These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G17 classification. (sorted by date) The Limits of Granularity Adjustments
by Jean-David Fermanian of CREST-ENSAE
(402K PDF) -- 29 pages -- March 20, 2013 Bastos, Joćo A., "Ensemble Predictions of Recovery Rates", Journal of Financial Services Research, (forthcoming). 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 Granularity Adjustment for Mark-to-Market Credit Risk Models
by Michael B. Gordy of Federal Reserve Board, and
James Marrone of Federal Reserve Board
(474K PDF) -- 39 pages -- July 2012 The Predictive Accuracy of Credit Ratings: Measurement and Statistical Inference
by Walter Orth of the University of Cologne
(272K PDF) -- 20 pages -- February 16, 2011 Predicting Bank Loan Recovery Rates with Neural Networks
by Joćo A. Bastos of the Technical University of Lisbon
(202K PDF) -- 13 pages -- September 2010 Is Hazard or Probit more Accurate in Predicting Financial Distress? Evidence from U.S. bank failures
by Rebel A. Cole of the DePaul University, and
Qiongbing Wu of the University of Western Sydney
(224K PDF) -- 49 pages -- August 1, 2010 Forecasting Bank Loans Loss-given-default
by Joćo A. Bastos of the Technical University of Lisbon
(281K PDF) -- 16 pages -- September 2009 Predicting Bank Failures Using a Simple Dynamic Hazard Model
by Rebel A. Cole of DePaul University, and
Qiongbing Wu of the University of Newcastle
(159K PDF) -- 30 pages -- April 13, 2009
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