JEL Classification E44
"Financial Markets and the Macroeconomy"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the E44 classification. (sorted by date) An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk
by Tim Xiao of Canadian Imperial Bank of Commerce, CIBC
(259K PDF) -- 8 pages -- May 1, 2013 An Economic Examination of Collateralization in Different Financial Markets
by Tim Xiao of Canadian Imperial Bank of Commerce (CIBC), Toronto, Canada
(336K PDF) -- 41 pages -- May 1, 2013 Restructuring Counterparty Credit Risk
by Claudio Albanese of Global Valuation, Ltd, London,
Damiano Brigo of King's College, London, and
Frank Oertel of Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin)
(566K PDF) -- 27 pages -- March 2013 Exploring the Sources of Default Clustering
by Shahriar Azizpour of Stanford University,
Kay Giesecke of Stanford University, and
Gustavo Schwenkler of Stanford University
(2.691K PDF) -- 28 pages -- January 10, 2012 Default and Systemic Risk in Equilibrium
by Agostino Capponi of the Purdue University, and
Martin Larsson of the Cornell University
(480K PDF) -- 42 pages -- December 23, 2011 Pesola, Jarmo, " Joint Effect of Financial Fragility and Macroeconomic Shocks on Bank Loan Losses: Evidence from Europe", Journal of Banking & Finance, Vol. 35, No. 11, (November 2011), pp. 3134-3144. Firm Default and Aggregate Fluctuations
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Federal Reserve Board, and
Kasper Roszbach of Sveriges Riksbank
(1442K PDF) -- 47 pages -- August 22, 2011 Asymmetric Shocks, Long-term Bonds and Sovereign Default
by Junjun Zhu of the Fudan University, and
Shiyu Xie of the Fudan University
(170K PDF) -- 8 pages -- January 18, 2011 To Err is Human: US rating agencies and the interwar foreign government debt crisis
by Marc Flandreau of the Graduate Institute of International and Development Studies,
Norbert Gaillard of Sciences Po, Paris, and
Frank Packer of the Bank for International Settlements
(2,519K PDF) -- 15 pages -- December 2010 Stress Testing: The impact of shocks on the capital needs of the Luxembourg banking sector
by Abdelaziz Rouabah of the Banque centrale du Luxembourg, and
John Theal of the Banque centrale du Luxembourg
(314K PDF) -- 28 pages -- August 23, 2010 Too Interconnected To Fail: Financial contagion and systemic risk in network model of CDS and other credit enhancement obligations of US banks
by Sheri Markose of the University of Essex,
Simone Giansante of the University of Essex,
Mateusz Gatkowski of the University of Essex, and
Ali Rais Shaghaghi of the University of Essex
(1,264K PDF) -- 60 pages -- April 21, 2010 An Extended Macro-finance Model with Financial Factors
by Hans Dewachter of the University of Leuven & Erasmus University, and
Leonardo Iania of the University of Leuven
(599K PDF) -- 58 pages -- November 2009 Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 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 Zakrajek of the Federal Reserve Board
(497K PDF) -- 49 pages -- April 7, 2009 Monitoring Banking Sector Risks: An applied approach
by Christian Weistroffer of Deutsche Bank & Goethe University, and
Veronica Vallés of Deutsche Bank
(915K PDF) -- 43 pages -- October 28, 2008 Dynamic Default Rates
by Robert Lamb of Imperial College London, and
William Perraudin of Imperial College London
(307K PDF) -- 34 pages -- May 2008 Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions
by Stephen Figlewski of New York University,
Halina Frydman of New York University, and
Weijian Liang of New York University
(195K PDF) -- 57 pages -- March 29, 2008 An Empirical Evaluation of Structural Credit Risk Models
by Nikola A Tarashev of the Bank for International Settlements
(674K PDF) -- 53 pages -- March 2008 Default Risk and Income Fluctuations in Emerging Economies
by Cristina Arellano of the University of Minnesota & the Federal Reserve Bank of Minneapolis
(347K PDF) -- 33 pages -- July 2007 Multi-Period Corporate Failure Prediction With Stochastic Covariates
by Darrell Duffie of Stanford University,
Leandro Saita of Stanford University, and
Ke Wang of the University of Tokyo
(482K PDF) -- 32 pages -- March 2007 Sovereign Debt Spreads in a Markov Switching Regime
by Burcu Eyigungor of the University of California, Los Angeles
(197K PDF) -- 19 pages -- November 13, 2006 Yongjun, Dragon and Tangy Hong Yanz, " Macroeconomic Conditions, Firm Characteristics, and Credit Spreads", Journal of Financial Services Research, Vol. 29, No. 3, (June 2006), pp. 177-210. Corporate Credit Risk Modeling and the Macroeconomy
by Kenneth Carling of IFAU and Dalarna University,
Tor Jacobson of Riksbank,
Jesper Lindé of Riksbank, and
Kasper Roszbach Riksbank
(531K PDF) -- 29 pages -- April 5, 2006 Remarks on Pricing Correlation Products
by Harald Skarke of Bank Austria Creditanstalt
(77K PDF) -- 6 pages -- July 17, 2005 Prediction of Bank Failures Using Combined Micro and Macro Data
by Chung-Hua Shen of National Cheng Chi University, and
Meng-Fen Hsieh of VanNung Institute of Technology
(2,141K PDF) -- 56 pages -- June 11, 2004 Credit Risk Transfer and Financial Sector Performance
by Wolf Wagner of Cambridge University, and
Ian Marsh of the City University of London
(199K PDF) -- 31 pages -- January 2004 Default Premia on European Government Debt
by Ingunn M. Lřnning of the Norges Bank
(107K PDF) -- 41 pages -- December 1999 Understanding Aggregate Default Rates of High Yield Bonds
by Jean Helwege of the Federal Reserve Bank of New York, and
Paul Kleiman of the Federal Reserve Bank of New York
(75K PDF) -- 6 pages -- May 1996
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