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) An Empirical Comparison of Alternative Credit Default Swap Pricing Models
by Michele Leonardo Bianchi of Bank of Italy
(1533K PDF) -- 64 pages -- September 2012 Iscoe, Ian, Alexander Kreinin, Helmut Mausser, Oleksandr Romanko, "Portfolio Credit-risk Optimization", Forthcoming: Journal of Banking & Finance Fine-tuning the Equivalent Strike Framework for Bespoke CDO Pricing
by Moez Mrad of the Crédit Agricole Corporate and Investment Bank, and
Racem Triki of the Crédit Agricole Corporate and Investment Bank
(405K PDF) -- 20 pages -- March 30, 2011 American Step-up and Step-down Credit Default Swaps Under Lévy Models
by Tim S.T. Leung of the Johns Hopkins University, and
Kazutoshi Yamazaki of the Osaka University
(561K PDF) -- 24 pages -- December 25, 2010 Portfolio Optimization in Defaultable Markets under Incomplete Information
by Giorgia Callegaro of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne, and
Wolfgang Runggaldier of the University of Padova
(377K PDF) -- 20 pages -- August 9, 2010 Credit Risk Premia and Quadratic BSDEs with a Single Jump
by Stefan Ankirchner of the Universtät Bonn,
Christophette Blanchet-Scalliet of the Université de Lyon, and
Anne Eyraud-Loisel of the Université Lyon 1
(303K PDF) -- 27 pages -- June 8, 2010 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 Rethinking Risk Capital Allocation in a RORAC Framework
by Arne Buch of d-fine GmbH,
Gregor Dorfleitner, of University of Regensburg, and
Maximilian Wimmer of University of Regensburg
(403K PDF) -- 25 pages -- December 3, 2009 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 Rosen, Dan, David Saunders, "Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios", Journal of Economic Dynamics and Control, Vol. 33, No. 1, (January 2009), pp. 37-52 Optimal Investment in a Defaultable Bond
by Peter Lakner of New York University, and
Weijian Liang of New York University
(647K PDF) -- 28 pages -- June 2008 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 2006 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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