JEL Classification C51
"Model Construction and Estimation"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C51 classification. (sorted by date) Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
by Sebastian Löhr of Leibniz University of Hannover,
Olga Mursajew of Leibniz University of Hannover,
Daniel Rösch of Leibniz University of Hannover, and
Harald Scheule of University of Technology, Sydney
(215K PDF) -- 23 pages -- June 28, 2012 Sovereign Correlations in Recent Recessions
by Taehan Bae of University of Regina, and
Ian Iscoe of Algorithmics Inc, an IBM Company
(318K PDF) -- 11 pages -- March 2012 A New Method to Estimate the Risk of Financial Intermediaries
by Manthos D. Delis of City University, London, and
Efthymios Tsionas of Athens University of Economics and Business
(260K PDF) -- 21 pages -- November 15, 2011 Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and evidence on the credit default swap term structure
by Ren-Raw Chen of Fordham University,
Xiaolin Chen of Morgan Stanley, and
Liuren Wu of the City University of New York
(256K PDF) -- 24 pages -- September 2011 The Role of Stress Testing in Credit Risk Management
by Roger M. Stein of the Moody's Research Labs
(272K PDF) -- 20 pages -- June 15, 2011 Capital Incentives and Adequacy for Securitizations
by Daniel Rösch of Leibniz University of Hannover, and
Harald Scheule of University of Technology, Sydney
(379K PDF) -- 52 pages -- June 2011 Default and Recovery Risk Dependencies in a Simple Credit Risk Model
by Benjamin Bade of the University of Hannover,
Daniel Rösch of the University of Hannover, and
Harald Scheule of the University of Melbourne
(618K PDF) -- 16 pages -- January 2011 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010 Bank Loan Recovery Rates: Measuring and nonparametric density estimation
by Raffaella Calabrese of the University of Milano-Bicocca, and
Michele Zenga of the University of Milano-Bicocca
(392K PDF) -- 9 pages -- May 2010 Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Credit Default Swaps Liquidity Modeling: A survey
by Damiano Brigo of Imperial College,
Mirela Predescu of Lloyds TSB, and
Agostino Capponi of the California Institute of Technology
(436K PDF) -- 36 pages -- March 20, 2010 Economic Capital for Nonperforming Loans
by Rafael Weißbach of the Universität Rostock, and
Carsten von Lieres und Wilkau of the WestLB AG
(251K PDF) -- 26 pages -- March 2010 A Note on Construction of Multiple Swap Curves with and without Collateral
by Masaaki Fujii of the University of Tokyo,
Yasufumi Shimada of Shinsei Bank, Limited, and
Akihiko Takahashi of the University of Tokyo
(179K PAGES) -- 21 pages -- January 25, 2010 Clustered Defaults
by Jin-Chuan Duan of the National University of Singapore
(371K PDF) -- 31 pages -- December 17, 2009 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 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 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of the University of Warwick,
Leopold Sögner of Institute for Advanced Studies, Vienna, and
Tanja Veža of Vienna University of Economics and Business
(498K PDF) -- 60 pages -- May 14, 2009 International Banks' Ratings with an Indicator Variable for Country Effects
by Roman Matousek of London Metropolitan University,
Chris Stewart of London Metropolitan University, and
Gary van Vuuren of Fitch Ratings
(220K PDF) -- 19 pages -- May 2009 Specification Analysis of Structural Credit Risk Models
by Jing-zhi Huang of Pennsylvania State University, and
Hao Zhou of the Federal Reserve Board
(338K PDF) -- 44 pages -- October 2008 Graphical Models for Correlated Defaults
by I. Onur Filiz of the University of California, Berkeley,
Xin Guo of the University of California, Berkeley,
Jason Morton of the University of California, Berkeley, and
Bernd Sturmfels of the University of California, Berkeley
