JEL Classification G12
"Asset Pricing: 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 G12 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. Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
by Tim Xiao of Canadian Imperial Bank of Commerce, CIBC
(380K PDF) -- 25 pages -- May 21, 2013 An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk
by Tim Xiao of Canadian Imperial Bank of Commerce, CIBC
(259K PDF) -- 8 pages -- May 1, 2013 An Economic Examination of Collateralization in Different Financial Markets
by Tim Xiao of Canadian Imperial Bank of Commerce (CIBC), Toronto, Canada
(336K PDF) -- 41 pages -- May 1, 2013 Informationally Dynamized Gaussian Copula
by Stéphane Crépey of University of Evry, France,
Monique Jeanblanc of University of Evry, France, and
Dominique Wu of University of Evry, France
(721K PDF) -- 28 pages -- April 22, 2013 Kenyon, Chris, and Richard Kenyon, "DVA for Assets", RISK, 26(2), February 2013, pp. 72-75. A Model for Dependent Defaults and Pricing Contingent Claims with Counterparty Risk
by Dariusz Gatarek of Unicredit, and
Juliusz Jabłecki of National Bank of Poland
(1146K PDF) -- 27 pages -- April 2013 Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and funding value adjustments
by Antonio Castagna of iason Ltd.
(538K PDF) -- 30 pages -- March 20, 2013 CVA, FVA (and DVA?) with Stochastic Spreads: A feasible replication approach under realistic assumptions
by Luis Manuel García Muńoz of BBVA
(347K PDF) -- 30 pages -- February 23, 2013 Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
by Claudio Nordio of Banco Popolare, and
Lorenzo Giada of Banco Popolare
(175K PDF) -- 10 pages -- January 24, 2013 Funding, Collateral and Hedging: Uncovering the mechanics and the subtleties of funding valuation adjustments
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of Imperial College, London
(422K PDF) -- 38 pages -- December 13, 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 On Bounding Credit Event Risk Premia
by Jennie Bai of Federal Reserve Bank of New York,
Pierre Collin-Dufresne of Columbia University,
Robert S. Goldstein of University of Minnesota, and
Jean Helwege of University of South Carolina
(535K PDF) -- 30 pages -- October 2012 Joffe, Marc, "Provincial Solvency and Federal Obligations", Macdonald-Laurier Institute, (October 2012), p. 52. 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 Risk Premia and Optimal Liquidation of Defaultable Securities
by Tim Leung of Columbia University, and
Peng Liu of Johns Hopkins University
(758K PDF) -- 30 pages -- September 25, 2012 CVA, WWR, Hedging and Bermudan Swaption
by Ali Boukhobza of Grupo Santander, and
Jerome Maetz of Grupo Santander
(487K PDF) -- 14 pages -- August 2012 Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain
by Budhi Arta Surya of Bandung Institute of Technology
(338K PDF) - 20 pages -- July 30, 2012 Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
by Damiano Brigo of King's College London,
Cristin Buescu of King's College London,
Andrea Pallavicini of Banca IMI, and
Qing Liu of King's College London
(119K PDF) -- 8 pages -- July 17, 2012 A Framework for Pricing and Risk Management of Loans with Embedded Options
by Bernd Engelmann of the Quantsolutions
(236K PDF) -- 23 pages -- May 30, 2012 On Break-even Correlation: The way to price structured credit derivatives by replication
by Jean-David Fermanian of Crest-Ensae, and
Olivier Vigneron of J.P. Mprgan
(213K PDF) -- 18 pages -- April 11, 2012 Qui, Jiaping, Fan Yu, "Endogenous Liquidity in Credit Derivatives", Journal of Financial Economics, Vol. 103, No. 3, (March 2012), pp. 611-631. Default Likelihood under Regime-Switching
by Andreas Milidonis of University of Cyprus, and
Kevin Chisholm of , UK
(1007K PDF) -- 51 pages -- Feb 02, 2012 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 Robust Capital Regulation
by Viral Acharya of New York University,
Hamid Mehran of Federal Reserve Bank of New York,
Til Schuermann of Oliver Wyman, and
Anjan Thakor of Washington University in St. Louis & European Corporate Governance Institute
(347K PDF) -- 11 pages -- January 2012 Default and Systemic Risk in Equilibrium
by Agostino Capponi of the Purdue University, and
Martin Larsson of the Cornell University
(480K PDF) -- 42 pages -- December 23, 2011 Funding Valuation Adjustment: A consistent framework including CVA, DVA, collateral, netting rules and re-hypothecation
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of King's College, London
(260K PDF) -- 23 pages -- December 12, 2011 Usage and Exposures at Default of Corporate Credit Lines: An empirical study
by Janet Yinqing Zhao of Moody's Analytics,
Douglas Dwyer of Moody's Analytics, and
Jing Zhang of Moody's Analytics
(285K PDF) -- 19 pages -- December 2011 A Hierarchical Model of Tail Dependent Asset Returns for Assessing Portfolio Credit Risk
by Natalia Puzanova of Deutsche Bundesbank
(711K PDF) -- 56 pages -- December 2011 The Negative CDS-bond Basis and Convergence Trading during the 2007/09 Financial Crisis
by Alessandro Fontana of University of Geneva & FINRISK
(310K PDF) -- 30 pages -- September 1, 2011 Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and evidence on the credit default swap term structure
by Ren-Raw Chen of Fordham University,
Xiaolin Chen of Morgan Stanley, and
Liuren Wu of the City University of New York
(256K PDF) -- 24 pages -- September 2011 Dynamics of Dependence in Collateralized Debt Obligations
by Barbara Choroś-Tomczyk of Humboldt-Universität, Berlin,
Wolfgang Karl Härdle of Humboldt-Universität, Berlin, and
Ludger Overbeck of Giessen University
(430K PDF) -- 17 pages -- August 12, 2011 Impact of the First to Default Time on Bilateral CVA
by Damiano Brigo of the King's College, London,
Cristin Buescu of the King's College, London, and
Massimo Morini of the Banca IMI & Bocconi University, Milan
(204K PDF) -- 14 pages -- June 20, 2011 Credit Ratings and Credit Risk
by Jens Hilscher of the Brandeis University, and
Mungo Wilson of the Oxford University
(454K PDF) -- 54 pages -- June 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 Credit Rating Dynamics in the Presence of Unknown Structural Breaks
by Haipeng Xing of the State University of New York, Stony Brook,
Ning Sun of the State University of New York, Stony Brook, and
Ying Chen of MEAG New York Corp.
