JEL Classification G21
"Banks; Other Depository Institutions; Mortgages"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G21 classification. (sorted by date) Valuing Derivatives: Funding Value Adjustments and Fair Value
by John Hull of University of Toronto, and
Alan White of University of Toronto
(293K PDF) -- 25 pages -- September 16. 2013 Tian, Suhua, Yunhong Yang, Gaiyan Zhang, "Bank Capital, Interbank Contagion, and Bailout Policy", Fourthcoming in: Journal of Banking & Finance. Bastos, João A., "Ensemble Predictions of Recovery Rates", Journal of Financial Services Research, (forthcoming). Collateral and Credit Issues in Derivatives Pricing
by John Hull of University of Toronto, and
Alan White of University of Toronto
(444K PDF) -- 25 pages -- January 2013 LIBOR vs OIS: The Derivatives Discounting Dilemma
by John Hull of University of Toronto, and
Alan White of University of Toronto
(385K PDF) -- 27 pages -- January 2013 Identifying European Industries with Extreme Default Risk: Application of CVaR techniques to transition matrices
by David E. Allen of Edith Cowan University,
Akhmad R. Kramadibrata of Edith Cowan University,
Rober J. Powell of Edith Cowan University, and
Abhay K. Singh of Edith Cowan University
(808K PDF) -- 45 pages -- November 2012 Dilemma
by John Hull of University of Toronto, and
Alan White of University of Toronto
(386K PDF) -- 27 pages -- October 2012 Shaffer, Sherrill, "Bank Failure Risk: Different now?", Economics Letters, Vol. 116, No. 3, (September 2012), pp. 613-616. 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. Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis
by Konstantinos Spiliopoulos of Brown University, and
Richard B. Sowers of University of Illinois at Urbana-Champaign
(393K PDF) -- 30 pages -- August 11, 2011 Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
by Sebastian Löhr of Leibniz University of Hannover,
Olga Mursajew of Leibniz University of Hannover,
Daniel Rösch of Leibniz University of Hannover, and
Harald Scheule of University of Technology, Sydney
(215K PDF) -- 23 pages -- June 28, 2012 Aggregating Credit and Market Risk: The Impact of Model Specification
by André Lucas of VU University Amsterdam & Tinbergen Institute, and
Bastiaan Verhoef of Royal Bank of Scotland
(385K PDF) -- 33 pages -- May 29, 2012 Systemic Risk Contributions: A credit portfolio approach
by Natalia Puzanova of Deutsche Bundesbank, and
Klaus Düllmann of Deutsche Bundesbank
(477K PDF) -- 34 pages -- May 21, 2012 Stress Testing Banks
by Til Schuermann of Oliver Wyman & Wharton Financial Institutions Center
(139K PDF) -- 61 pages -- April 17, 2012 Khieu, Hinh D., Donald J. Mullineaux, Ha-Chin Yi, "The Determinants of Bank Loan Recovery Rates", Journal of Banking & Finance, Vol. 36, No. 4, (April 2012), pp. 923-933. Empirical Evidence for the Structural Recovery Model
by Alexander Becker of University of Duisburg-Essen, Germany,
Alexander F.R. Koivusalo of Koivusalo Capital, Sweden, and
Rudi Schäfer of University of Duisburg-Essen, Germany
(163K PDF) -- 18 pages -- March 14, 2012 Lu, Su-Lien, "Assessing the Credit Risk of Bank Loans Using an Extended Markov Chain Model", Journal of Applied Finance & Banking, Vol. 2, No. 1, (2012), pp. 197-223. 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 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 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 A New Method to Estimate the Risk of Financial Intermediaries
by Manthos D. Delis of City University, London, and
Efthymios Tsionas of Athens University of Economics and Business
(260K PDF) -- 21 pages -- November 15, 2011 A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling
by Natalia Puzanova of Deutsche Bundesbank
(570K PDF) -- 33 pages -- November 2011 Pesola, Jarmo, " Joint Effect of Financial Fragility and Macroeconomic Shocks on Bank Loan Losses: Evidence from Europe", Journal of Banking & Finance, Vol. 35, No. 11, (November 2011), pp. 3134-3144. Qi, Min and Xinlei Zhao, "Comparison of Modeling Methods for Loss Given Default", Journal of Banking & Finance, Vol. 35, No. 11, (November 2011), pp. 2842-2855. Systemic Risk Diagnostics: Coincident indicators and early warning signals
by Bernd Schwaab of European Central Bank,
Siem Jan Koopman of VU University Amsterdam & Tinbergen Institute, and
André Lucas of Tinbergen Institute & VU University Amsterdam
(570K PDF) -- 33 pages -- August 30, 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 Empirical Estimation of Default and Asset Correlation of Large Corporates and Banks in India
by Arindam Bandyopadhyay of National Institute of Bank Management (NIBM), Pune, India, and
Sonali Ganguly of National Institute of Bank Management (NIBM), Pune, India
(415K PDF) -- 27 pages -- August 2011 Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
by René Kallestrup of Copenhagen Business SchooL,
David Lando of Copenhagen Business SchooL, and
Agatha Murgoci of Copenhagen Business SchooL
(364K PDF) -- 40 pages -- July 12, 2011 中监为体、西监为用 or the specifics of Chinese bank regulation
by Violaine Cousin - Freelance, Munich, Germany
(237K PDF) -- 34 pages -- June 2011 Pitfalls in Modeling Loss Given Default of Bank Loans
by Marc Gürtler of the Braunschweig Institute of Technology, and
Martin Hibbeln of the Braunschweig Institute of Technology
(640K PDF) -- 31 pages -- May 12, 2011 Credit Risk Contributions under the Vasicek One-factor Model: A fast wavelet expansion approximation
by Luis Ortiz-Gracia of Centre de Recerca Matemàtica, and
