JEL Classification C61
"Optimization Techniques; Programming Models; Dynamic Analysis"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C61 classification. (sorted by date) Detecting Regime Shifts in Corporate Credit Spreads
by Georges Dionne of HEC Montreal,
Pascal François of HEC Montreal, and
Olfa Maalaoui of HEC Montreal
(314K PDF) -- 46 pages -- August 2009 Credit Spread Changes within Switching Regimes
by Olfa Maalaoui of HEC Montreal,
Georges Dionne of HEC Montreal, and
Pascal François of HEC Montreal
(314K PDF) -- 52 pages -- February, 12, 2009 Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks
by Olli Castrén of the European Central Bank,
Trevor Fitzpatrick of the European Central Bank, and
Matthias Sydow of the European Central Bank
(1,811K PDF) -- 38 pages -- February 2009 Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios
by Dan Rosen of the Fields Institute for Research in Mathematical Sciences, and
David Saunders of the University of Waterloo
(1,332K PDF) -- 47 pages -- November 2007 Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
by Stephan Tilke of the University of Regensburg
(189K PDF) -- 15 pages -- August 2006 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 A Model of Credit Risk Optimal Policies, and Asset Prices
by Suleyman Basak of the London Business School, and
Alex Shapiro of New York University
(1,007K PDF) -- 52 pages -- July 2005 Optimal Default Boundary in Discrete Time Models
by Agata Altieri of the Universitá di Padova, and
Tiziano Vargiolu of the Universitá di Padova
(212K PDF) -- 16 pages -- June 2002
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