(294K PDF) -- 31 pages -- May 5, 2011 Optimal Timing to Purchase Options
by Tim Leung of Johns Hopkins University, and
Mike Ludkovski of the University of California, Santa Barbara
(384K PDF) -- 25 pages -- April 5, 2011 Downside Risk and the Size of Credit Spreads
by Gordon Gemmill of the University of Warwick, and
Aneel Keswani of the City University, London
(239K PDF) -- 35 pages -- April 2010 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 The Impact of Margin Interest on the Valuation of Credit Default Swaps
by Yu Hang Kan of the Columbia University, and
Claus Pedersen of the Barclays Capital
(950K PDF) -- 38 pages -- March 4, 2011 Modeling Credit Contagion via the Updating of Fragile Beliefs
by Luca Benzoni of Federal Reserve Bank of Chicago,
Pierre Collin-Dufresne of Columbia University,
Robert S. Goldstein of University of Minnesota, and
Jean Helwege of University of South Carolina
(1128K PDF) -- 42 pages -- February 28, 2011 Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
by Qunfang Bao of the Zhejiang University,
Si Chen of the Zhejiang University,
Guimei Liu of the Zhejiang University City College, and
Shenghong Li of the Zhejiang University
(379K PDF) -- 21 pages -- December 27, 2010 Survival Measures and Interacting Intensity Model: With applications in guaranteed debt pricing
by Qunfang Bao of the Zhejiang University,
Shenghong Li of the Zhejiang University, and
Guimei Liu of the Zhejiang University City College
(255K PDF) -- 27 pages -- December 25, 2010 Dangers of Bilateral Counterparty Risk: The fundamental impact of closeout conventions
by Damiano Brigo of the King's College, London, and
Massimo Morini of the Banca IMI
(561K PDF) -- 24 pages -- November 16, 2010 A Simple Empirical Model of Equity-Implied Probabilities of Default
by Edward Altman of the New York University,
Neil Fargher of the New York University, and
Egon Kalotay of the Australian National University
(277K PDF) -- 27 pages -- October 24, 2010 Explicit Solutions to Optimal Risk-Averse Trading of Defaultable Bonds Under Heterogeneous Beliefs
by Tim S.T. Leung of the Johns Hopkins University
(514K PDF) -- 27 pages -- October 22, 2010 Corporate Bond Credit Spreads and Forecast Dispersion
by Levent Güntay of Indiana University, and
Dirk Hackbarth of University of Illinois
(455K PDF) -- 18 pages -- October 2010 Completing CVA and Liquidity: Firm-level positions and collateralized trades
by Chris Kenyon of DEPFA Bank Plc.
(2,511K PDF) -- 19 pages -- September 16, 2010 Premia for Correlated Default Risk
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(962K PDF) -- 31 pages -- September 11, 2010 Understanding the Effect of Concentration Risk in the Banks' Credit Portfolio: Indian cases
by Arindam Bandyopadhyay of the National Institute of Bank Management, Pune, India
(612K PDF) -- 29 pages -- July 2010 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010 Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
by Yuri Katz of Qubit Technology Center, and
Nikolai Shokhirev of Qubit Technology Center
(2,891K PDF) -- 34 pages -- June 2010 A Top-down Model for Cash CLO
by Yadong Li of Barclays Capital, and
Ziyu Zheng of Morgan Stanley
(165K PDF) -- 14 pages -- April 19, 2010 Modelling the Bid and Ask Prices of Illiquid CDSs
by Michael Walker of the University of Toronto
(338K PDF) -- 33 pages -- April 19, 2010 Lévy Subordinator Model of Default Dependency
by BS Balakrishna of unaffiliated
(351K PDF) -- 12 pages -- April 14, 2010 Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Consistent Valuation of Bespoke CDO Tranches
by Yadong Li of Barclays Capital
(470K PDF) - 21 pages -- March 13, 2010 Credit Default Swaps Liquidity Modeling: A survey
by Damiano Brigo of Imperial College,
Mirela Predescu of Lloyds TSB, and
Agostino Capponi of the California Institute of Technology
(436K PDF) -- 36 pages -- March 20, 2010 An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil
by Antonio Di Cesare of the Bank of Italy, and
Giovanni Guazzarotti of the Bank of Italy
(711K PDF) - 45 pages -- March 2010 Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,106K PDF) -- 66 pages -- February 17, 2010 Valuation Bounds of Tranche Options
by Yadong Li of Barclays Capital, and
Ariye Shater of Barclays Capital
(148K PDF) - 19 pages -- February 4, 2010 Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010 Is there a Distress Risk Anomaly? Corporate bond spread as a proxy for default risk
by Deniz Anginer of University of Michigan, and
Çelim Yıldızhan of University of Michigan
(492K PDF) -- 47 pages -- January 18, 2010 A Spot Stochastic Recovery Extension of the Gaussian Copula
by Norddine Bennani of Barclays Capital, and
Jerome Maetz of Barclays Capital
(379K PDF) -- 21 pages -- January 2010 A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs
by Andrei V. Lopatin of NumeriX, LLC
(497K PDF) -- 31 pages -- November 29, 2009 Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009 Pricing Corporate Bonds in an Arbitrary Jump-Diffusion Model Based on an Improved Brownian-bridge Algorithm
by Johannes Ruf of the University of Ulm, and
Matthias Scherer of the University of Ulm
(223K PDF) -- 18 pages -- November 5, 2009 The Effects of Default Correlation on Corporate Bond Credit Spreads
by Bill Bobey of the University of Toronto
(236K PDF) -- 47 pages -- November 2009 Credit Gap Risk in a First Passage Time Model with Jumps
by Natalie Packham of the Frankfurt School of Finance & Management,
Lutz Schloegl of Nomura International Plc, and
Wolfgang Schmidt of the Frankfurt School of Finance & Management