Josep J. Masdemont of Universitat Politècnica de Catalunya
(835K PDF) -- 23 pages -- May 2011 Haar Wavelets-based Approach for Quantifying Credit Portfolio Losses
by Josep J. Masdemont of the Universitat Politècnica de Catalunya, and
Luis Ortiz-Gracia of the Centre de Recerca Matemàtica
(241K PDF) -- 24 pages -- April 2011 Dependence of Defaults and Recoveries in Structural Credit Risk Models
by Rudi Schäfer of the University of Duisburg-Essen, and
Alexander F.R. Koivusalo of Danske Capital
(2,413K PDF) -- 19 pages -- March 30, 2011 Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why bank equity is not expensive
by Anat R. Admati of the Stanford University,
Peter M. DeMarzo of the Stanford University,
Martin F. Hellwig of the Max Planck Institute for Research on Collective Goods, and
Paul Pfleiderer of the Stanford University
(470K PDF) -- 78 pages -- March 23, 2011 A Market-Based Study of the Costs of Default
by Sergei A. Davydenko of the University of Toronto,
Ilya A. Strebulaev of the Stanford University, and
Xiaofei Zhao of the University of Toronto
(490K PDF) -- 43 pages -- March 2011 Calibration of Structural and Reduced-form Recovery Models
by Alexander F.R. Koivusalo of Danske Capital & the University of Duisburg-Essen, and
Rudi Schäfer of the University of Duisburg-Essen
(452K PDF) -- 16 pages -- February 23, 2011 Internal Assessment of Credit Concentration Risk Capital: A portfolio analysis of Indian public sector bank
by Arindam Bandyopadhyay of the National Institute of Bank Management (NIBM), Pune
(194K PDF) -- 18 pages -- January 31, 2011 Transition Probability Matrix Methodology for Incremental Risk Charge
by Tzahi Yavin of the Royal Bank of Canada,
Hu Zhang of the Royal Bank of Canada,
Eugene Wang of the Royal Bank of Canada, and
Michael A. Clayton of the Royal Bank of Canada
(514K PDF) -- 49 pages -- January 17, 2011 Systemic Risk Contributions
by Xin Huang of the Federal Reserve Board,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Federal Reserve Board
(514K PDF) -- 49 pages -- January 2011 Witzany, Jiří, "Estimating LGD Correlation", IUP Journal of Financial Risk Management, Vol. 52, No. 4, (December 2010), pp. 73-83. What Triggers Default? A study of the default boundary
by Sergei A. Davydenko of the University of Toronto
(513K PDF) -- 50 pages -- November 15, 2010 Credit Allocation, Capital Requirements and Procyclicality
by Esa Jokivuolle of the Bank of Finland,
Ilkka Kiema of the University of Helsinki, and
Timo Vesala of the Tapiola Group
(514K PDF) -- 49 pages -- October 28, 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 Predicting Bank Loan Recovery Rates with Neural Networks
by João A. Bastos of the Technical University of Lisbon
(202K PDF) -- 13 pages -- September 2010 Modeling Frailty-correlated Defaults using many Macroeconomic Covariates
by Siem Jan Koopman of the VU University Amsterdam & Tinbergen Institute,
André Lucas of the VU University Amsterdam & Tinbergen Institute & Duisenberg School of Finance, and
Bernd Schwaab of the European Central Bank
(646K PDF) -- 37 pages -- August 26, 2010 Macro, Frailty, and Contagion Effects in Defaults: Lessons from the 2008 credit crisis
by Siem Jan Koopman of VU University Amsterdam & Tinbergen Institute,
André Lucas of VU University Amsterdam & Tinbergen Institute & Duisenberg school of finance, and
Bernd Schwaab of European Central Bank
(794K PDF) -- 36 pages -- August 24, 2010 Stress Testing: The impact of shocks on the capital needs of the Luxembourg banking sector
by Abdelaziz Rouabah of the Banque centrale du Luxembourg, and
John Theal of the Banque centrale du Luxembourg
(314K PDF) -- 28 pages -- August 23, 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 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 Grundke, Peter, "Top-down Approaches for Integrated Risk Management: How accurate are they?", European Journal of Operational Research, Vol. 203, No. 3, (June 2010), pp. 662-672 Aggregate Risk and the Choice between Cash and Lines of Credit
by Viral V. Acharya of New York University,
Heitor Almeida of the University of Illinois, and
Murillo Campello of the University of Illinois
(652K PDF) -- 48 pages -- June 2010 Structured Finance Influence on Financial Market Stability: Evaluation of current regulatory developments
by Sebastian A. Schuetz of the University of Lüneburg
(1,187K PDF) -- 43 pages -- June 2010 Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A real options approach
by Tetsuya Yamada of the Bank of Japan
(491K PDF) -- 42 pages -- June 2010 An Econometric Model to Quantify Benchmark Downturn LGD on Residential Mortgages
by Marco Morone of Intesa Sanpaolo, and
Marco Cornaglia of Intesa Sanpaolo
(499K PDF) -- 28 pages -- May 28, 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 Bank Loan Recovery Rates: Measuring and nonparametric density estimation
by Raffaella Calabrese of the University of Milano-Bicocca, and
Michele Zenga of the University of Milano-Bicocca
(392K PDF) -- 9 pages -- May 2010 Too Interconnected To Fail: Financial contagion and systemic risk in network model of CDS and other credit enhancement obligations of US banks
by Sheri Markose of the University of Essex,
Simone Giansante of the University of Essex,
Mateusz Gatkowski of the University of Essex, and
Ali Rais Shaghaghi of the University of Essex
(1,264K PDF) -- 60 pages -- April 21, 2010 Exposure at Default Model for Contingent Credit Line
by Pinaki Bag of Union National Bank, Abu Dhabi
