These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G1 classification. (sorted by date) Brunnermeier, Markus, Laurent Clerq, Martin Scheicher, "Assessing contagion risks in the CDS market", Banque de France - Financial Stability Review, No. 17, (April 2013), pp. 123-134. Identifying European Industries with Extreme Default Risk: Application of CVaR techniques to transition matrices
by David E. Allen of Edith Cowan University,
Akhmad R. Kramadibrata of Edith Cowan University,
Rober J. Powell of Edith Cowan University, and
Abhay K. Singh of Edith Cowan University
(808K PDF) -- 45 pages -- November 2012 Are CDS Spreads Predictable? An analysis of linear and non-linear forecasting models
by Davide Avino of University of Reading, and
Ogonna Nneji of University of Reading
(501K PDF) -- 25 pages -- November 23, 2012 Rethinking Capital Structure Arbitrage
by Davide Avino of University of Reading, and
Emese Lazar of University of Reading
(739K PDF) -- 28 pages -- November 2012 An Overview of the Valuation of Collateralized Derivative Contracts
by Jean-Paul Laurent of Université Paris 1 Panthéon-Sorbonne,
Philippe Amzelek of BNP Paribas, and
Joe Bonnaud of BNP Paribas
(213K PDF) -- 18 pages -- October 2012 Lesplingart, Clothilde, Christophe Majois, Mikael Petitjean, "Liquidity and CDS Premiums on European Companies Around the Subprime Crisis ", Review of Derivatives Research, Vol. 15, No. 3, (October 2012), pp. 257-281. Gorton, Gary, Andrew Metrick, "Securitized Banking and the Run on Repo", Journal of Financial Economics, Vol. 104, No. 3, (June 2012), pp. 425-451. Empirical Evidence for the Structural Recovery Model
by Alexander Becker of University of Duisburg-Essen, Germany,
Alexander F.R. Koivusalo of Koivusalo Capital, Sweden, and
Rudi Schäfer of University of Duisburg-Essen, Germany
(163K PDF) -- 18 pages -- March 14, 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. Sovereign Recovery Schemes: Discounting and risk management issues
by Joe Bonnaud of BNP Paribas,
Laurent Carlier of BNP Paribas,
Jean-Paul Laurent of the Université Paris 1 Panthéon-Sorbonne, and
Jean-Luc Vila - Independent Consultant
(163K PDF) -- 18 pages -- January 5, 2012 Pianeti, Riccardo, Rosella Giacometti, Valentina Acerbis, "Estimating the Joint Probability of Default Using Credit Default Swap and Bond Data", Journal of Fixed Income, (Winter 2012), Vol. 21, No. 3: pp. 44-58. The Lehman Brothers Effect and Bankruptcy Cascades
by Pawe l. Sieczka of Warsaw University of Technology,
Didier Sornette of University of Geneva, and
Janusz A. Hołyst of Warsaw University of Technology
(594K PDF) -- 13 pages -- September 29, 2011 CoVaR
by Tobias Adrian of the Federal Reserve Bank of New York, and
Markus K. Brunnermeier of the Princeton University
(350K PDF) -- 44 pages -- September 15, 2011 A Redesign for Central Clearing
by Claudio Albanese of the Global Valuation, Ltd., and
Giacomo Pietronero of the Global Valuation, Ltd.
(256K PDF) -- 2 pages -- August 2011 Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
by René Kallestrup of Copenhagen Business SchooL,
David Lando of Copenhagen Business SchooL, and
Agatha Murgoci of Copenhagen Business SchooL
(364K PDF) -- 40 pages -- July 12, 2011 Interest Rate Derivative Pricing when Banks are Risky and Markets are Illiquid
by Geoffrey R. Harris of the Illinois Institute of Technology, and
Tao L. Wu of the Illinois Institute of Technology
(2,144K PDF) -- 60 pages -- May 17, 2011 Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis
by Jens Dick-Nielsen of Copenhagen Business School,
Peter Feldhütter of London Business School, and
David Lando of Copenhagen Business School
(638K PDF) -- 61 pages -- March 15, 2011 Analyzing Systemic Risk with Financial Networks: An application during a financial crash
by Saltoglu Burak of the Bogazici University, and
Yenilmez Taylan of the Tinbergen Institute
(535K PDF) -- 34 pages -- November 14, 2010 Finding Systemically Important Financial Institutions around the Global Credit Crisis: Evidence from credit default swaps
by Jian Yang of the University of Colorado Denver, and
Yinggang Zhou of the Chinese University of Hong Kong
(165K PDF) -- 54 pages -- September 16, 2010 Measures Aimed at Enhancing the Loss Absorbency of Regulatory Capital at the Point of Non Viability
by Marianne Ojo of the University of Bremen & Oxford Brookes University
(250K PDF) -- 15 pages -- September 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 Does a Central Clearing Counterparty Reduce Counterparty Risk?
by Darrell Duffie of Stanford University, and
Haoxiang Zhu of Stanford University
(170K PDF) -- 30 pages -- July 24, 2010 Structured Finance Influence on Financial Market Stability: Evaluation of current regulatory developments
by Sebastian A. Schuetz of the University of Lüneburg
(1,187K PDF) -- 43 pages -- June 2010 Systematic Risk of CDOs and CDO Arbitrage
by Alfred Hamerle of the University of Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Hans-Jochen Schropp of the University of Regensburg
(428K PDF) -- 52 pages -- October 2009 French Banks Amid the Global Financial Crisis
by Yingbin Xiao of the International Monetary Fund
(1,058K PDF) -- 23 pages -- September 4, 2009 Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
by Sanjiv R. Das of Santa Clara University,
Paul Hanouna of Villanova University, and
Atulya Sarin of Santa Clara University
(380K PDF) -- 12 pages -- April 2009 Optimal Investment with Counterparty Risk: A default-density modeling approach
by Ying Jiao of Université Paris 7, and
Huyên Pham of Université Paris 7 & Institut Universitaire de France
(223K PDF) -- 22 pages -- March 3, 2009 Hedging Credit: Equity liquidity matters
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(209K PDF) -- 12 pages -- January 2009 Pricing Options on Defaultable Stocks
by Erhan Bayraktar of the University of Michigan
(249K PDF) -- 26 pages -- December 2007 A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
by Pierre Tychon of the European Investment Bank,
Vincent Vannetelbosch of the Université catholique de Louvain
(279K PDF) -- 36 pages -- Summer 2005 Hillegeist, Stephen A., Elizabeth K. Keating, Donald P. Cram, and Kyle G. Lundstedt, " Assessing the Probability of Bankruptcy", Review of Accounting Studies, Vol. 9, No. 1, (March 2004), pp. 5-34. Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads
by Dan Covitz of the Federal Reserve Board, and
Chris Downing of the Rice University
(248K PDF) -- 42 pages -- October 2, 2002 Credit Derivatives in Emerging Markets
by Romain G. Ranciere of New York University
(299K PDF) -- 24 pages -- April 2002 Stress Testing of Financial Systems: An overview of issues, methodologies, and FSAP experiences
by Winfrid Blaschke of European Commission,
Matthew T. Jones of International Monetary Fund,
Giovanni Majnoni of World Bank, and
Maria Soledad Martinez Peria of World Bank
(333K PDF) -- 27 pages -- June 2001
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