(625K PDF) -- 39 pages -- November 2009 An Extended Macro-finance Model with Financial Factors
by Hans Dewachter of the University of Leuven & Erasmus University, and
Leonardo Iania of the University of Leuven
(599K PDF) -- 58 pages -- November 2009 On Correlation and Default Clustering in Credit Markets
by Antje Berndt of Carnegie Mellon University,
Peter Ritchken of Case Western Reserve University, and
Zhiqiang Sun of Fifth Third Asset Management
(738K PDF) -- 53 pages -- October 25, 2009 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 The Information Content of Option-Implied Volatility for Credit Default Swap Valuation
by Charles Cao of the Pennsylvania State University & China Center for Financial Research,
Fan Yu of the Claremont McKenna College, and
Zhaodong Zhong of the Rutgers University
(276K PDF) -- 38 pages -- September 9, 2009 French Banks Amid the Global Financial Crisis
by Yingbin Xiao of the International Monetary Fund
(1,058K PDF) -- 23 pages -- September 4, 2009 Credit Dynamics in a First Passage Time Model with Jumps
by Natalie Packham of the Frankfurt School of Finance & Management,
Lutz Schlögl of Nomura International Plc, and
Wolfgang M. Schmidt of the Frankfurt School of Finance & Management
(564K PDF) -- 34 pages -- September 2009 The Dynamics of Sovereign Credit Risk
by Alexandre Jeanneret of the University of Lausanne & Swiss Finance Institute
(1,337K PDF) -- 48 pages -- August 4, 2009 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(305K PDF) -- 37 pages -- August 2009 Fallen Angels and Price Pressure
by Brent W. Ambrose of Pennsylvania State University,
Kelly N. Cai of the University of Michigan - Dearborn, and
Jean Helwege of Pennsylvania State University
(116K PDF) -- 31 pages -- June 2, 2009 Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
by Jens H.E. Christensen of the Federal Reserve Bank of San Francisco,
Jose A. Lopez of the Federal Reserve Bank of San Francisco, and
Glenn D. Rudebusch of the Federal Reserve Bank of San Francisco
(341K PDF) -- 38 pages -- June 2, 2009 A Model of Asset Pricing under Country Risk
by Sandro C. Andrade of the University of Miami
(466K PDF) -- 25 pages -- June 2009 Simple Formulas for Standard Errors that Cluster by Both Firm and Time
by Samuel B. Thompson of the Arrowstreet Capital L.P.
(275K PDF) -- 25 pages -- May 12, 2009 Implied Recovery
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(2,319K PDF) -- 29 pages -- May 2, 2009 Credit Default Swap Auctions and Price Discovery
by Jean Helwege of Pennsylvania State University,
Sam Maurer of the Federal Reserve Bank of New York,
Asani Sarkar of the Federal Reserve Bank of New York, and
Yuan Wang of Pennsylvania State University
(188K PDF) -- 25 pages -- May 2009 Credit Risk Spreads in Local and Foreign Currencies
by Dan Galai of Sigma Group, Israel, and
Zvi Wiener of Hebrew University of Jerusalem
(947K PDF) -- 21 pages -- May 2009 Credit Risk Modeling Using Time-Changed Brownian Motion
by Tom R. Hurd of McMaster University
(395K PDF) -- 18 pages -- April 15, 2009 Credit Market Shocks and Economic Fluctuations: Evidence from corporate bond and stock markets
by Simon Gilchrist of Boston University,
Vladimir Yankov of Boston University, and
Egon Zakrajek of the Federal Reserve Board
(497K PDF) -- 49 pages -- April 7, 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 Do Not Forget the Cancellation: Marking-to-market and hedging LCDX tranches
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(176K PDF) -- 5 pages -- March 11, 2009 Credit Spread Changes within Switching Regimes
by Olfa Maalaoui of HEC Montreal,
Georges Dionne of HEC Montreal, and
Pascal François of HEC Montreal
(314K PDF) -- 52 pages -- February, 12, 2009 The Determinants of Credit Default Swap Premia
by Jan Ericsson of McGill University,
Kris Jacobs of McGill University, and
Rodolfo Oviedo of McGill University
(387K PDF) -- 24 pages -- February 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 Sovereign Risk Premia
by Nicola Borri of Boston University, and
Adrien Verdelhan of Boston University
(392K PDF) -- 49 pages -- December 1, 2008 In Search of Distress Risk
by John Y. Campbell of Harvard University,
Jens Hilscher of Brandeis University, and
Jan Szilagyi of Duquesne Capital Management, LLC
(261K PDF) -- 41 pages -- December 2008 Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven
(238K PDF) -- 18 pages -- November 13, 2008 A Value at Risk Analysis of Credit Default Swaps
by Burkhart Raunig of the Oesterreichische Nationalbank, and
Martin Scheicher of the European Central Bank
(931K PDF) -- 34 pages -- November 2008 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(220K PDF) -- 19 pages -- October 3, 2008 Specification Analysis of Structural Credit Risk Models
by Jing-zhi Huang of Pennsylvania State University, and
Hao Zhou of the Federal Reserve Board
(338K PDF) -- 44 pages -- October 2008 Explaining the Level of Credit Spreads: Option-implied jump risk premia in a firm value model
by K.J. Martijn Cremers of Yale University,
Joost Driessen of the University of Amsterdam, and
Pascal Maenhout of INSEAD
(303K PDF) -- 34 pages -- September 2008 On Correlation Effects and Default Clustering in Credit Models
by Antje Berndt of Carnegie Mellon University,
Peter Ritchken of Case Western Reserve University, and
Zhiqiang Sun of Case Western Reserve University
(902K PDF) -- 57 pages -- September 2008 Macro-model-based Stress Testing of Basel II Capital Requirements
by Esa Jokivuolle of the Bank of Finland,
Kimmo Virolainen of the Bank of Finland, and
Oskari Vähämaa of the Bank of Finland