(325K PDF) -- 26 pages -- April 1, 2010 Drehmann, Mathias, Steffen Sorensen, Marco Stringa, "The Integrated Impact of Credit and Interest Rate Risk on Banks: A dynamic framework and stress testing application", Journal of Banking & Finance, Vol. 34, No. 4, (April 2010), pp. 713-729. Pagano, Marco and Paolo Volpin, "Credit Ratings Failures and Policy Options", Economic Policy, Vol. 25, No. 62, (April 2010), pp. 401-431. Rethinking Risk Capital Allocation in a RORAC Framework
by Arne Buch of d-fine GmbH,
Gregor Dorfleitner, of University of Regensburg, and
Maximilian Wimmer of University of Regensburg
(403K PDF) -- 25 pages -- December 3, 2009 Factor Models and the Credit Risk of a Loan Portfolio
by Edgardo Palombini of Fondo Interbancario di Tutela dei Depositi (FITD)
(312K PDF) -- 23 pages -- October 2009 Modeling Bank Loan LGD of Corporate and SME Segments: A case study
by Radovan Chalupka of Charles University in Prague, and
Juraj Kopecsni of Charles University in Prague
(470K PDF) -- 23 pages -- October 2009 Measuring Concentration Risk for Regulatory Purposes
by Marc Gürtler of the Technical University at Braunschweig,
Martin Hibbeln of the Technical University at Braunschweig, and
Clemens Vöhringer of the Technical University at Braunschweig
(656K PDF) -- 49 pages -- September 5, 2009 French Banks Amid the Global Financial Crisis
by Yingbin Xiao of the International Monetary Fund
(1,058K PDF) -- 23 pages -- September 4, 2009 Recovery Rates and Macroeconomic Conditions: The role of loan covenants
by Zhipeng Zhang of Boston College
(428K PDF) -- 59 pages -- September 2, 2009 Crash Testing German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Martin Erdelmeier of Deutsche Bundesbank
(659K PDF) -- 37 pages -- September 2009 Forecasting Bank Loans Loss-given-default
by João A. Bastos of the Technical University of Lisbon
(281K PDF) -- 16 pages -- September 2009 How to Gauge the Default Risk? An empirical application of structural-form models
by Su-Lien Lu of National United University, Taiwan, and
Pei-Chen Tsai of National United University, Taiwan
(155K PDF) -- 11 pages -- July 2009 A New Capital Regulation for Large Financial Institutions
by Oliver Hart of Harvard University, and
Luigi Zingales of the University of Chicago
(147K PDF) -- 30 pages -- June 2009 International Banks' Ratings with an Indicator Variable for Country Effects
by Roman Matousek of London Metropolitan University,
Chris Stewart of London Metropolitan University, and
Gary van Vuuren of Fitch Ratings
(220K PDF) -- 19 pages -- May 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 A Practical Approach to Validating a PD Model
by Lydian Medema of the University of Groningen,
Ruud H. Koning of the University of Groningen, and
Robert Lensink of the University of Groningen
(207K PDF) -- 8 pages -- April 2009 Importance Sampling for Integrated Market and Credit Portfolio Models
by Peter Grundke of the University of Cologne
(319K PDF) -- 21 pages -- April 2009 A Framework for Assessing the Systemic Risk of Major Financial Institutions
by Xin Huang of the University of Oklahoma,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(377K PDF) -- 44 pages -- April 2009 Recovery Rates, Default Probabilities, and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos Gonzalez-Aguado of CEMFI
(217K PDF) -- 36 pages -- March 30, 2009 Bank Monitoring Incentives and Optimal CDOs
by Henri Pagès of Banque de France
(295K PDF) -- 33 pages -- March 27, 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 Stefanescu, Catalina, Radu Tunaru, Stuart M. Turnbull, "The Credit Rating Process and Estimation of Transition Probabilities: A Bayesian approach", Journal of Empirical Finance, Vol. 16, No. 2, (March 2009), pp. 216-234. Cross-Border Bank Contagion In Europe
by Reint Gropp of the European Business School & the Centre for European Economic Research (ZEW),
Marco Lo Duca of the European Central Bank, and
Jukka Vesala of the Financial Supervision Authority of Finland (Fin-FSA)
(804K PDF) -- 43 pages -- March 2009 The Use (and Abuse) of CDS Spreads During Distress
by Manmohan Singh of the International Monetary Fund, and
Carolyne Spackman of the International Monetary Fund
(705K PDF) -- 13 pages -- March 2009 Macro Stress-Testing on the Loan Portfolio of Japanese Banks
by Akira Otani of the Bank of Japan,
Shigenori Shiratsuka of the Bank of Japan,
Ryoko Tsurui of the Bank of Japan, and
Takeshi Yamada of the Bank of Japan
(206K PDF) -- 34 pages -- March 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 Jan Koopman, Siem, Roman Kräussl, André Lucas, and André Monteiro, " Credit Cycles and Macro Fundamentals", Journal of Empirical Finance, Vol. 16, No. 1, (January 2009), pp. 42-54. Witzany, Jiří, "Unexpected Recovery Risk and LGD Discount Rate Determination", European Financial and Accounting Journal, Vol. 4, No. 1, (2009), pp. 61-84. The Future of Securitization
by Günter Franke of the University of Konstanz & Goethe University, and
Jan Pieter Krahnen of Goethe-University Frankfurt
(321K PDF) -- 59 pages -- November 28, 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 Monitoring Banking Sector Risks: An applied approach
by Christian Weistroffer of Deutsche Bank & Goethe University, and
Veronica Vallés of Deutsche Bank
(915K PDF) -- 43 pages -- October 28, 2008 Aver, Boštjan, " An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System", Managing Global Transitions, Vol. 6, No. 3, (Fall 2008), pp. 317-334. 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 Can a Coherent Risk Measure be Too Subadditive?
