847) -- 34 pages -- January 22, 2009 Capital Allocation for Credit Portfolios with Kernel Estimators
by Dirk Tasche of Lloyds Banking Group
(366K PDF) -- 21 pages -- November 2007 Estimating Probabilities of Default With Support Vector Machines
by Wolfgang K. Härdle of Humboldt-Universität zu Berlin,
Rouslan A. Moro of Humboldt-Universität zu Berlin, and
Dorothea Schäfer of the German Institute for Economic Research
(742K PDF) -- 24 pages -- May 27, 2007 BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
by Matthias Arnsdorf of JP Morgan, and
Igor Halperin of JP Morgan
(845K PDF) -- 42 pages -- March 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 Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
by Benjamin Yibin Zhang of Fitch Ratings,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(376K PDF) -- 50 pages -- December 2006 Predicting Sovereign Debt Crises Using Artificial Neural Networks: A comparative approach
by Marco Fioramanti of the Istituto di Studi e Analisi Economica - (ISAE)
(323K PDF) -- 32 pages -- October 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 Graphical Data Representation in Bankruptcy Analysis
by Wolfgang K. Härdle of Humboldt-Universität zu Berlin,
Rouslan A. Moro of Humboldt-Universität zu Berlin, and
Dorothea Schäfer of the German Institute for Economic Research
(1,961K PDF) -- 24 pages -- February 24, 2006 New Families of Copulas Based on Periodic Functions
by Aurélien Alfonsi of Ecole Nationale des Ponts et Chaussées, and
Damiano Brigo of Banca IMI
(162K PDF) -- 17 pages -- December 19, 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 Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms
by Benjamin Yibin Zhang of Fitch Ratings,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(370K PDF) -- 45 pages -- September 2005 Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(763K PDF) -- 29 pages -- August 1, 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 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
(382K PDF) -- 28 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 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 Comparing Possible Proxies of Corporate Bond Liquidity
by Patrick Houweling of Erasmus University and Rabobank International,
Albert Mentink of Erasmus University and AEGON Asset Management, and
Ton Vorst of Erasmus University Rotterdam and ABN Amro
(718K PDF) -- 41 pages -- April 16, 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 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 The Effects of Estimation Error on Measures of Portfolio Credit Risk
by Gunter Löffler of the University of Frankfurt
(496K PDF) -- 27 pages -- August 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 and 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 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 The Joint Estimation of Term Structures and Credit Spreads
by Patrick Houweling of Rabobank Int'l and 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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