(1,390K PDF) -- 30 pages -- September 2008 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 Determinants of Sovereign Risk: Macroeconomic fundamentals and the pricing of sovereign debt
by Jens Hilscher of Brandeis University, and
Yves Nosbusch of the London School of Economics
(413K PDF) -- 66 pages -- July 2008 Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 2008 Optimal Investment in a Defaultable Bond
by Peter Lakner of New York University, and
Weijian Liang of New York University
(647K PDF) -- 28 pages -- June 2008 A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
by Liuren Wu of Baruch College, and
Frank Xiaoling Zhang of Morgan Stanley
(205K PDF) -- 16 pages -- June 2008 How has CDO Market Pricing Changed During the Turmoil: Evidence from CDS index tranches
by Martin Scheicher of the European Central Bank
(1,006K PDF) -- 46 pages -- June 2008 Valuation of Default-sensitive Claims under Imperfect Information
by Delia Coculescu of ETH Zürich,
Hélyette Geman of Birkbeck University & ESSEC, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance
(791K PDF) -- 24 page -- April 2008 Credit Spreads and Incomplete Information
by Snorre Lindset of Sřr-Trřndelag University College & Norwegian University of Science and Technology,
Arne-Christian Lund of the Norwegian School of Economics and Business Administration, and
Svein-Arne Persson of the Norwegian School of Economics and Business Administration & Sřr-Trřndelag University College
(297K PDF) -- 42 pages -- May 14, 2008 Forced Selling of Fallen Angels
by Brent W. Ambrose of Pennsylvania State University,
Nianyun (Kelly) Cai of the University of Michigan, Dearborn, and
Jean Helwege of Pennsylvania State University
(109K PDF) -- 35 pages -- March 14, 2008 Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008 A Simple Robust Link Between American Puts and Credit Insurance
by Peter Carr of Bloomberg, L.P. & Courant Institute, and
Liuren Wu of Baruch College
(240K PDF) -- 36 pages -- May 7, 2008 Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(378K PDF) -- 29 pages -- March 3, 2008 Dynamic Pricing of Synthetic Collateralized Debt Obligations
by Robert Lamb of Imperial College,
William Perraudin of Imperial College, and
Astrid van Landschoot of Standard & Poor's
(217K PDF) -- 24 pages -- March 2008 Risk Premia in Structured Credit Derivatives
by Andreas Eckner of Stanford University
(377K PDF) -- 49 pages -- January 5, 2008 An Exact Formula for Default Swaptions Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Q-SCI, DerivativeFitch, and
Naoufel El-Bachir of the University of Reading
(315K PDF) -- 18 pages -- November 8, 2007 Flexing the Default Barrier
by Gregor Dorfleitner of Vienna University of Economics and Business Administration,
Paul Schneider of Vienna University of Economics and Business Administration, and
Tanja Vea of Vienna University of Economics and Business Administration
(7,397K PDF) -- 26 pages -- November 7, 2007 Dynamic Copulas: Applications to finance and economics
by Daniel Totouom-Tangho of MINES ParisTech
(3,209K PDF) -- 158 pages -- November 6, 2007 Modeling of CPDOs Identifying Optimal and Implied Leverage
by Jochen Dorn of the Université Paris1 Panthéon-Sorbonne
(673K PDF) -- 38 pages -- November 2007 Estimating Spillover Risk Among Large EU Banks
by Martin Čihák of the International Monetary Fund, and
Li Lian Ong of the International Monetary Fund
(604K PDF) -- 28 pages -- November 2007 Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
by Kiyotaka Nakashima of Kyoto Gakuen University, and
Makoto Saito of Hitotsubashi University
(535K PDF) -- 39 pages -- November 2007 Decomposing Swap Spreads
by Peter Feldhütter of the Copenhagen Business School, and
David Lando of the Copenhagen Business School and Princeton University
(498K PDF) -- 58 pages -- August 24, 2007 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(325K PDF) -- 40 pages -- August 22, 2007 Accounting Transparency and the Term Structure of Credit Default Swap Spreads
by Claus Bajlum of Danmarks Nationalbank & Copenhagen Business School, and
Peter Tind Larsen of the University of Aarhus
(445K PDF) -- 58 pages -- August 7, 2007 Systematic Equity-based Credit Risk: A CEV model with jump to default
by Luciano Campi of Université Paris Dauphine,
Simon Polbennikov of Lehman Brothers International, Europe, and
Alessandro Sbuelz of University of Verona
(416K PDF) -- 43 pages -- August 2007 The Skewed t Distribution for Portfolio Credit Risk
by Wenbo Hu of Bell Trading, and
Alec N. Kercheval of Florida State University
(449K PDF) -- 45 pages -- August 2007 Credit Rating Dynamics and Markov Mixture Models
by Halina Frydman of New York University, and
Til Schuermann of the Federal Reserve Bank of New York and University of Pennsylvania
(412K PDF) -- 32 pages -- August 2007 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 On Recovery And Intensity's Correlation: A new class of credit risk models
by Raquel M. Gaspar of the Technical University Lisbon, and
Irina Slinko of Swedbank, AB
(713K PDF) -- 29 pages -- July 2007 Are Credit Default Swap Spreads Market Driven
by Hayette Gatfaoui of Groupe ESC Rouen
(378K PDF) -- 8 pages -- July 2007 The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
by Martin Grandes of the the American University of Paris, and
Marcel Peter of Swiss National Bank
(338K PDF) -- 40 pages -- July 2007 Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
by Andrei V. Lopatin of NumeriX LLC, and
Timur Misirpashaev of NumeriX LLC
(584K PDF) -- 27 pages -- May 3, 2007 Multiscale Intensity Models for Single Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(413K PDF) -- 31 pages -- February 7, 2007 Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models