by Jan Dhaene of the Catholic University of Leuven & University of Amsterdam,
Roger J.A. Laeven of the University of Amsterdam & Mercer Oliver Wyman,
Steven Vanduffel of the Catholic University of Leuven,
Grzegorz Darkiewicz of the Catholic University of Leuven, and
Marc J. Goovaerts of the Catholic University of Leuven & University of Amsterdam
(491K PDF) -- 22 pages -- June 2008 A Note on Fitting Markov Operator Credit Risk Models
by Harley Thompson of Commonwealth Bank of Australia, and
Jonathan Harris of Commonwealth Bank of Australia
(399K PDF) -- 19 pages -- June 2008 Dynamic Default Rates
by Robert Lamb of Imperial College London, and
William Perraudin of Imperial College London
(307K PDF) -- 34 pages -- May 2008 Risk Transfer with CDOs
by Jan Pieter Krahnen of Goethe University Frankfurt, and
Christian Wilde of Goethe University Frankfurt
(190K PDF) -- 23 pages -- April 28, 2008 A Novel Methodology for Credit Portfolio Analysis: Numerical approximation approach
by Yasushi Takano of Mizuho-DL Financial Technology, and
Jiro Hashiba of Mizuho-DL Financial Technology
(3,043K PDF) -- 60 pages -- April 24, 2008 What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches
by Andrew Kuritzkes of Mercer Oliver Wyman, and
Til Schuermann of the Federal Reserve Bank of New York & Wharton Financial Institutions Center
(195K PDF) -- 58 pages -- March 23, 2008 Regulatory Treatment of the Double Default Effect under the New Basel Accord: How conservative is it
by Peter Grundke of the University of Cologne
(453K PDF) -- 23 pages -- March 2008 Using Securities Market Information for Bank Supervisory Monitoring
by John Krainer of the Federal Reserve Bank of San Francisco, and
Jose A. Lopez of the Federal Reserve Bank of San Francisco
(296K PDF) -- 40 pages -- March 2008 Credit Risk Assessment Considering Variations in Exposure: Application to commitment lines
by Shigeaki Fujiwara of the Bank of Japan
(303K PDF) -- 34 pages -- February 2008 Goodness-of-Fit Test for Event Forecasting
by Andreas Blöchlinger of Zürcher Kantonalbank, and
Markus Leippold of Imperial College London
(390K PDF) -- 46 pages -- January 9, 2008 Ebnöther, Silvan, Paolo Vanini, "Credit Portfolios: What defines risk horizons and risk measurement?", Journal of Banking & Finance, Vol. 31, No. 12, (December 2007), pp. 3663-3679. Parnes, Dror, "Time Series Patterns in Credit Ratings", Finance Research Letters, Vol. 4, No. 4, (December 2007), pp. 217-226. Banking and Securitization
by Wenying Jiangli of the Federal Deposit Insurance Corporation,
Matthew Pritsker of the Federal Reserve Board, and
Peter Raupach of the Bundesbank
(572K PDF) -- 82 pages -- November 23, 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 Firm Heterogeneity and Credit Risk Diversification
by Samuel G. Hanson of Harvard University,
M. Hashem Pesaran of the University of Cambridge & University of Southern California, and
Til Schuermann of the Federal Reserve Bank of New York & Wharton Financial Institutions Center
(527K PDF) -- 46 pages -- November 2007 Credit Risk Models for Managing Bank's Agricultural Loan Portfolio
by Arindam Bandyopadhyay of the National Institute of Bank Management, Pune, India
(379K PDF) -- 19 pages -- October 12, 2007 Recovery Rates of Commercial Lending: Empirical evidence for German companies
by Jens Grunert of University of Tuebingen, and
Martin Weber of University of Mannheim & Centre for Economic Policy Research
(339K PDF) -- 50 pages -- October 2007 Düllmann, Klaus and Nancy Masschelein, " A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios", Journal of Financial Services Research, Vol. 32, No. 1, (October 2007), pp. 55-79. Asset Correlations and Credit Portfolio Risk: An empirical analysis
by Klaus Düllmann of Deutsche Bundesbank,
Martin Scheicher of the European Central Bank, and
Christian Schmieder of the European Investment Bank
(414K PDF) -- 52 pages -- September 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 Godlewski, Christophe J., " Are Ratings Consistent with Default Probabilities?: Empirical evidence on banks in emerging market economies", Emerging Markets Finance and Trade, Vol. 43, No. 4, (July-August 2007), pp. 5-23. Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany, and the U.K.
by Sergei A. Davydenko of the University of Toronto, and
Julian R. Franks of the London Business School
(379K PDF) -- 49 pages -- June 2007 Evaluation of Default Risk for the Brazilian Banking Sector
by Marcelo Y. Takami of Banco Central do Brasil, and
Benjamin M. Tabak of Banco Central do Brasil
(339K PDF) -- 36 pages -- May 2007 An Early Warning Model for EU Banks with Detection of the Adverse Selection Effect
by Olivier Brossard of IEP Toulouse & Université Toulouse 1,
Frédéric Ducrozet of Paris Sciences Economiques & Crédit Agricole SA, and
Adrian Roche of Université Paris X & Crédit Agricole SA
(495K PDF) -- 24 pages -- April 2007 Valuation of Risky Debt: a Multi-Period Bayesian Framework
by Leonid V. Philosophov of the Moscow Committee of Bankruptcy Affairs
(317K PDF) -- 22 pages -- March 26, 2007 Economic Capital Assessment via Copulas: Aggregation and Allocation of Different Risk Types
by Marco Morone of Intesa-Sanpaolo,
Anna Cornaglia of Intesa-Sanpaolo, and
Giulio Mignola of Intesa-Sanpaolo
(941K PDF) -- 20 pages -- March 2, 2007 Modeling the Distribution of Credit Losses with Observable and Latent Factors
by Gabriel Jiménez of the Bank of Spain, and
Javier Mencía of the Bank of Spain
(498K PDF) -- 93 pages -- March 2007 Credit Risk Drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
by Diana Bonfim of Banco de Portugal
(558K PDF) -- 48 pages -- March 2007 Bank Behavior with Access to Credit Risk Transfer Markets
by Benedikt Goderis of Oxford University,
Ian W. Marsh of Cass Business School,
Judit Vall Castello of Maastricht University, and
Wolf Wagner of Tilburg University
(560K PDF) -- 32 pages -- February 2007 Apples and Pears: The comparison of risk capital and required return in financial institutions
by Alistair Milne of City University, London & Bank of Finland, and
Mario Onorato of Algorithmics, Inc. & City University, London
(266K PDF) -- 42 pages -- February 2007 Is Firm Interdependence within Industries Important for Portfolio Credit Risk?
