These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G11 classification. (sorted by date) Optimal Dynamic Hedging of Cliquets
by Andrea Petrelli of Credit-Suisse,
Jun Zhang of Credit-Suisse,
Olivia Siu of Natixis, and
Rupak Chatterjee of Citi, and
Vivek Kapoor of Citi
(1,255K PDF) -- 49 pages -- May 2008 Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
by Rüdiger Frey of the Universität Leipzig, and
Jochen Backhaus of the Universität Leipzig
(308K PDF) –- 20pages -- December 17, 2007 Capital Structure Arbitrage: Model choice and volatility calibration
by Claus Bajlum of Danmarks Nationalbank & Copenhagen Business School, and
Peter Tind Larsen of the University of Aarhus
(573K PDF) -- 44 pages -- May 10, 2007 Distribution-Invariant Risk Measures, Entropy, and Large Deviations
by Stefan Weber of Cornell University
(246K PDF) -- 24 pages -- December 4, 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 and 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 Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
by Stephan Tilke of the University of Regensburg
(189K PDF) -- 15 pages -- August 2006 Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
by Xinzheng Huang of TU Delft,
Cornelis W. Oosterlee of TU Delft, and
J.A.M van der Weide
(191K PDF) -– 18 pages -- June 8, 2006 Credit Contagion and Aggregate Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of the Technische Universität Berlin
(374K PDF) -- 27 pages -- May 2006 Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program
by Renzo G. Avesani of the International Monetary Fund,
Kexue Liu of the International Monetary Fund,
Alin Mirestean of the International Monetary Fund, and
Jean Salvati of the International Monetary Fund
(677K PDF) -- 35 pages -- May 2006 Credit Derivatives in Models with Interacting Default Intensities: a Markovian Approach
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus of the University of Leipzig
(336K PDF) –- 24 pages -- April 18, 2006 A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket
by Renzo G. Avesani of the International Monetary Fund,
Antonio García Pascual of the International Monetary Fund, and
Jing Li of the International Monetary Fund
(509K PDF) –- 25 pages -- April 2006 Nonparametric Estimation for Non-homogeneous semi-Markov Processes: An application to credit risk
by André Lucas of Vrije Universiteit Amsterdam,
André Monteiro of Vrije Universiteit Amsterdam, and
Georgi Smirnov of the University of Porto
(608K PDF) –- 43 pages -- March 13, 2006 On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
by Rafael Weissbach of the University of Dortmund, and
Carsten von Lieres und Wilkau of WestLB AG
(164K PDF) –- 27 pages -- December 23, 2005 The interrelation of Liquidity Risk, Default Risk, and Equity Returns
by Maria Vassalou of Columbia University,
Jing Chen of Columbia University, and
Lihong Zhou of Columbia University
(410K PDF) –- 73 pages -- December 7, 2005 Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk
by Alexander J. McNeil of ETH Zürich, and
Jonathan Wendin of ETH Zürich
(456K PDF) -- 27 pages -- October 5, 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 A Model of Credit Risk Optimal Policies, and Asset Prices
by Suleyman Basak of the London Business School, and
Alex Shapiro of New York University
(1,007K PDF) -- 52 pages -- July 2005 Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality
by Alexandros Benos of the University of Piraeus, and
George Papanastasopoulos University of Peloponnese
(260K PDF) -- 34 pages -- June 2005 How to Invest Optimally in Corporate Bonds: A reduced-form approach
by Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(538K PDF) –- 35 pages -- May 10, 2005 Ratings-based Credit Risk Modelling: An empirical analysis
by Pamela Nickell of Moody's KMV,
William Perraudin of Imperial College, and
Simone Varotto of ISMA Center
(602K PDF) -- 26 pages -- May 6, 2005 Non-parametric Estimation of Elliptical Copulae With Application to Credit Risk
by Krassimir Kostadinov of the Munich University of Technology
(458K PDF) -- 37 pages -- April 10, 2005 Tail Approximation for Credit Risk Portfolios with Heavy-tailed Risk Factors
by Krassimir Kostadinov of the Munich University of Technology
(262K PDF) -- 24 pages -- January 2005 Tails of Credit Default Portfolios
by Gabriel Kuhn of the Munich University of Technology
(355K PDF) -- 32 pages -- December 21, 2004 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
(371K PDF) -- 37 pages -- December 16, 2004 CDO rating methodology: Some thoughts on model risk and its implications
by Ingo Fender of the Bank for International Settlements, and
John Kiff of the Bank of Canada
(160K PDF) -- 31 pages -- November 2004 Global Sensitivity Analysis for Latent Factor
by Dirk Baur of the Joint Research Center - EU Commission,
Jessica Cariboni of the Joint Research Center - EU Commission, and
Francesca Campolongo of the Joint Research Center - EU Commission
(199K PDF) -- 29 pages -- November 2004 Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
by Andrea Berardi of the University of Verona,
Stefania Ciraolo of the University of Leuven, and
Michele Trova of Monte Paschi A.M.
