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) Default Swap Games Driven by Spectrally Negative Lévy Processes
by Masahiko Egami of Kyoto University,
Tim S.T. Leung of Columbia University, and
Kazutoshi Yamazaki of Osaka University
(680K PDF) -- 34 pages -- September 27, 2012 Wozabal, David, Ronald Hochreiter, "A Coupled Markov Chain Approach to Credit Risk Modeling", Journal of Economic Dynamics and Control, Vol. 36, No. 3, (March 2012), pp. 403-415. Iscoe, Ian, Alexander Kreinin, Helmut Mausser, Oleksandr Romanko, "Portfolio Credit-risk Optimization", Forthcoming: Journal of Banking & Finance Optimal Timing to Purchase Options
by Tim Leung of Johns Hopkins University, and
Mike Ludkovski of the University of California, Santa Barbara
(384K PDF) -- 25 pages -- April 5, 2011 Pricing of CDOs Based on the Multivariate Wang Transform
by Masaaki Kijima of the Tokyo Metropolitan University,
Shin-ichi Motomiya of the Credit Pricing Corporation, Ltd., Tokyo, and
Yoichi Suzuki of the Credit Pricing Corporation, Ltd., Tokyo
(338K PDF) -- 28 pages -- February 8, 2010 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 Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A real options approach
by Tetsuya Yamada of the Bank of Japan
(491K PDF) -- 42 pages -- June 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 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 Is Firm Interdependence within Industries Important for Portfolio Credit Risk?
by Kenneth Carling of IFAU, Uppsala, Sweden, & Dalarna University,
Lars Rönnegĺrd of Uppsala University, and
Kasper Roszbach of Sveriges Riksbank
(388K PDF) -- 33 pages -- January 22, 2007 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 Tasche, Dirk and Luisa Tibiletti, "A Shortcut to Sign Incremental Value-at-Risk for Risk Allocation", Journal of Risk Finance, Vol. 4, No. 2, (2003), pp. 43-46. Expected Shortfall and Beyond
by Dirk Tasche of Deutsche Bundesbank
(547K PDF) -- 24 pages -- October 20, 2002 Acerbi, Carlo and Dirk Tasche, "On the Coherence of Expected Shortfall", Journal of Banking & Finance, Vol. 26, No. 7, (July 2002), pp. 1487-1503. 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.
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