JEL Classification C53
"Forecasting and Other Model Applications"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C53 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 Volatility, Correlation and Tails for Systemic Risk Measurement
by Christian T. Brownlees of the New York University, and
Robert Engle of the New York University
(1,069K PDF) -- 37 pages -- June 2011 A Comparative Analysis of Correlation Approaches in Finance
by Claudio Albanese of the Independent Consultant at Level 3 Finance,
David Li of the China International Capital Corporation, Ltd,
Edgar Lobachevskiy of the Alphametrix, and
Gunter Meissner of the University of Hawaii
(1072K PDF) -- 52 pages -- January 10, 2011 Credit Risk Models for Managing Bank's Agricultural Loan Portfolio
by Arindam Bandyopadhyay of the National Institute of Bank Management, Pune, India
(379K PDF) -- 19 pages -- October 12, 2007 Country Default Probabilities: Assessing and Backtesting
by Stefan Huschens of the Technische Universität Dresden,
Alexander Karmann of the Technische Universität Dresden,
Dominik Maltritz of the Technische Universität Dresden, and
Konstantin Vogl of the Technische Universität Dresden
(263K PDF) -- 20 pages -- September 1, 2006 Fundamentals-Based Estimation of Default Probabilities: A Survey
by Jorge A. Chan-Lau of the International Monetary Fund
(425K PDF) -- 20 pages -- June 2006 Lucas, André, Pieter Klaassen, "Discrete versus Continuous State Switching Models for Portfolio Credit Risk", Journal of Banking & Finance, Vol. 30, No. 1, (January 2006), pp. 23-35. 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 An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
by Herman Bierens of Pennsylvania State University, and
Jing-zhi Huang of Pennsylvania State University & New York University
(422K PDF) -- 42 pages -- April 8, 2003 The Empirical Performance of Alternative Extreme Value Volatility Estimators
by Kai Li of New York University, and
David Weinbaum of New York University
(217K PDF) -- 43 pages -- December 20, 2000 CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997
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