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JEL Classification C31
"Multivariate: Cross-Sectional Models; Spatial Models"

These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C31 classification.     (sorted by date)

On Multivariate Extensions of Value-at-Risk
by Areski Cousin of Université Lyon 1, and
Elena Di Bernardino of CNAM
(380K PDF) -- 25 pages -- April 4, 2013

Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,106K PDF) -- 66 pages -- February 17, 2010

Comparison Results for Exchangeable Credit Risk Portfolios
by Areski Cousin of the University of Lyon, and
Jean-Paul Laurent of the University of Lyon & BNP Paribas
(318K PDF) -- 23 pages -- March 5, 2008

Beyond the Gaussian Copula: Stochastic and local correlation
by Xavier Burtschell of BNP Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of ISFA Actuarial School, University of Lyon
(445K PDF) -- 27 pages -- January 2007

A Unified Approach to Credit Default Swaption and Constant Maturity Credit Default Swap Valuation
by Martin Krekel of HypoVereinsbank, and
Jorg Wenzel of Fraunhofer ITWM
(774K PDF) -- 57 pages -- October 12, 2006

Factors Affecting the Yields on Noninvestment Grade Bond Indices: a cointegration analysis
by Theodore M. Barnhill, Jr. of  George Washington University,
Frederick L. Joutz of George Washington University, and
William F. Maxwell of Texas Tech University
(213K PDF) -- 30 pages -- May 2000

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