JEL Classification G0 & G00
"General: Financial Economics"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G0 & G00 classification. (sorted by date) Badaoui, Saad, Lara Cathcart, Lina El-Jahel, "Do Sovereign Credit Default Swaps Represent a Clean Measure of Sovereign Default Risk? A Factor Model Approach", Journal of Banking & Finance, Vol. 37, No. 7, (July 2013), pp. 2392-2407. Recent Advances in Credit Risk Modeling
by Christian Capuano of the International Monetary Fund,
Jorge Chan-Lau of the International Monetary Fund,
Giancarlo Gasha of the International Monetary Fund,
Carlos Medeiros of the International Monetary Fund,
Andre Santos of the International Monetary Fund, and
Marcos Souto of the International Monetary Fund
(726K PDF) -- 32 pages -- August 2009 Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Zhang of the Morgan Stanley
(875K PDF) -- 33 pages -- September 6, 2006 Fundamentals-Based Estimation of Default Probabilities: A Survey
by Jorge A. Chan-Lau of the International Monetary Fund
(425K PDF) -- 20 pages -- June 2006 Sub-additivity Re-examined: The case for Value-at-Risk
by Jón Daníelsson of the London School of Economics,
Bjørn N. Jorgensen of the Columbia Business School,
Gennady Samorodnitsky of Cornell University
Mandira Sarma of Eindhoven University of Technology, and
Casper G. de Vries of Erasmus University
(139K PDF) -- 18 pages -- November 2005 Lando, David and Allan Mortensen, " Revisiting the Slope of the Credit Spread Curve", Journal of Investment Management, Vol. 3, No. 4, (Q4 2005), pp. 1-27. Anticipating Credit Events Using Credit Default Swaps, with an Application to Sovereign Debt Crises
by Jorge A. Chan-Lau of the International Monetary Fund
(609K PDF) -- 20 pages -- May 2003 Evaluating "Correlation Breakdowns" During Periods of Market Volatility
by Mico Loretan of the Federal Reserve Board, and
William B. English of the Federal Reserve Board
(642K PDF) -- 33 pages -- February 2000 Wua, Chunchi and Chih-Hsien Yub, " Risk Aversion and the Yield of Corporate Debt", Journal of Banking & Finance, Vol. 20, No. 2, (March 1996), pp. 267-281.
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