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| | JEL Classification C35
"Multivariate: Discrete Regression and Qualitative Choice 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 C35 classification. (sorted by date) Pricing Tranched Credit Products with Generalized Multifactor Models
by Manuel Moreno of Universidad Carlos III, Madrid,
Juan Ignacio Peńa of Universidad Carlos III, Madrid, and
Pedro Serrano of the University of Basque Country
(420K PDF) -- 44 pages -- May 2007 Is Firm Interdependence within Industries Important for Portfolio Credit Risk?
by Kenneth Carling of IFAU, Uppsala, Sweden, & Dalarna University,
Lars Rönnegĺrd of Uppsala University, and
Kasper Roszbach of Sveriges Riksbank
(388K PDF) -- 33 pages -- January 22, 2007 Dependent Credit Migrations
by Jonathan Wendin of ETH Zürich, and
Alexander J. McNeil of ETH Zürich
(261K PDF) -- 25 pages -- July 2006 Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies?
by Christophe J. Godlewski of LaRGE, Université Robert Schuman
(187K PDF) -- 27 pages -- August 31, 2004 Equity and Bond Market Signals as Leading Indicators of Bank Fragility
by Reint Gropp at the European Central Bank,
Jukka Vesala at UniCredit Banca d.Impresa, and
Giuseppe Vulpes at Kaiserstrasse
(233K PDF) -- 34 pages -- June 2004 Bank Lending Policy, Credit Scoring and Value at Risk
by Tor Jacobson of Sveriges Riksbank, and
Kasper Roszbach of the Stockholm School of Economics
(164K PDF) -- 19 pages -- April 2003 Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market
by Evelyn Hayden of the University of Vienna
(604K PDF) -- 44 pages -- February 2003 Moody's RiskCalc™ for Private US Banks
by Ahmet E. Kocagil of Moodys|KMV,
Alexander Reyngold of Moody's|KMV
Roger M. Stein of Moody's|KMV, and
Eduardo Ibarra of Moody's|KMV
(666K PDF) -- 28 pages -- July 2002 A Model of Bankruptcy Prediction
by Eivind Bernhardsen of the Norges Bank
(545K PDF) -- 54 pages -- December 5, 2001 Bank Lending Policy, Credit Scoring and Loan Survival
by Kasper Roszbach of the Stockholm School of Economics
(1,031K PDF) -- 28 pages -- September 17, 1998
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