by Dezhong Wang of the University of California, Santa Barbara,
Svetlozar T. Rachev of the University of Karlsruhe & University of California, Santa Barbara, and
Frank J. Fabozzi of Yale University
(220 K PDF) -- 34 pages -- February 2007 Bond Durations: Corporates vs. Treasuries
by Holger Kraft of the University of Kaiserslautern, and
Claus Munk of the University of Southern Denmark
(260K PDF) -- 28 pages -- January 19, 2007 Modeling Defaultable Securities with Recovery Risk
by Lotfi Karoui of McGill University
(456K PDF) -- 52 pages -- January 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 Distribution-Invariant Risk Measures, Entropy, and Large Deviations
by Stefan Weber of Cornell University
(246K PDF) -- 24 pages -- December 4, 2006 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of the University of Reading
(655K PDF) -- 22 pages -- December 5, 2006 Capital Structure, Credit Risk, and Macroeconomic Conditions
by Dirk Hackbarth of Washington University,
Jianjun Miao of Boston University, and
Erwan Morellec of the University of Lausanne & CEPR
(374K PDF) -- 32 pages --December 2006 Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
by Benjamin Yibin Zhang of Fitch Ratings,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(376K PDF) -- 50 pages -- December 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 Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle
by Alexander David of the University of Calgary
(692K PDF) -- 56 pages -- November 2006 Default and Information
by Kay Giesecke of Stanford University
(433K PDF) -- 23 pages -- November 2006 Beyond Hazard Rates: A new framework for credit-risk modeling
by Dorje C. Brody of the Imperial College,
Lane P. Hughston of King's College London, and
Andrea Macrina of King's College London
(339K PDF) -- 27 pages -- November 2006 The Pricing of Credit Default Swaps During Distress
by Jochen Andritzky of the International Monetary Fund, and
Manmohan Singh of the International Monetary Fund
(423K PDF) -- 25 pages -- November 2006 The Delivery Option in Credit Default Swaps
by Rainer Jankowitsch of Vienna University of Economics and Business Administration,
Rainer Pullirsch of the Bank Austria-Creditanstalt, and
Tanja Vea of Vienna University of Economics and Business Administration
(428K PDF) -- 33 pages -- October 18, 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 Credit Risk in a Network Economy
by Didier Cossin of IMD, Lausanne, and
Henry Schellhorn of Claremont Graduate University
(343K PDF) -- 24 pages -- October 4, 2006 Dynamic Frailties and Credit Portfolio Modelling
by Martin Delloye of Ixis-CIB & BNP Paribas,
Jean-David Fermanian of Ixis-CIB, and
Mohammed Sbai of Ixis-CIB & Ecole Nationale des Ponts et Chaussées
(418K PDF) -- 6 pages -- October 2006 Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration
by Ashay Kadam of City University, London, and
Peter Lenk of the University of Michigan
(273K PDF) -- 46 pages -- September 7, 2007 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 A Jump to Default Extended CEV Model: An application of Bessel processes
by Peter Carr of Bloomberg & NYU Courant Institute, and
Vadim Linetsky of Northwestern University
(284K PDF) -- 25 pages -- September 2006 Credit Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -- 16 pages -- September 2006 Capital Allocation for Portfolio Credit Risk
by Paul H. Kupiec of the Federal Deposit Insurance Corporation
(871K PDF) -- 35 pages -- August 2006 Estimating Default Barriers from Market Information
by Hoi Ying Wong of the Chinese University of Hong Kong, and
Tsz Wang Choi of Citic Kawah Bank
(212K PDF) -- 25 pages -- July 11, 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 Default Risk, Shareholder Advantage and Stock Returns
by Lorenzo Garlappi of the University of Texas at Austin,
Tao Shu of the University of Texas at Austin, and
Hong Yan of the University of Texas at Austin and SEC
(311K PDF -- 48 pages -- July 2006 Yongjun, Dragon and Tangy Hong Yanz, " Macroeconomic Conditions, Firm Characteristics, and Credit Spreads", Journal of Financial Services Research, Vol. 29, No. 3, (June 2006), pp. 177-210. Hybrid Derivatives Pricing Under the Potential Approach
by Giuseppe Di Graziano of the University of Cambridge, and
L.C.G. Rogers of the University of Cambridge
(182K PF) -- 15 pages -- May 4, 2006 A Dynamic Programming Approach for the Valuation of Callable Corporate Bonds within the CIR Framework
by Luca Passalacqua of the Universitŕ di Roma La Sapienza
(236K PDF) -- 16 pages -- March 21, 2006 A Dynamic Programming Approach for Pricing CDS and CDS Options
by Hatem Ben-Ameur of HEC Montréal,
Damiano Brigo of Banca IMI, and
Eymen Errais of Stanford University
(230K PDF) -- 22 pages -- March 18, 2006 Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure
by Binh Dao of the Université Paris Dauphine, and
Monique Jeanblanc of the Université d'Évry
(388K PDF) -- 20 pages -- March 9, 2006 Liquidation Triggers and the Valuation of Equity and Debt
by Dan Galai of the Hebrew University of Jerusalem & New York University,
Alon Raviv of the Hebrew University of Jerusalem, and
Zvi Wiener of the Hebrew University of Jerusalem
(330K PDF) -- 35 pages -- January 26, 2006 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 Pricing Default Swaps: Empirical Evidence
by Patrick Houweling of Erasmus University Rotterdam and Rabobank Int'l, and
Ton Vorst of Erasmus University Rotterdam and ABN Amro
(437K PDF) -- 26 pages -- December 2005 Do We Need to Worry About Credit Risk Correlation?
