JEL Classification G20
"General: Financial Institutions and Services"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G20 classification. (sorted by date) 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 Samad, Abdus, "Credit Risk Determinants of Bank Failure: Evidence from US Bank Failure", International Business Research, Vol. 5, No. 9, (September 2012), pp. 10-15. Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
by Fabio Sigrist of ETH Zürich, and
Werner A. Stahel of ETH Zürich
(654K PDF) -- 39 pages -- May 30, 2012 Stress Testing Banks
by Til Schuermann of Oliver Wyman & Wharton Financial Institutions Center
(139K PDF) -- 61 pages -- April 17, 2012 Next Generation System-Wide Liquidity Stress Testing
by Christian Schmieder of the International Monetary Fund,
Heiko Hesse of the International Monetary Fund,
Benjamin Neudorfer of Oesterreichische Nationalbank,
Claus Puhr of Oesterreichische Nationalbank, and
Stefan W. Schmitz of Oesterreichische Nationalbank
(139K PDF) -- 61 pages -- January 2012 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 Capital Incentives and Adequacy for Securitizations
by Daniel Rösch of Leibniz University of Hannover, and
Harald Scheule of University of Technology, Sydney
(379K PDF) -- 52 pages -- June 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 Default and Recovery Risk Dependencies in a Simple Credit Risk Model
by Benjamin Bade of the University of Hannover,
Daniel Rösch of the University of Hannover, and
Harald Scheule of the University of Melbourne
(618K PDF) -- 16 pages -- January 2011 The Role of Market-Implied Severity Modeling for Credit VaR
by J. Samuel Baixauli of the University of Murcia, Spain, and
Susana Alvarez of the University of Murcia, Spain
(551K PDF) -- 17 pages -- November 2010 A Systematic Approach to Multi-period Stress Testing of Portfolio Credit Risk
by Thomas Breuer of the Fachhochschule Vorarlberg,
Javier Mencia of the Banco de Espańa, and
Martin Summer of the Oesterreichische Nathionalbank
(754K PDF) -- 26 pages -- June 2010 A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds
by Edward Altman of New York University, and
Egon Kalotay of Macquarie University
(293K PDF) -- 36 pages -- May 10, 2010 Jacobs, Jr., Michael, "Validation of Economic Capital Models: State of the practice, supervisory expectations and results from a bank study", Journal of Risk Management in Financial Institutions, Vol. 3, No. 4, (January 2010), pp. 334-365. How to Find Plausible, Severe and Useful Stress Scenarios
by Thomas Breuer of the Fachhochschule Vorarlberg,
Martin Jandačka of the Fachhochschule Vorarlberg,
Klaus Rheinberger of the Fachhochschule Vorarlberg, and
Martin Summer of the Oesterreichische Nathionalbank
(496K PDF) -- 20 pages -- September 2009 2008 SEC Short Selling Ban: Impacts on the credit default swap market
by Samuel Courtney of Stanford University
(1263K PDF) -- 38 pages -- May 19, 2010 Measuring Portfolio Credit Risk Correctly: Why parameter uncertainty matters
by Nikola A Tarashev of the Bank for International Settlements
(423K PDF) -- 43 pages -- April 3, 2009 Exposure at Default Model for Contingent Credit Line
by Pinaki Bag of Union National Bank, Abu Dhabi
(325K PDF) -- 26 pages -- April 1, 2010 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 How Much do Banks use Credit Derivatives to Hedge Loans?
by Bernadette A. Minton of Ohio State University,
René Stulz of Ohio State University, and
Rohan Williamson of Georgetown University
(353K PDF) -- 31 pages -- February 2009 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 Can Rating Agencies Look Through the Cycle?
by Gunter Löffler of the University of Ulm
(214K PDF) -- 31 pages -- October 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 Discriminatory Power: An obsolete validation criterion?
