These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the E32 classification. (sorted by date) The Role of Stress Testing in Credit Risk Management
by Roger M. Stein of the Moody's Research Labs
(272K PDF) -- 20 pages -- June 15, 2011 Gorton, Gary, Andrew Metrick, "Securitized Banking and the Run on Repo", Journal of Financial Economics, Vol. 104, No. 3, (June 2012), pp. 425-451. Recovery Rates and Macroeconomic Conditions: The role of loan covenants
by Zhipeng Zhang of Boston College
(428K PDF) -- 59 pages -- September 2, 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 Market Shocks and Economic Fluctuations: Evidence from corporate bond and stock markets
by Simon Gilchrist of Boston University,
Vladimir Yankov of Boston University, and
Egon Zakrajšek of the Federal Reserve Board
(497K PDF) -- 49 pages -- April 7, 2009 Macro Stress-Testing on the Loan Portfolio of Japanese Banks
by Akira Otani of the Bank of Japan,
Shigenori Shiratsuka of the Bank of Japan,
Ryoko Tsurui of the Bank of Japan, and
Takeshi Yamada of the Bank of Japan
(206K PDF) -- 34 pages -- March 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 Modeling the Distribution of Credit Losses with Observable and Latent Factors
by Gabriel Jiménez of the Bank of Spain, and
Javier Mencía of the Bank of Spain
(498K PDF) -- 93 pages -- March 2007 Credit Risk Drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
by Diana Bonfim of Banco de Portugal
(558K PDF) -- 48 pages -- March 2007 Credit Chains and the Propagation of Financial Distress
by Frederic Boissay of the European Central Bank
(685K PDF) -- 34 pages -- January 2006 Pederzoli, Chiara and Costanza Torricelli, " Capital Requirements and Business Cycle Regimes: Forward-looking modelling of default probabilities", Journal of Banking & Finance, Vol. 29, No. 12, (December 2005), pp. 3121-3140. Forward-Looking Estimation of Default Probabilities with Italian Data
by Giuseppe Marotta of the University of Modena & Reggio Emilia,
Chiara Pederzoli of the University of Milano Bicocca, and
Costanza Torricelli of the University of Modena & Reggio Emilia
(160K PDF) -- 18 pages -- November 2005 Remarks on Pricing Correlation Products
by Harald Skarke of Bank Austria Creditanstalt
(77K PDF) -- 6 pages -- July 17, 2005 Business Failure in UK and US Quoted Firms: Impact of Macroeconomic Instability and the Role of Legal Institutions
by Arnab Bhattacharjee of the University of Cambridge,
C. Higson of the London Business School,
Sean Holly of the University of Cambridge, and
P. Kattuman of the University of Cambridge
(1,165K PDF) -- 42 pages -- March 17, 2004 Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms
by Arnab Bhattacharjee of the Reserve Bank of India,
Chris Higson of London Business School,
Sean Holly of the University of Cambridge, and
P. Kattuman of the University of Cambridge
(736K PDF) -- 34 pages -- March 5, 2002 Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
by John Y. Campbell of Harvard University,
Martin Lettau of the Federal Reserve Bank of New York,
Burton G. Malkiel of Princeton University, and
Yexiao Xu of the University of Texas
(877K PDF) -- 43 pages -- February 2001
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