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(395K PDF) -- 41 pages -- December 2005 Structural Recovery of Face Value at Default
by Rajiv Guha of CPIM, London, and
Alessandro Sbuelz of the University of Verona
(323K PDF) -- 33 pages -- December 2005 Are European Corporate Bond and Default Swap Markets Segmented?
by Didier Cossin of IMD, Lausanne, and
Hongze Lu of IMD & HEC, University of Lausanne,
(291K PDF) -- 39 pages -- November 28, 2005 Modeling the Term Structure of Defaultable Bonds under Recovery Risk
by Lotfi Karoui of McGill University
(394K PDF) -- 38 pages -- November 17, 2005 Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects
by Raquel M. Gaspar of Stockholm School of Economics, and
Thorsten Schmidt of the University of Leipzig
(1,461K PDF) -- 61 pages -- November 2005 How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa
by Marcel Peter of Swiss National Bank, and
Martin Grandes of the American University of Paris
(928K PDF) -- 64 pages -- November 2005 Determinants of Spreads on Sovereign Bank Loans: The role of credit history
by Peter Benczur of Magyar Nemzeti Bank & Central European University, and
Cosmin Ilut of Northwestern University
(858K PDF) -- 29 pages -- November 2005 Does Industry-wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries
by Viral V. Acharya of the London Business School,
Sreedhar T. Bharath of the University of Michigan, and
Anand Srinivasan of the National University of Singapore
(478k PDF) -- 47 pages -- October 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 Insider Trading in Credit Derivatives
by Viral V. Acharya of the London Business School, and
Timothy C. Johnson of the London Business School
(299K PDF) -- 45 pages -- September 2005 Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms
by Benjamin Yibin Zhang of Fitch Ratings,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(370K PDF) -- 45 pages -- September 2005 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 Credit Risk Assessment via Copulas: Association Invariance and Risk Neutrality
by Elisa Luciano of the University of Turin & ICER
(257K PDF) -- 29 pages -- July 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 Credit Default Swap Valuation with Counterparty Risk
by Seng Yuen Leung of HSBC, and
Yue Kuen Kwok of the Hong Kong University of Science and Technology
(140K PDF) -- 21 pages -- June 2005 Comparing Possible Proxies of Corporate Bond Liquidity
by Patrick Houweling of Robeco Asset Management,
Albert Mentink of Erasmus University Rotterdam & AEGON Asset Management, and
Ton Vorst of Erasmus University Rotterdam Rotterdam & ABN Amro
(718K PDF) -- 41 pages -- June 2005 Collateralized Debt Obligations Pricing and Factor Models: A new methodology using Normal Inverse Gaussian distributions
by Dominique Guegan of Ecole Normale Supérieure de Cachan, and
Julien Houdain of Ecole Normale Supérieure de Cachan & Fortis Investments
(3,312K PDF) --29 pages -- June 2005 Credit Default Swap Prices as Risk Indicators of Large German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Agnieszka Sosinska of the Universität Frankfurt
(467K PDF) -- 33 pages -- June 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 Credit Default Swap Valuation: An application to Spanish firms
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(359K PDF) -- 38 pages -- May 2005 The Pricing of Unexpected Credit Losses
by Jeffery D. Amato of the Bank for International Settlements, and
Eli M. Remolona of the Bank for International Settlements
(254K PDF) -- 41 pages -- May 2005 From Default Probabilities to Credit Spreads: Credit risk models do explain market prices
by Stefan M. Denzler of Converium Ltd.,
Michel M. Dacorogna of Converium Ltd.,
Ulrich A. Müller of Converium Ltd., and
Alexander J. McNeil of Swiss Federal Institute of Technology (ETH)
(408K PDF) -- 18 pages -- March 22, 2005 Implied Migration Rates from Credit Barrier Models
by Claudio Albanese of Imperial College London, and
Oliver X. Chen of the National University of Singapore
(493K PDF) -- 38 pages -- March 11, 2005 Estimating Structural Bond Pricing Models
by Jan Ericsson of McGill University, and
Joel Reneby of the Stockholm School of Economics
