These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the E47 classification. (sorted by date) Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(252K PDF) -- 10 pages -- July 15, 2007 An Evaluation of the Base Correlation Framework for Synthetic CDOs
by Sřren Willemann of the Aarhus School of Business
(334K PDF) -- 25 pages -- December 20, 2004
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