JEL Classification D81
"Criteria for Decision-Making under Risk and Uncertainty"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the D81 classification. (sorted by date) Optimal Dynamic Hedging of Cliquets
by Andrea Petrelli of Credit-Suisse,
Jun Zhang of Credit-Suisse,
Olivia Siu of Natixis, and
Rupak Chatterjee of Citi, and
Vivek Kapoor of Citi
(1,255K PDF) -- 49 pages -- May 2008 Credit Default Swap Spreads and US Financial Market: Investigating some dependence structure
by Hayette Gatfaoui of Rouen School of Management
(581K PDF) -- 27 pages -- September 2007 Dependency without Copulas or Ellipticity
by William T. Shaw of King's College London
(1,690K PDF) -- 10 pages -- September 2007 Pricing and Hedging in the Presence of Extraneous Risks
by Pierre Collin-Dufresne of the University of California Berkeley, and
Julien Hugonnier of the Swiss Finance Institute & HEC Université de Lausanne
(415K PDF) -- 24 pages -- June 2007 Is Firm Interdependence within Industries Important for Portfolio Credit Risk?
by Kenneth Carling of IFAU, Uppsala, Sweden, & Dalarna University,
Lars Rönnegård of Uppsala University, and
Kasper Roszbach of Sveriges Riksbank
(388K PDF) -- 33 pages -- January 22, 2007 Better Predictions of Income Volatility Using a Structural Default Model
by Roger M. Stein of Moody's Investors Service, and
Felipe Jordão of Moody's Investors Service
(787K PDF) -- 29 pages -- November 26, 2005 How Does Systematic Risk Impact US Credit Spreads? A Copula Study
by Hayette Gatfaoui of the University Paris I - Panthéon-Sorbonne
(547K PDF) -- 27 pages -- June 2003 Spectral Risk Measures for Credit Portfolios
by Claudio Albanese of the University of Toronto, and
Stephan Lawi of the University of Toronto & the National University of Singapore
(379K PDF) -- 17 pages -- April 15, 2003 Bank Lending Policy, Credit Scoring and Value at Risk
by Tor Jacobson of Sveriges Riksbank, and
Kasper Roszbach of the Stockholm School of Economics
(164K PDF) -- 19 pages -- April 2003 Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
by Hans Rau-Bredow of the Universität Würzburg
(134K PDF) -- 16 pages -- June 14, 2002 Jamshidian, Farshid and Yu Zhu, "Scenario Simulation: Theory and methodology", Finance and Stochastics, Vol. 1, No. 1 (1996), Sakura Global Capital, pp. 43-67. [Abstract]
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