by Kenneth Carling of IFAU, Uppsala, Sweden, & Dalarna University,
Lars Rönnegård of Uppsala University, and
Kasper Roszbach of Sveriges Riksbank
(388K PDF) -- 33 pages -- January 22, 2007 Do Economic Downturns Have an Impact on the Loss Given Default of Mobile Lease Contracts? An Empirical Study for the German Leasing Market
by Thomas Hartmann-Wendels of the University of Cologne, and
Martin Honal of the University of Cologne
(268K PDF) -- 34 pages -- December 2006 Modeling Credit Risk for SMEs: Evidence from the US market
by Edward I. Altman of New York University, and
Gabriele Sabato of ABN AMRO, Amsterdam
(333K PDF) -- 43 pages -- November 2006 Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence
by Edward Altman of New York University
(190K PDF) -- 36 pages -- November 2006 The Organization of Credit Risk Management in Banks: Hard versus Soft Information
by Brigitte Godbillon-Camus of the Université Robert Schuman, and
Christophe J. Godlewski of the Université Louis Pasteu
(194K PDF) -- 24 pages -- October 2, 2006 Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress
by Isabelle Distinguin of the Université de Limoges,
Philippe Rous of the Université de Limoges, and
Amine Tarazi of the Université de Limoges
(580K PDF) -- 26 pages -- October 2006 Monte Carlo Simulation of Economic Capital Requirement And Default Protection Premium
by Amit Kulkarni of the National Institute of Bank Management
(834K PDF) -- 35 pages -- September 20, 2006 Are Corporates' Target Leverage Ratios Time-Dependent?
by Cho-Hoi Hui of the Hong Kong Monetary Authority
Chi-Fai Lo of the Chinese University of Hong Kong, and
Ming-Xi Huang of the Chinese University of Hong Kong
(227K PDF) -- 17 pages -- September 2006 Higher-order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
by Xinzheng Huang of Delft University of Technology,
Cornelis W. Oosterlee of Delft University of Technology, and
Hans van der Weide of Delft University of Technology
(226K PDF) -- 21 pages -- Fall 2007 Nyström, Kaj, Jimmy Skoglund, "A Credit Risk Model for Large Dimensional Portfolios with Application to Economic Capital", Journal of Banking & Finance, Vol. 30, No. 8, (August 2006), PP. 2163-2197. Capital Allocation for Portfolio Credit Risk
by Paul H. Kupiec of the Federal Deposit Insurance Corporation
(871K PDF) -- 35 pages -- August 2006 Estimation of the Default Risk of Publicly Traded Canadian Companies
by Georges Dionne of HEC Montréal,
Sadok Laajimi of HEC Montréal,
Sofiane Mejri of HEC Montréal, and
Madalina Petrescu of HEC Montréal
(605K PDF) -- 63 pages -- August 2006 The Effect of Fair vs. Book Value Accounting on Banks
by Katrin Burkhardt of Bundesverband Deutscher Banken, and
Roland Strausz of the Free University Berlin
(222K PDF) -- 27 pages -- July 3, 2006 Economic and Regulatory Capital in Banking: What is the Difference?
by Abel Elizalde of CEMFI & UPNA, and
Rafael Repullo of CEMFI & CEPR
(334K PDF) -- 30 pages -- July 2006 Estimating Probabilities of Default for German Savings Banks and Credit Cooperatives
by Daniel Porath of the University of Applied Sciences at Mainz
(371K PDF) -- 20 pages -- July 2006 Testing Probability Calibrations: Application to credit scoring models
by Andreas Blöchlinger of Credit Suisse, and
Markus Leippold of the Federal Reserve Bank of New York & University of Zurich
(379K PDF) -- 36 pages -- May 6, 2006 Should Banks Be Diversified? Evidence from individual bank loan portfolios
by Viral V. Acharya of the London Business School,
Iftekhar Hasan of the Rensselaer Polytechnic Institute, and
Anthony Saunders of New York University
(301K PDF) -- 58 pages -- May 2006 Multiple Lenders and Corporate Distress: Evidence on debt restructuring
by Antje Brunner of Humboldt-Universitaet Berlin & CFS, and
Jan Pieter Krahnen Frankfurt University & CEPR
(461K PDF) -- 41 pages -- June 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 Bank Failure Prediction: A Two-Step Survival Time Approach
by Michael Halling of the University of Vienna, and
Evelyn Hayden of the Austrian National Bank
(1,244K PDF) -- 31 pages -- May 2006 The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model
by Andrea Resti of Bocconi University, and
Andrea Sironi of Bocconi University
(337K PDF) -- 35 pages -- May 2006 Affine Models for Credit Risk Analysis
by Christian Gouriéroux of CREST & CEPREMAP & the University of Toronto,
Alain Monfort of CNAM & CREST, and
Vassilis Polimenis of the University of California, Riverside
(328K PDF) -- 37 pages -- April 20, 2006 Corporate Credit Risk Modeling and the Macroeconomy
by Kenneth Carling of IFAU and Dalarna University,
Tor Jacobson of Riksbank,
Jesper Lindé of Riksbank, and
Kasper Roszbach Riksbank
(531K PDF) -- 29 pages -- April 5, 2006 A New Risk Indicator and Stress Testing Tool: A Multifactor N th -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 Estimating Continuous Time Transition Matrices From Discretely Observed Data
by Yasunari Inamura of the Bank of Japan
(351K PDF) -- 41 pages -- April 2006 On Sovereign Credit Migration: A study of alternative estimators and rating dynamics
by Ana-Maria Fuertes of the City University London, and
Elena Kalotychou of the City University London
(2,967K PDF) -- 39 pages -- February 2006 Lucas, André, Pieter Klaassen, "Discrete versus Continuous State Switching Models for Portfolio Credit Risk", Journal of Banking & Finance, Vol. 30, No. 1, (January 2006), pp. 23-35. Allen, Franklin and Elena Carletti, " Credit Risk Transfer and Contagion", Journal of Monetary Economics, Vol. 53, No. 1, (January 2006), pp. 89-111. Pricing and Hedging of Contingent Credit Lines