by Manuel Lingo of the Vienna University of Economics and Business Administration, and
Gerhard Winkler of Oesterreichische Nationalbank
(675K PDF) -- 43 pages -- February 2008 Hamerle, Alfred, Daniel Rösch, "Parameterizing Credit Risk Models", Journal of Credit Risk, Vol. 2, No. 4, (Winter 2006/2007), pp. 101-122. Quantitative Validation of Rating Models for Low Default Portfolios through Benchmarking
by Markus Ricke of the Oesterreichische Nationalbank, and
Georg von Pföstl of the Oesterreichische Nationalbank
(230K PF) -- 9 pages -- December 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 Estimating Credit Contagion in a Standard Factor Model
by Daniel Rösch of the University of Regensburg, and
Birker Winterfeldt of the University of Regensburg
(253K PDF) -- 16 pages -- January 30, 2007 Rösch, Daniel and Harald Scheule, " Stress-Testing Credit Risk Parameters: An application to retail loan portfolios", Journal of Risk Model Validation, Vol. 1, No. 1, (Spring 2007), pp. 55-75. Capital Allocation for Portfolio Credit Risk
by Paul H. Kupiec of the Federal Deposit Insurance Corporation
(871K PDF) -- 35 pages -- August 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 Time to Change - Rating Changes and Policy Implications
by Peter N. Posch of the University of Ulm
(675K PDF) -- 44 pages -- April 2, 2006 Time Series Properties of a Rating System based on Financial Ratios
by Ulrich Krüger of Deutsche Bundesbank,
Martin Stötzel of the Universität Karlsruhe, and
Stefan Trück of the Universität Karlsruhe
(926K PDF) -- 60 pages -- November 23, 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 Global Business Cycles and Credit Risk
by M. Hashem Pesaran of the University of Cambridge,
Til Schuermann of the Federal Reserve Bank of New York and Wharton Financial Institutions Center, and
Björn-Jakob Treutler of Mercer Oliver Wyman
(837K PDF) -- 61 pages -- September 2005 A Multifactor Approach for Systematic Default and Recovery Risk
by Daniel Rösch of the University of Regensburg, and
Harald Scheule of the University of Melbourne
(320K PDF) -- 32 pages -- September 2005 Macroeconomic Dynamics and Credit Risk: A Global Perspective
by M. Hashem Pesaran of the University of Cambridge & USC,
Til Schuermann of the Federal Reserve Bank of New York & Wharton University,
Björn-Jakob Treutler of Mercer Oliver Wyman & WHU, and
Scott M. Weiner of the University of Oxford
(921K) -- 60 pages -- April 12, 2005 The Effects of Rating through the Cycle on Rating Stability, Rating Timeliness and Default Prediction Performance
by Edward I. Altman of the New York University, and
Herbert A. Rijken of Vrije Universiteit Amsterdam
(236K PDF) -- 39 pages -- March 2005 Evidence on the Incompleteness of Merton-type Structural Models for Default Prediction
by Roger M. Stein of Moody's|KMV
(184K PDF) -- 11 pages -- February 9, 2005 Time-to-Default: Life Cycle, Global and Industry Cycle Impacts
by Fabien Couderc of FAME and the University of Geneva, and
Olivier Renault of FERC, Warwick Business School
(490K PDF) -- 44 pages -- February 9, 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 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 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 Ratings Versus Market-based Measures of Default Risk in Portfolio Governance
by Gunter Löffler of the University of Ulm
(254K PDF) -- 38 pages -- November 2004 How Rating Agencies Achieve Rating Stability
by Edward I. Altman of New York University, and
Herbert A. Rijken of Vrije Universiteit Amsterdam
(617K PDF) -- 45 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 A Multi-factor, Credit Migration Model for Sovereign and Corporate Debts
by Jason Z. Wei of the University of Toronto
(262K PDF) -- 27 pages -- October 2003 Debtor-in-possession Financing and Bankruptcy Resolution: Empirical Evidence
by Sandeep Dahiya of Georgetown University,
Kose John of New York University,
Manju Puric of Stanford University, and
Gabriel Ramírez of Kennesaw State University
(296K PDF) -- 22 pages -- July 2003 Metrics for Comparing Credit Migration Matrices
by Yusuf Jafry, and
Til Schuermann of the Federal Reserve Bank of New York
(610K PDF) -- 45 pages -- March 25, 2003 Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany
by Daniel Rösch of the University of Regensburg
(293K PDF) -- 30 pages -- November 2002 A Guide to Choosing Absolute Bank Capital Requirements
by Mark Carey of the Federal Reserve Board
(156K PDF) -- 23 pages -- May 2002 Barnhill Jr., Theodore M. and William F. Maxwell, " Modeling Correlated Market and Credit Risk in Fixed Income Portfolios", Journal of Banking & Finance, Vol. 26, No. 2-3, (March 2002), pp. 347-374. LossCalc™: Moody's Model for Predicting Loss Given Default (LGD)
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,189K PDF) -- 32 pages -- February 2002 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 Default and Recovery Rates of Corporate Bond Issuers: 2000
by David T. Hamilton of Moody's Investors Service,
Greg M. Gupton of Moody's Investors Service, and
Alexandra Berthault of Moody's Investors Service
(1,383K PDF) -- 60 pages -- February 2001 An Empirical Investigation in Credit Spread Indices
by Jean-Luc Prigent of the Université de Cergy-Pontoise,
Olivier Renault of the London School of Economics, and
Olivier Scaillet of the Université Catholique de Louvain
(869K PDF) -- 36 pages -- February 2001 Altman, Edward I. and Anthony Saunders, "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings", Journal of Banking & Finance, Vol. 25, No. 1, (January 2001), pp. 25-46. Bank Loan Loss Given Default
by Greg M. Gupton of Moody's|KMV,
Daniel Gates of Moody's Investors Service, and
Lea V. Carty of Moody's|KMV
(179K PDF) -- 24 pages -- November 2000 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 Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
by Mark Carey of the Federal Reserve Board
(174K PDF) -- 40 pages -- March 15, 2000 Credit Risk Rating Systems at Large U.S. Banks
by William F. Treacy of the Federal Reserve Board of Governors, and
Mark S. Carey of the Federal Reserve Board of Governors
(264K PDF) -- 35 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, (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
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