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-Universität 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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