by Elena Loukoianova of the International Monetary Fund,
Salih N. Neftci of CUNY, and
Sunil Sharma of the International Monetary Fund
(1,082K PDF) -- 26 pages -- January 2006 Koopman, Siem Jan, André Lucas, and Pieter Klaassen, "Empirical Credit Cycles and Capital Buffer Formation", Journal of Banking & Finance, Vol. 29, No. 12, (December 2005), pp. 3159-3179. Pederzoli, Chiara and Costanza Torricelli, " Capital Requirements and Business Cycle Regimes: Forward-looking modelling of default probabilities", Journal of Banking & Finance, Vol. 29, No. 12, (December 2005), pp. 3121-3140. Mapping Corporate Drift towards Default: A study of distance to default of Indian corporates
by Arindam Bandyopadhyay of the National Institute of Bank Management (NIBM), India
(171K PDF) -- 25 pages -- November 4, 2005 Forward-Looking Estimation of Default Probabilities with Italian Data
by Giuseppe Marotta of the University of Modena & Reggio Emilia,
Chiara Pederzoli of the University of Milano Bicocca, and
Costanza Torricelli of the University of Modena & Reggio Emilia
(160K PDF) -- 18 pages -- November 2005 The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
by Edward I. Altman of New York University,
Brooks Brady of Standard & Poor's,
Andrea Resti of Bergamo University, and
Andrea Sironi of Bocconi University
(428K PDF) -- 26 pages -- November 2005 Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
by Edward I. Altman of New York University, and
Gabriele Sabato of the University of Rome "La Sapienza"
(342K PDF) -- 28 pages -- October 2005 Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation
by João Eduardo Fernandes of Banco BPI
(668K PDF) -- 73 pages -- October 2005 Kuritzkes, Andrew, Til Schuermann, Scott M. Weiner, "Deposit Insurance and Risk Management of the U.S. Banking System: What is the loss distribution faced by the FDIC?", Journal of Financial Services Research, Vol. 27, No. 3, (September 2005), pp. 217-242. Stress Testing of Banking Systems
by Martin Čihák of the International Monetary Fund
(329K PDF) -- 23 pages -- September 2005 On the Applicability of Fourier Based Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk
by Peter Grundke of the University of Cologne
(1,414K PDF) -- 38 pages -- September 2005 Default Risk Sharing Between Banks and Markets: The contribution of collateralized debt obligations
by Günter Franke of the University of Konstanz, and
Jan Pieter Krahnen of the University of Frankfurt
(756K PDF) -- 38 pages -- August 18, 2005 Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(763K PDF) -- 29 pages -- August 1, 2005 Economic Benefit of Powerful Credit Scoring
by Andreas Blöchlinger of Credit Suisse, and
Markus Leippold of the Swiss Banking Institute, University of Zürich
(579K PDF) -- 42 pages -- July 20, 2005 Confidence Intervals for Probabilities of Default
by Samuel Hanson of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(388K PDF) -- 44 pages -- July 19, 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 Credit Scoring and the Sample Selection Bias
by Thomas Parnitzke of the University of St. Gallen
(179K PDF) -- 21 pages -- May 31, 2005 Bayesian Methods for Improving Credit Scoring Models
by Gunter Löffler of the University of Ulm,
Peter N. Posch of the University of Ulm, and
Christiane Schöne of the University of Ulm
(222K PDF) -- 26 pages -- May 31, 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 Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation
by João Eduardo Fernandes of Banco BPI
(594K PDF) -- 70 pages -- April 2005 Bank Loan Losses-Given-Default: A case study
by Jean Dermine of INSEAD (Fontainebleau), and
Cristina Neto de Carvalho of Universidade Catolica Portuguesa (Lisbon)
(133K PDF) -- 40 pages -- March 10, 2005 Optimal Credit Limit Management Under Different Information Regimes
by Markus Leippold of the University of Zürich,
Paolo Vanini of the University of Zürich & Zürcher Kantonalbank, and
Silvan Ebnoether of Zürcher Kantonalbank
(466K PDF) -- 29 pages -- February 27, 2005 How Do Banks Manage Liquidity Risk? Evidence from the equity and deposit markets in the Fall of 1998
by Evan Gatev of Boston College,
Til Schuermann of the Federal Reserve Bank of New York & Wharton, and
Philip E. Strahan of Boston College, Wharton , & NBER
(165K PDF) -- 36 pages -- February 2005 A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
by Robert J. Daniels of KPMG Mexico,
Siem Jan Koopman of Vrije Universiteit and Tingergen Institute Amsterdam, and
André Lucas of Tingergen Institute Amsterdam
(651K PDF) -- 32 pages -- January 31, 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 Renault, Olivier and Olivier Scaillet, " On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities" Journal of Banking & Finance, Vol. 28, No. 12, (December 2004), pp. 2915-2931. Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
by Edward Altman of New York University,
Amar Gande of Vanderbilt University, and
Anthony Saunders of New York University
(266K PDF) -- 45 pages -- December 2004 Risk Measurement with Integrated Market and Credit Portfolio Models
by Peter Grundke of the University of Cologne
(216K PDF) -- 40 pages -- December 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 Peura, Samu, Esa Jokivuolle, "Simulation Based Stress Tests of Banks' Regulatory Capital Adequacy", Journal of Banking & Finance, Vol. 28, No. 8, (August 2004), pp. 1801-1824. Identifying Threshold Effects in Credit Risk Stress Testing
by J. Giancarlo Gasha of the International Monetary Fund, and
