JEL Classification G10
"General: General Financial Markets"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G10 classification. (sorted by date) Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
by Péter Dobránszky of Finalyse SA, FORTIS Bank & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(216K PDF) -- 14 pages -- July 29, 2008 Limited Arbitrage and Liquidity in the Market for Credit Risk
by Amrut Nashikkar of New York University,
Marti Subrahmanyam of New York University, and
Sriketan Mahanti of Orissa Group, Inc.
(451K PDF) -- 49 pages -- June 17, 2008 Latent Liquidity: A new measure of liquidity, with an application to corporate bonds
by Sriketan Mahanti of Orissa Group Inc.,
Amrut Nashikkar of New York University,
Marti Subrahmanyam of New York University,
George Chacko of 6S Capital GmbH, and
Gaurav Mallik of State Street Global Advisors
(475K PDF) -- 27 pages -- May 2008 Break on Through to the Single Side
by Dilip Madan of the University of Maryland, and
Wim Schoutens of Katholieke Universiteit Leuven
(163K PDF) -- 20 pages -- July 26, 2007 Affine Markov Chain Model of Multifirm Credit Migration
by Tom R. Hurd of McMaster University, and
Alexey Kuznetsov of McMaster University
(1,206K PDF) -- 32 pages -- December 15, 2006 Fast CDO Computations in the Affine Markov Chain Model
by Tom R. Hurd of McMaster University
Alexey Kuznetsov of McMaster University
(1,193K PDF) -- 24 pages -- November 23, 2006 A Multivariate Jump-Driven Financial Asset Model
by Elisa Luciano of the University of Turin and ICER, and
Wim Schoutens of Katholieke Universiteit Leuven
(915K PDF) -- 33 pages -- October 16, 2006 Pricing and Hedging in the Presence of Extraneous Risks
by Pierre Collin-Dufresne of the University of California Berkeley, and
Julien Hugonnier of the Swiss Finance Institute & HEC Université de Lausanne
(314K PDF) -- 29 pages -- October 16, 2006 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 Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from empirically evaluating credit risk models
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Xiaoling Zhang of the Federal Reserve Board of Governors
(179K PDF) -- 33 pages -- July 2006 Bounds for Functions of Dependent Risks
by Paul Embrechts of ETH Zurich, and
Giovanni Puccetti of the University of Firenze
(391K PDF) -- 14 pages -- November 7, 2005 Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
by Doron Avramov of the University of Maryland,
Gergana Jostova of George Washington University, and
Alexander Philipov of American University
(268K PDF) -- 39 pages -- September 22, 2005 Estimation of a Reduced-Form Credit Portfolio Model and Extensions to Dynamic Frailties
by Jean-David Fermanian of Ixis-CIB & Crest,
Martin Delloye of Ixis-CIB & Crest, and
Mohammed Sbai of Ecole Nationale des Ponts et Chaussées
(304K PDF) -- 22 pages -- September 12, 2005 How Much Do Banks Use Credit Derivatives to Reduce Risk
by Bernadette A. Minton of Ohio State University,
René Stulz of Ohio State University, and
Rohan Williamson of Georgetown University
(119K PDF) -- 39 pages -- July 2005 A General Approach to Integrated Risk Management with Skewed Fat-tailed Risks
by Joshua Rosenberg of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(641K PDF) – 69 pages -- February 4, 2005 Predicting and Pricing the Probability of Default
by Alessio A. Saretto of the University of California Los Angeles
(311K PDF) -- 41 pages -- August 4, 2004 Adverse Selection, Moral Hazard and the Term Structure of Default
by Koresh Galil of the Goethe University of Frankfurt & Tel-Aviv University
(511K PDF) -- 43 pages -- March 2004 Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund, and
Yoon Sook Kim of the International Monetary Fund
(1,652K PDF) -- 31 pages -- February 2004 A Framework for Collateral Risk Control Determination
by Diddier Cossin of HEC, University of Lousanne,
Zhijiang Huang of Fame and HEC, University of Lousanne,
Daniel Aunon-Nerin of Fame and HEC, University of Lousanne, and
Fernando González of the European Central Bank
(1,894K PDF) -- 48 pages -- January 2003 Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims
by Christophette Blanchet-Scalliet of the Université d'Évry Val dEssonne, and
Monique Jeanblanc of the Université d'Évry Val dEssonne
(176K PDF) -- 14 pages -- November 4, 2002 Measuring the Discriminative Power of Rating Systems
by Bernd Engelmann of Deutsche Bundesbank
Evelyn Hayden University of Vienna, and
Dirk Tasche of Deutsche Bundesbank
(334K PDF) -- 32 pages -- November 2002 Order Imbalance, Liquidity, and Market Returns
by Tarun Chordia of Emory University,
Richard Roll of the University of California, Los Angeles, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(162K PDF) -- 20 pages -- July 2002 A Guide to Choosing Absolute Bank Capital Requirements
by Mark Carey of the Board of Governors of the Federal Reserve System
(76K PDF) -- 33 pages -- May 2002 Collin-Dufresne, Pierre and Bruno Solnik, "On the Term Structure of Default Premia in the Swap and LIBOR Markets", Journal of Finance, Vol. 56, No. 3, (June 2001), pp. 1095-1115. [Abstract] 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 The Credit Risk of Japanese Banks during the Bubble Period: A Pilot Study of Macro Stress Simulation
by Tokiko Shimizu of the Bank of Japan, and
Shigenori Shiratsuka of the Bank of Japan
(906K PDF) -- 17 pages -- October 2000 Factors Affecting the Yields on Noninvestment Grade Bond Indices: a cointegration analysis
by Theodore M. Barnhill, Jr. of George Washington University,
Frederick L. Joutz of George Washington University, and
William F. Maxwell of Texas Tech University
(213K PDF) -- 30 pages -- May 2000 Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
by Mark Carey of the Board of Governors of the Federal Reserve System
(174K PDF) -- 40 pages -- March 15, 2000 Analytical Value-At-Risk with Jumps and Credit Risk
by Darrell Duffie of Stanford University, and
Jun Pan of Stanford University
(379K PDF) -- 27 pages -- November 29, 1999 Recovery Ratios and Survival Times for Corporate Bonds
by Ivailo Izvorski of the International Monetary Fund
(1,645K PDF) -- 32 pages -- July 1997 Merton, Robert C., "Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, Vol. 4, No. 1, (Spring 1973), pp. 141-183. [Abstract]
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