These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C41 classification. (sorted by date) Lando, David, Mamdouh Medhat, Mads Stenbo Nielsen, Søren Feodor Nielsen, "Additive Intensity Regression Models in Corporate Default Analysis", Forthcoming: Journal of Financial Econometrics, (2013). Default Probability Estimation in Small Samples: With an application to sovereign bonds
by Walter Orth of University of Cologne
(256K PDF) -- 24 pages -- February 9, 2012 Exploring the Sources of Default Clustering
by Shahriar Azizpour of Stanford University,
Kay Giesecke of Stanford University, and
Gustavo Schwenkler of Stanford University
(2.691K PDF) -- 28 pages -- January 10, 2012 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 The Predictive Accuracy of Credit Ratings: Measurement and Statistical Inference
by Walter Orth of the University of Cologne
(272K PDF) -- 20 pages -- February 16, 2011 Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
by Yuri Katz of Qubit Technology Center, and
Nikolai Shokhirev of Qubit Technology Center
(2,891K PDF) -- 34 pages -- June 2010 Güttler, André and Peter Raupach, "The Impact of Downward Rating Momentum", Journal of Financial Services Research, Vol. 37, No. 1, (February 2010), pp. 1-23. Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 2009 Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
by Sanjiv R. Das of Santa Clara University,
Paul Hanouna of Villanova University, and
Atulya Sarin of Santa Clara University
(380K PDF) -- 12 pages -- April 2009 Hedging Credit: Equity liquidity matters
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(209K PDF) -- 12 pages -- January 2009 A Likelihood Ratio Test for Stationarity of Rating Transitions
by Rafael Weißbach of the Technische Universität Dortmund, and
Ronja Walter of the Technische Universität Dortmund
(252K PDF) -- 23 pages -- November 27, 2008 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 Credit Risk Drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
by Diana Bonfim of Banco de Portugal
(558K PDF) -- 48 pages -- March 2007 Multi-Period Corporate Failure Prediction With Stochastic Covariates
by Darrell Duffie of Stanford University,
Leandro Saita of Stanford University, and
Ke Wang of the University of Tokyo
(482K PDF) -- 32 pages -- March 2007 Bank Failure Prediction: A Two-Step Survival Time Approach
by Michael Halling of the University of Vienna, and
Evelyn Hayden of the Austrian National Bank
(1,244K PDF) -- 31 pages -- May 2006 Affine Models for Credit Risk Analysis
by Christian Gouriéroux of CREST & CEPREMAP & the University of Toronto,
Alain Monfort of CNAM & CREST, and
Vassilis Polimenis of the University of California, Riverside
(328K PDF) -- 37 pages -- April 20, 2006 Corporate Credit Risk Modeling and the Macroeconomy
by Kenneth Carling of IFAU and Dalarna University,
Tor Jacobson of Riksbank,
Jesper Lindé of Riksbank, and
Kasper Roszbach Riksbank
(531K PDF) -- 29 pages -- April 5, 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 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 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 Time-to-Default: Life Cycle, Global and Industry Cycle Impacts
by Fabien Couderc of FAME and the University of Geneva, and
Olivier Renault of FERC, Warwick Business School
(490K PDF) -- 44 pages -- February 9, 2005 Predicting and Pricing the Probability of Default
by Alessio A. Saretto of the University of California Los Angeles
(311K PDF) -- 41 pages -- August 4, 2004 Business Failure in UK and US Quoted Firms: Impact of Macroeconomic Instability and the Role of Legal Institutions
by Arnab Bhattacharjee of the University of Cambridge,
C. Higson of the London Business School,
Sean Holly of the University of Cambridge, and
P. Kattuman of the University of Cambridge
(1,165K PDF) -- 42 pages -- March 17, 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 Hillegeist, Stephen A., Elizabeth K. Keating, Donald P. Cram, and Kyle G. Lundstedt, " Assessing the Probability of Bankruptcy", Review of Accounting Studies, Vol. 9, No. 1, (March 2004), pp. 5-34. Forecasting Credit Portfolio Risk
by Alfred Hamerle of the Universität Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Harald Scheule of the Universität Regensburg
(335K PDF) -- 44 pages -- February 2004 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 Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy
by Kenneth Carling of Sveriges Riksbank,
Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(1,629K PDF) -- 54 pages -- September 2002 Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms
by Arnab Bhattacharjee of the Reserve Bank of India,
Chris Higson of London Business School,
Sean Holly of the University of Cambridge, and
P. Kattuman of the University of Cambridge
(736K PDF) -- 34 pages -- March 5, 2002 Lando, David and Torben Magaard Skødeberg, " Analyzing Rating Transitions and Rating Drift with Continuous Observations", Journal of Banking & Finance, Vol. 26, No. 2-3, (March 2002), pp. 423-444. Analysis of Length of Time Spent in Chapter 11 Bankruptcy
by Jesus Orbe of the Universidad del Pais Vasco,
Eva Ferreira of the Universidad del Pais Vasco, and
Vicente Núñez-Antón of the Universidad del Pais Vasco
(201K PDF) -- 20 pages -- January 9, 2001 On Default Correlation: A copula function approach
by David X. Li of The RiskMetrics Group
(219K PDF) -- 12 pages -- March 2000 Li, Kai, " Bayesian Analysis of Duration Models: An Application to Chapter 11 Bankruptcy", Economics Letters, Vol. 63, No. 3, (June 1999), pp. 305-312. The Resolution of Financial Distress
by Ronald M. Giammarino of the University of British Columbia
(256K PDF) -- 23 pages -- 1989
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