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JEL Classification C46
"Specific Distributions"

These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C46 classification.     (sorted by date)

An Empirical Comparison of Alternative Credit Default Swap Pricing Models
by Michele Leonardo Bianchi of Bank of Italy
(1533K PDF) -- 64 pages -- September 2012

A Hierarchical Model of Tail Dependent Asset Returns for Assessing Portfolio Credit Risk
by Natalia Puzanova of Deutsche Bundesbank
(711K PDF) -- 56 pages -- December 2011

A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling
by Natalia Puzanova of Deutsche Bundesbank
(570K PDF) -- 33 pages -- November 2011

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

A Model of Returns for the Post-Credit-Crunch Reality: Hybrid Brownian motion with price feedback
by William T. Shaw of King's College London
(439K PDF) -- 31 pages -- August 30, 2009

Properties of Hierarchical Archimedean Copulas
by Ostap Okhrin of Humboldt-Universitšt zu Berlin,
Yarema Okhrin of the University of Bern, and
Wolfgang Schmid of the European University Viadrina
(498K PDF) -- 50 pages -- March 5, 2009

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