(504K PDF) -- 29 pages -- March 2005 An Integrated Pricing Model for Defaultable Loans and Bonds
by Mario Onorato of City University (London), and
Edward I. Altman of New York University
(532K PDF) - 21 pages -- March 2005 Accounting Fraud and the Pricing of Corporate Liabilities Structural Models with Garbling
by Angelo Baglioni of the Catholic University of the Sacred Heart, and
Umberto Cherubini of the University of Bologna
(408K PDF) -- 33 pages -- February 2005 LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005 Lando, David and Allen Mortensen, " On the Pricing of Step-Up Bonds in the European Telecom Sector", Journal of Credit Risk, Vol. 1, No. 1, (Winter 2004/05), pp. 71-110. 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 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 -- December 2004 An Empirical Analysis of Bond Recovery Rates: Exploring A Structural View of Default
by Dan Covitz of the Federal Reserve Board, and
Song Han of the Federal Reserve Board
(266K PDF) -- 44 pages -- December 2004 Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(467K PDF) -- 67 pages -- October 24, 2004 The Jarrow and Turnbull Default Risk Model - Evidence from the German Market
by Manfred Frühwirth of Vienna University, and
Leopold Sögner of the Technical University of Vienna
(565K PDF) -- 49 pages -- October 17, 2004 Market Indicators Bank Fragility and Indirect Market Discipline
by Reint Gropp of the European Central Bank,
Jukka Vesala of the Finnish Supervisory Authority, and
Giuseppe Vulpes of UniCredit Banca d'Impresa
(139K PDF) -- 10 pages -- September 2004 Using Yield Spreads to Estimate Expected Returns on Debt and Equity
by Ian A. Cooper of the London Business School, and
Sergei A. Davydenko of the London Business School
(331K PDF) -- 35 pages -- August 9, 2004 An Empirical Test of Option Based Default Probabilities Using Payment Behaviour and Auditor notes
by Tom E. S. Farmen of the Norwegian University of Science and Technology,
Sjur Westgaard of the Norwegian University of Science and Technology, and
Nico van der Wijst of the Norwegian University of Science and Technology
(171K PDF) -- 18 pages -- July 8, 2004 Correlated Default with Incomplete Information
by Kay Giesecke of Cornell University
(339K PDF) -- 25 pages -- July 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 Equity and Bond Market Signals as Leading Indicators of Bank Fragility
by Reint Gropp at the European Central Bank,
Jukka Vesala at UniCredit Banca d.Impresa, and
Giuseppe Vulpes at Kaiserstrasse
(233K PDF) -- 34 pages -- June 2004 A Simple Model for Credit Migration and Spread Curves
by Li Chen of Princeton University, and
Damir Filipović of the Federal Office of Private Insurance, Switzerland
(257K PDF) -- 28 pages -- May 26, 2004 Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
by Antje Berndt of Cornell University
(389K PDF) -- 43 pages -- April 16, 2004 Default Risk in Equity Returns
by Maria Vassalou of Columbia University, and
Yuhang Xing of Columbia University
(224K PDF) -- 38 pages -- April 2004 Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures
by Pascal François of HEC Montreal, and
Erwan Morellec of the University of Lausanne, University of Rochester, & FAME
(159K PDF) -- 25 pages -- April 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 An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund,
Arnaud Jobert of the International Monetary Fund, and
Janet Kong of the International Monetary Fund
(470K PDF) -- 22 pages -- February 2004 Valuing Euro Rating-Triggered Step-Up Telecom Bonds
by Patrick Houweling of Erasmus University,
Albert Mentink of Erasmus University & AEGON Asset Management, and
Ton Vorst of Erasmus University & ABN Amro
(935K PDF) -- 39 pages -- January 27, 2004 Modeling the Dynamics of Credit Spreads with Stochastic Volatility
by Kris Jacobs of McGill University, and
Xiaofei Li of York University
(565K PDF) -- 53 pages -- January 2004 Equity Volatility and Corporate Bond Yields
by John Y. Campbell of Harvard University, and
Glen B. Taksler of Harvard University
(438K PDF) -- 30 pages -- December 2003 A Simple Exponential Model for Dependent Defaults
by Kay Giesecke of Cornell University
(213K PDF) -- 20 pages -- December 2003 Pricing the Risk of Default: Are Bonds Enough?