R. Armando Morales of the International Monetary Fund
(297K PDF) -- 18 pages -- August 2004 Default Greeks Under an Objective Probability Measure
by Tom E. S. Farmen of the Norwegian School of Science and Technology Management,
Stein-Erik Fleten of the Norwegian School of Science and Technology Management,
Sjur Westgaard of the Norwegian School of Science and Technology Management, and
Nico van der Wijst of the Norwegian School of Science and Technology Management
(344K PDF) -- 31 pages -- July 9, 2004 Loan Pricing under Basel Capital Requirements
by Rafael Repullo of CEMFI & CEPR, and
Javier Suarez of CEMFI & CEPR
(328K PDF) -- 37 pages -- July 2004 Altman, Edward, Andrea Resti, and Andrea Sironi, " Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence", Economic Notes, Vol. 33, No. 2, (July 2004), pp. 183-208. Structural Models in Consumer Credit
by Fabio Wendling Muniz de Andrade of EAESP-FGV / SERASA - Brazil, and
Lyn Thomas of the University of Southampton
(183K PDF) -- 29 pages -- July 2004 Estimating Probabilities of Default
by Til Schuermann of the Federal Reserve Bank of New York, and
Samuel Hanson of the Federal Reserve Bank of New York
(382K PDF) -- 36 pages -- July 2004 Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores under Censoring
by Holger Kraft of Fraunhofer ITWM,
Gerald Kroisandt of Fraunhofer ITWM, and
Marlene Müller of Fraunhofer ITWM
(678K PDF) -- 22 pages -- June 29, 2004 Prediction of Bank Failures Using Combined Micro and Macro Data
by Chung-Hua Shen of National Cheng Chi University, and
Meng-Fen Hsieh of VanNung Institute of Technology
(2,141K PDF) -- 56 pages -- June 11, 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 Systematic Risk in Recovery Rates - An Empirical Analysis of U.S. Corporate Credit Exposures
by Klaus Düllmann of Deutsche Bundesbank, and
Monika Trapp of the Universität Ulm
(430K PDF) -- 35 pages -- June 2004 Avoiding the Rating Bounce: Why rating agencies are slow to react to new information
by Gunter Löffler of the University of Ulm
(122K PDF) -- 31 pages -- May 2004 Cowan, Adrian M., Charles D. Cowan, "Default Correlation: An empirical investigation of a subprime lender", Journal of Banking & Finance, Vol. 28, No. 4, (April 2004), pp. 753-771. Measurement, Estimation and Comparison of Credit Migration Matrices
by Yusuf Jafry of the Risk Integrated Group, and
Til Schuermann of the Federal Reserve Bank of New York
(389K PDF) -- 53 pages -- March 5, 2004 Loan-Portfolio Quality and the Diffusion of Technological Innovation
by Robert Hauswald of American University, and
Robert Marquez of the University of Maryland
(305K PDF) -- 33 pages -- March 2004 A Simple Model of Credit Contagion
by Daniel Egloff of Zürcher Kantonalbank,
Markus Leippold of the University of Zurich, and
Paolo Vanini of the University of Southern Switzerland & Zürcher Kantonalbank
(1,555K PDF) -- 51 pages -- February 18, 2004 What Do We Know About Loss-Given-Default?
by Til Schuermann of the Federal Reserve Bank of New York
(272K PDF) -- 30 pages -- February 2004 Classification and Rating of Firms in the Presence of Financial and Non-financial Information
by Thomas Mählmann of the University of Cologne
(422K PDF) -- 23 pages -- February 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 Forecasting Credit Portfolio Risk
by Alfred Hamerle of the Universität Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Harald Scheule of the Universität Regensburg
(335K PDF) -- 44 pages -- February 2004 Credit Risk Transfer and Financial Sector Performance
by Wolf Wagner of Cambridge University, and
Ian Marsh of the City University of London
(199K PDF) -- 31 pages -- January 2004 Large Portfolio Losses
by Amir Dembo of Stanford University,
Jean-Dominique Deuschel Technische Universität Berlin, and
Darrell Duffie of Stanford University
(205K PDF) -- 14 pages -- January 2004 Risk Management, Capital Structure and Lending at Banks
by A. Sinan Cebenoyan of Hofstra University, and
Philip E. Strahan of Boston College
(257K PDF) -- 25 pages -- January 2004 Perraudin, William and Alex Taylor, " On the Consistency of Ratings and Bond Market Yields", Journal of Banking & Finance, Vol. 28, No. 11, (November 2004), pp. 2769-2788. Business and Default Cycles for Credit Risk
by Siem Jan Koopman of the Vrije Universiteit Amsterdam & the Tinbergen Institute, and
André Lucas of the Vrije Universiteit Amsterdam & the Tinbergen Institute
(250K PDF) -- 23 pages -- December 24, 2003 Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(2,027K PDF) -- 40 pages -- December 2003 Determinants of the Asset Correlations of German Corporations and Implications for Regulatory Capital
by Klaus Düllmann of Deutsche Bundesbank, and
Harald Scheule of the University of Regensburg
(254K PDF) --27 pages -- October 2003 Jokivuolle, Esa and Samu Peura, " Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios", European Financial Management, Vol. 9, No. 3, Helsinki School of Economics and the Bank of Finland (September 2003), page 299. Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università "LUISS-Guido Carli",
Andrea Sironi of the Università "Luigi Bocconi", and
Cristiano Zazzara of Capitalia & Università "LUISS-Guido Carli"
(122K PDF) -- 29 pages -- August 2003 Calibrating the CreditMetrics™ Correlation Concept: Empirical evidence from Germany
by Lutz Hahnenstein of the IKB Deutsche Industriebank
(275K PDF) -- 29 pages -- July 31, 2003 Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model
by Uwe Wehrspohn of Heidelberg University
