These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C58 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 Lesplingart, Clothilde, Christophe Majois, Mikael Petitjean, "Liquidity and CDS Premiums on European Companies Around the Subprime Crisis ", Review of Derivatives Research, Vol. 15, No. 3, (October 2012), pp. 257-281. Aggregating Credit and Market Risk: The Impact of Model Specification
by André Lucas of VU University Amsterdam & Tinbergen Institute, and
Bastiaan Verhoef of Royal Bank of Scotland
(385K PDF) -- 33 pages -- May 29, 2012 Managing Risk Exposures using the Risk Budgeting Approach
by Benjamin Bruder of Lyxor Asset Management, and
Thierry Roncalli of Lyxor Asset Management
(1408K PDF) -- 33 pages -- March 2012 Managing Sovereign Credit Risk in Bond Portfolios
by Benjamin Bruder of Lyxor Asset Management,
Pierre Hereil of Lyxor Asset Management, and
Thierry Roncalli of Lyxor Asset Management
(2018K PDF) -- 27 pages -- October 2011
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