(866K PDF) -- 30 pages -- September 21, 2008 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 A Simple Robust Link Between American Puts and Credit Insurance
by Peter Carr of Bloomberg, L.P. & Courant Institute, and
Liuren Wu of Baruch College
(240K PDF) -- 36 pages -- May 7, 2008 Hamerle, Alfred, Daniel Rösch, "Parameterizing Credit Risk Models", Journal of Credit Risk, Vol. 2, No. 4, (Winter 2006/2007), pp. 101-122. Ebnöther, Silvan, Paolo Vanini, "Credit Portfolios: What defines risk horizons and risk measurement?", Journal of Banking & Finance, Vol. 31, No. 12, (December 2007), pp. 3663-3679. Pricing Tranched Credit Products with Generalized Multifactor Models
by Manuel Moreno of the University of Castilla La-Mancha,
Juan Ignacio Peña of Universidad Carlos III, Madrid, and
Pedro Serrano of the University of Basque Country
(420K PDF) -- 44 pages -- May 2007 Rösch, Daniel and Harald Scheule, " Stress-Testing Credit Risk Parameters: An application to retail loan portfolios", Journal of Risk Model Validation, Vol. 1, No. 1, (Spring 2007), pp. 55-75. Valuation of Risky Debt: a Multi-Period Bayesian Framework
by Leonid V. Philosophov of the Moscow Committee of Bankruptcy Affairs
(317K PDF) -- 22 pages -- March 26, 2007 Estimating Credit Contagion in a Standard Factor Model
by Daniel Rösch of the University of Regensburg, and
Birker Winterfeldt of the University of Regensburg
(253K PDF) -- 16 pages -- January 30, 2007 Arbitrage Pricing of Single-Name Credit Derivatives
by Lixin Wu of the Hong Kong University of Science & Technology
(163K PDF) -- 20 pages -- January 26, 2006 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 From Default Probabilities to Credit Spreads: Credit risk models do explain market prices
by Stefan M. Denzler of Converium Ltd.,
Michel M. Dacorogna of Converium Ltd.,
Ulrich A. Müller of Converium Ltd., and
Alexander J. McNeil of Swiss Federal Institute of Technology (ETH)
(408K PDF) -- 18 pages -- March 22, 2005 On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
by Rafael Weissbach of the University of Dortmund, and
Carsten von Lieres und Wilkau of WestLB AG
(164K PDF) -- 27 pages -- December 23, 2005 A Multifactor Approach for Systematic Default and Recovery Risk
by Daniel Rösch of the University of Regensburg, and
Harald Scheule of the University of Melbourne
(320K PDF) -- 32 pages -- September 2005 Testing Homogeneity of Time-Continuous Rating Transitions
by Rafael Weißbach of Dortmund University of Technology,
Patrick Tschiersch of WestLB, and
Claudia Lawrenz of WestLB
(244K PDF) -- 20 pages -- August 23, 2005 Credit Scoring and the Sample Selection Bias
by Thomas Parnitzke of the University of St. Gallen
(179K PDF) -- 21 pages -- May 31, 2005 Renault, Olivier and Olivier Scaillet, " On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities" Journal of Banking & Finance, Vol. 28, No. 12, (December 2004), pp. 2915-2931. Assessing Credit Loss Distributions: Bayesian Multi-Period Model vs. Basel II Model
by Leonid V. Philosophov of Moscow Committee of Bankruptcy Affairs
(405K PDF) -- 25 pages -- August 9, 2004 Structural Models in Consumer Credit
by Fabio Wendling Muniz de Andrade of EAESP-FGV / SERASA - Brazil, and
Lyn Thomas of the University of Southampton
(183K PDF) -- 29 pages -- July 2004 Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany
by Daniel Rösch of the University of Regensburg
(293K PDF) -- 30 pages -- November 2002 From Value at Risk to Stress Testing: The Extreme Value Approach
by François M. Longin of the Cergy-Pontoise Cedex
(498K PDF) -- 34 pages -- July 2000 Anderson, Ronald, Suresh Sundaresan, " A Comparative Study of Structural Models of Corporate Bond Yields: An exploratory investigation", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 255-269.
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