by Daniel Gomez of the University of Lausanne, and
Boris Nikolov of the University of Lausanne
(467K PDF) -- 71 pages -- October 19, 2003 Liquidity Risk and Expected Stock Returns
by Lubo Pástor of the University of Chicago, and
Robert F. Stambaugh of the University of Pennsylvania
(4,809K PDF) -- 44 pages -- June 2003 Successive Correlated Defaults: Pricing trends and simulation
by Kay Giesecke of Cornell University
(255K PDF) -- 28 pages -- April 30, 2003 Spectral Risk Measures for Credit Portfolios
by Claudio Albanese of the University of Toronto, and
Stephan Lawi of the University of Toronto & the National University of Singapore
(379K PDF) -- 17 pages -- April 15, 2003 An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
by Herman Bierens of Pennsylvania State University, and
Jing-zhi Huang of Pennsylvania State University & New York University
(422K PDF) -- 42 pages -- April 8, 2003 Modeling Default Dependence with Threshold Models
by Ludger Overbeck of Deutsche Bank AG, and
Wolfgang Schmidt of Hochschule für Bankwirtschaft
(229K PDF) -- 17 pages -- March 18, 2003 Liquidity Shocks and Equilibrium Liquidity Premia
by Ming Huang of Stanford University
(271K PDF) -- 26 pages -- March 2003 Brockman, Paul and Harry J. Turtle, " A Barrier Option Framework for Corporate Security Valuation", Journal of Financial Economics, Vol. 67, No. 3, (March 2003), pp. 511-29. Tasche, Dirk and Luisa Tibiletti, "A Shortcut to Sign Incremental Value-at-Risk for Risk Allocation", Journal of Risk Finance, Vol. 4, No. 2, (2003), pp. 43-46. Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is fixed-income markets information sufficient to evaluate credit risk
by Daniel Aunon-Nerin of the University of Lausanne & Fame,
Didier Cossin of HEC, University of Lausanne, IMD & Fame,
Tomas Hricko of HEC, University of Lausanne & Fame, and
Zhijiang Huang of the University of Lausanne & Fame
(2,407K PDF) -- 74 pages -- December 2002 Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
by Andrea Sironi of Bocconi University, and
Giampaolo Gabbi of the Universita di Siena
(182K PDF) -- 48 pages -- September 2002 Szegö, Giorgio, "Measures of Risk", Journal of Banking & Finance, Vol. 26, No. 7, (July 2002), pp. 1253-1272. On Risk Neutral Pricing of CDOs
by Roy Mashal of the Columbia Business School
(175K PDF) -- 16 pages -- April 1, 2002 Is Default Event Risk Priced in Corporate Bonds?
by Joost Driessen of the University of Amsterdam
(275K PDF) -- 48 pages -- March 2002 Zhou, Chunsheng, " The Term Structure of Credit Spreads with Jump Risk", Journal of Banking & Finance, Vol. 25, No. 11, (November 2001), pp. 2015-2040. The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
by Manfred Frühwirth of Vienna University of Economics, and
Leopold Sögner of Vienna University of Economics
(296K PDF) -- 26 pages -- October 8, 2001 Default Probabilities and Default Correlations
by Ulrich Erlenmaier of the University of Heidelberg, and
Hans Gersbach of the University of Heidelberg
(568K PDF) -- 46 pages -- October 2001 Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina
by John J. Merrick, Jr. of New York University
(234K PDF) -- 19 pages -- October 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 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. Morck, Randall, Bernard Yeung, and Wayne Yu, " The Information Content of Stock Markets: Why do emerging markets have synchronous stock price movements?", Journal of Financial Economics, Vol. 58, No. 1, (October 2000), pp. 215-260. Acharya, Viral V., Sanjiv Ranjan Das, and Rangarajan K. Sundaram. " Pricing Credit Derivatives with Rating Transitions", Financial Analysts Journal, Vol. 58, No. 3, (May/June 2002), pp. 28-44. The Joint Estimation of Term Structures and Credit Spreads
by Patrick Houweling of Rabobank Int'l & the University Rotterdam,
Jaap Hoek of Robeco Group,
Frank Kleibergen of Erasmus University Amsterdam
(387K PDF) -- 27 pages -- March 21, 2001 Jacoby, Gady, David J. Fowler, and Aron A. Gottesman, " The Capital Asset Pricing Model and the Liquidity Effect: A theoretical approach", Journal Of Financial Markets, Vol. 3, No. 1, (February 2000), pp. 69-81. Collateral, Renegotiation and the Value of Diffusely Held Debt
by Ulrich Hege of Tilburg University, and
Pierre Mella-Barral of the London School of Economics
(480K PDF) -- 45 pages -- September 1999 Modelling European Credit Spreads
by Jan Annaert of the Erasmus University Rotterdam and University of Antwerp, and
Marc J.K. De Ceuster University of Antwerp - UFSIA
(425K PDF) -- 56 pages -- September 1999 A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
by Dilip Madan of the University of Maryland, and
Haluk Unal of the University of Maryland
(1,109K PDF) -- 32 pages -- June 28, 1999 A Model of Corporate Bond Prices with Dynamic Capital Structure
by Miikka Taurén of Indiana University
(569K PDF) -- 51 pages -- April 19, 1999 Estimating the price of default risk
by Gregory R. Duffee of the Federal Reserve Board of Governors
(284K PDF) -- 30 pages -- Spring 1999 Arvanitis, Angelo, Jonathan Gregory, and Jean-Paul Laurent, " Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999), pp. 27-43. A Comparison of Bond Pricing Models in the Pricing of Credit Risk
by Miikka Taurén of Indiana University
(473K PDF) -- 53 pages -- March 10, 1999 Defaultable Term Structure Models with Fractional Recovery of Par
by Darrell Duffie of Stanford University
(297K PDF) -- 27 pages -- August 18, 1998 Barone, Emilio, Giovanni Barone-Adesi, and Antonio Castagna, " Pricing Bonds and Bond Options with Default Risk", European Financial Management, Vol. 4, No. 2, (July 1998), pp. 231-282. Cantor, Richard and Frank Packer, " Differences of Opinion and Selection Bias in the Credit Rating Industry", Journal of Banking & Finance, Vol. 21, No. 10, (October 1997), pp. 1395-1417. CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997 Fries, Steven, Pierre Mella-Barral, William Perraudin, "Optimal Bank Reorganization and the Fair Pricing of Deposit Guarantees", Journal of Banking & Finance, Vol. 21, No. 4, (April 1997), pp. 441-468. Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
by Shing-yang Hu of National Taiwan University and University of Chicago
(109K PDF) -- 29 pages -- January 1997 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. Brennan, Michael J. and Avanidhar Subrahmanyam, " Market Microstructure and Asset Pricing: On the compensation for illiquidity in stock returns", Journal of Financial Economics, Vol. 41, (1996), pp. 441-464.
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