(640K PDF) -- 28 pages -- June 29, 2004 Cyclical Correlations, Credit Contagion, and Portfolio Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of Humboldt-Universität zu Berlin
(351K PDF) -- 28 pages -- November 11, 2003 Gersbach, Hans and Alexander Lipponer, "Firm Defaults and the Correlation Effect", European Financial Management, Vol. 9, No. 3, (September 2003), pp. 361-378. [Abstract] Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
by Aurelio Maccario of the Unicredit Banca Mobiliare and Università "LUISS-Guido Carli",
Andrea Sironi of the Università "Luigi Bocconi", and
Cristiano Zazzara of Capitalia and Università "LUISS-Guido Carli"
(122K PDF) –- 29 pages -- August 2003 Dependent Defaults in Models of Portfolio Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Alexander J. McNeil of ETH Zentrum
(386K PDF) -- 27 pages -- June 16, 2003 Spectral Risk Measures for Credit Portfolios
by Claudio Albanese of the University of Toronto, and
Stephan Lawi of the University of Toronto and the National University of Singapore
(379K PDF) -- 17 pages -- April 15, 2003 Sironi, Andrea and Cristiano Zazzara, "The Basel Committee Proposals for a New Capital Accord: Implications for Italian banks", Vol. 12, No. 1, (March 2003), pp. 99-126. [Abstract] Liquidity Shocks and Equilibrium Liquidity Premia
by Ming Huang of Stanford University
(271K PDF) -- 26 pages -- March 2003 Credit Risk Models: An Application to Deposit Insurance Pricing
by Aurelio Maccario of the Unicredit Banca Mobiliare and Università LUISS-Guido Carli,
Andrea Sironi of the Università Luigi Bocconi, and
Cristiano Zazzara of Fondo Interbancario di Tutela dei Depositi and Università LUISS-Guido Carli
(401K PDF) -- 28 pages -- January 2003 Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective (Job Market Paper)
by Yuanfeng Hou of Yale University
(620K PDF) -- 53 pages -- January 2003 Beyond Correlation: Extreme Co-movements Between Financial Assets
by Roy Mashal of Columbia University, and
Assaf Zeevi of Columbia University
(754K PDF) -- 48 pages -- October 14, 2002 Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach
by Rosalind L. Bennett of the Federal Deposit Insurance Corporation
(222K PDF) -- 63 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 On Risk Neutral Pricing of CDOs
by Roy Mashal of the Columbia Business School
(175K PDF) -- 16 pages -- April 1, 2002 VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(326K PDF) -- 15 pages -- January 23, 2002 Default Probabilities and Default Correlations
by Ulrich Erlenmaier of the University of Heidelberg, and
Hans Gersbach of the University of Heidelberg
(498K PDF) -- 50 pages -- November 2001 A Hybrid Genetic-Quantitative Method for Risk-Return Optimisation of Credit Portfolios
by Frank Schlottmann of the Institute AIFB, and
Detlef Seese of the University Karlsruhe
(362K PDF) -- 27 pages -- October 25, 2001 Modelling Dependent Defaults
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(490K PDF) -- 30 pages -- August 13, 2001 Models of Joint Defaults in Credit Risk Management: An Assessment
by Ulrich Erlenmaier of the University of Heidelberg
(702K PDF) -- 55 pages -- July 2001 Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
by Norbert Jobst of the University of Cyprus & Brunel University, and
Stavros A. Zenios of the University of Cyprus & University of Pennsylvania
(599K PDF) -- 35 pages -- July 2001 Default- and Call-Adjusted Duration for Corporate Bonds
by Gady Jacob of the University of Manitoba, and
Gordon S. Roberts of York University
(317K PDF)-- 38 pages -- May 2001 Parameterizing Credit Risk Models with Rating Data
by Mark Carey of the Federal Reserve Board of Governors, and
Mark Hrycay of Advertising.com
(497K PDF) -- 93 pages -- October 18, 2000 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 Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
by Anil Bangia of Oliver, Wyman & Company,
Francis X. Diebold of New York University, NBER and the Oliver Wyman Institute, and
Til Schuermann of Oliver, Wyman & Company
(141K PDF) -- 45 pages -- April 11, 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 A Comparative Anatomy of Credit Risk Models
by Michael B. Gordy of the Board of Governors of the Federal Reserve System
(481K PDF) -- 31 pages -- January 2000 Cantor, Richard, and Frank Packer, "Differences of Opinion and Selection Bias in the Credit Rating Industry", Journal of Banking & Finance, Vol. 21, No. 10, Federal Reserve Bank of New York, (October 1997), pp. 1395-1417. [Abstract] Mahoney, James M., "Risk Management of Correlation Products", European Financial Management, Vol. 3, No. 2, Federal Reserve Bank of New York, (July 1997), pp. 155-174. [Abstract]
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