JEL Classification C32
"Multivariate: Time-Series 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 C32 classification. (sorted by date) Market-based Credit Ratings
by Drew S. Creal of University of Chicago,
Robert B. Gramacy of University of Chicago, and
Ruey S. Tsay of University of Chicago
(887K PDF) -- 31 pages -- September 24, 2012 Conditional Probabilities for Euro area Sovereign Default Risk
by André Lucas of VU University Amsterdam & Duisenberg School of Finance,
Bernd Schwaab of European Central Bank, and
Xin Zhang of VU University Amsterdam & Tinbergen Institute
(256K PDF) -- 24 pages -- June 28, 2012 Observation Driven Mixed-measurement Dynamic Factor Models with an Application to Credit Risk
by Drew Creal of the University of Chicago,
Bernd Schwaab of the European Central Bank,
Siem Jan Koopman of the VU University Amsterdam & Tinbergen Institute, Amsterdam, and
André Lucas of the European Central Bank & Tinbergen Institute, Amsterdam
(373K PDF) -- 21 pages -- February 11, 2011 Castrén, Olli, Stéphane Dées, Fadi Zaher, "Stress-testing Euro Area Corporate Default Probabilities using a Global Macroeconomic Model", Journal of Financial Stability, Vol. 6, No. 2, (June 2010), pp. 64-78. 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 On Correlation and Default Clustering in Credit Markets
by Antje Berndt of Carnegie Mellon University,
Peter Ritchken of Case Western Reserve University, and
Zhiqiang Sun of Fifth Third Asset Management
(738K PDF) -- 53 pages -- October 25, 2009 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 Credit Spread Changes within Switching Regimes
by Olfa Maalaoui of HEC Montreal,
Georges Dionne of HEC Montreal, and
Pascal François of HEC Montreal
(314K PDF) -- 52 pages -- February, 12, 2009 On Correlation Effects and Default Clustering in Credit Models
by Antje Berndt of Carnegie Mellon University,
Peter Ritchken of Case Western Reserve University, and
Zhiqiang Sun of Case Western Reserve University
(902K PDF) -- 57 pages -- September 2008 Credit Default Swap Spreads and US Financial Market: Investigating some dependence structure
by Hayette Gatfaoui of Rouen School of Management
(581K PDF) -- 27 pages -- September 2007 Migration Dependence Among the US Business Sectors
by Oussama Chakroun of HEC Montréal
(772K PDF) -- 31 pages -- June 20, 2007 Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
by Tomoaki Shouda of Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd and Hitotsubashi University
(2,907K PDF) -- 34 pages -- January 16, 2006 Global Business Cycles and Credit Risk
by M. Hashem Pesaran of the University of Cambridge,
Til Schuermann of the Federal Reserve Bank of New York and Wharton Financial Institutions Center, and
Björn-Jakob Treutler of Mercer Oliver Wyman
(837K PDF) -- 61 pages -- September 2005 A Structural Credit-Risk Model based on a Jump Diffusion
by Matthias Scherer of the University of Ulm
(277K PDF) -- 28 pages -- December 2, 2005 Macroeconomic Dynamics and Credit Risk: A Global Perspective
by M. Hashem Pesaran of the University of Cambridge & USC,
Til Schuermann of the Federal Reserve Bank of New York & Wharton University,
Björn-Jakob Treutler of Mercer Oliver Wyman & WHU, and
Scott M. Weiner of the University of Oxford
(921K) -- 60 pages -- April 12, 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 A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
by Robert J. Daniels of KPMG Mexico,
Siem Jan Koopman of Vrije Universiteit and Tingergen Institute Amsterdam, and
André Lucas of Tingergen Institute Amsterdam
(651K PDF) -- 32 pages -- January 31, 2005 How Does Systematic Risk Impact US Credit Spreads? A Copula Study
by Hayette Gatfaoui of the University Paris I - Panthéon-Sorbonne
(547K PDF) -- 27 pages -- June 2003
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