(337K PDF) -- 19 pages -- May 2003 Bank Lending Policy, Credit Scoring and Value at Risk
by Tor Jacobson of Sveriges Riksbank, and
Kasper Roszbach of the Stockholm School of Economics
(164K PDF) -- 19 pages -- April 2003 Pricing Corporate Bonds with Dynamic Default Barriers
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong, and
Shun-Wai Tsang of the Chinese University of Hong Kong
(202K PDF) -- 22 pages -- Spring 2003 Sironi, Andrea and Cristiano Zazzara, " The Basel Committee Proposals for a New Capital Accord: Implications for Italian banks", Review of Financial Economics, Vol. 12, No. 1, (March 2003), pp. 99-126. Credit Risk Models: An Application to Deposit Insurance Pricing
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università LUISS-Guido Carli,
Andrea Sironi of the Università Luigi Bocconi, and
Cristiano Zazzara of Fondo Interbancario di Tutela dei Depositi & Università LUISS-Guido Carli
(401K PDF) -- 28 pages -- January 2003 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 Credit Risk Factor Modeling and the Basel II IRB Approach
by Alfred Hamerle of the University of Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Daniel Rösch of the University of Regensburg
(478K PDF) -- 32 pages -- 2003 Barnhill, Jr., Theodore M., Panagiotis Papapanagiotou, Liliana Schumacher, "Measuring Integrated Market and Credit Risk in Bank Portfolios: An application to a set of hypothetical banks operating in South Africa", Financial Markets, Institutions & Instruments, Vol. 11, No. 5, (December 2002), pp. 401-443. Tail Behavior of Credit Loss Distributions for General Latent Factor Models
by André Lucas of the Tinbergen Institute Amsterdam,
Pieter Klaassen of Vrije Universiteit,
Peter Spreij of the University of Amsterdam, and
Stefan Straetmans of Maastricht University
(354K PDF) -- 24 pages -- November 8, 2002 Estimation of Default Probability by Three-Factor Structural Model
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi Fai Lo of the Chinese University of Hong Kong, and
Ming Xi Huang of the Chinese University of Hong Kong
(273K PDF) -- 14 pages -- October 10, 2002 Extreme Tails for Linear Portfolio Credit Risk Models
by André Lucas of the Tinbergen Institute Amsterdam,
Pieter Klaassen of Vrije Universiteit,
Peter Spreij of the University of Amsterdam, and
Stefan Straetmans of Maastricht University
(311K PDF) -- 14 pages -- October 2002 Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy
by Kenneth Carling of Sveriges Riksbank,
Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(1,629K PDF) -- 54 pages -- September 2002 Moody's RiskCalc™ for Private US Banks
by Ahmet E. Kocagil of Moodys|KMV,
Alexander Reyngold of Moody's|KMV,
Roger M. Stein of Moody's|KMV, and
Eduardo Ibarra of Moody's|KMV
(666K PDF) -- 28 pages -- July 2002 Credit Risk and Credit Derivatives in Banking
by Udo Broll of Saarland University,
Thilo Pausch of the University of Augsburg, and
Peter Welzel of the University of Augsburg
(204K PDF) -- 9 pages -- July 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 Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
by Hans Rau-Bredow of the Universität Würzburg
(134K PDF) -- 16 pages -- June 14, 2002 Valuation Model of Defaultable Bond Values in Emerging Markets
by Cho-Hoi Hui of the Hong Kong Monetary Authority, and
Chi-Fai Lo of the Chinese University of Hong Kong
(158K PDF) -- 16 pages -- June 2002 Jackson, Patricia, William Perraudin, and Victoria Saporta, "Regulatory and "Economic" Solvency Standards for Internationally Active Banks", Journal of Banking & Finance, Vol. 26, No. 5, (May 2002), pp. 953-976. Sironi, Andrea, "Strengthening banks' market discipline and leveling the playing field: Are the two compatible?", Journal of Banking & Finance, Vol. 26, No. 5, (May 2002), pp. 1065-1091. Is Banks' Cost of Equity Capital Different Across Countries? Evidence from the G10 Countries Major Banks
by Aurelio Maccario of the Università Luiss,
Andrea Sironi of the Università Bocconi, and
Cristiano Zazzara of the Università Luiss"
(357K PDF) -- 33 pages -- May 2002 An International Survey of Stress Tests
by Ingo Fender of the Federal Reserve Bank of New York,
Michael S. Gibson of the Federal Reserve Bank of New York, and
Patricia C. Mosser of the Federal Reserve Bank of New York
(67K PDF) -- 6 pages -- November 2001 The Effects of Estimation Error on Measures of Portfolio Credit Risk
by Gunter Löffler of the University of Frankfurt
(249K PDF) -- 35 pages -- October 15, 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 Sironi, Andrea, " An Analysis of European Banks' SND Issues and its Implications for the Design of a Mandatory Subordinated Debt Policy", Journal of Financial Services Research, Vol. 20, No. 2, (October 2001), pp. 233-266. Dermine, Jean, Fatma Lajeri, "Credit Risk and the Deposit Insurance Premium: A note", Journal of Economics and Business, Vol. 53, No. 5, (September-October 2001), pp. 497-508. Lucas, André, Pieter Klaassen, Peter Spreij, and Stefan Straetmans, " An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios", Journal of Banking & Finance, Vol. 25, No. 9, (September 2001), pp. 1635-1664. Credit Derivatives in Banking: Useful tools for managing risk?
by Gregory R. Duffee of the University of California, Berkeley, and
Chunsheng Zhou of the University of California at Riverside
(227K PDF) -- 30 pages -- August 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 Stress Testing of Financial Systems: An overview of issues, methodologies, and FSAP experiences
by Winfrid Blaschke of European Commission,
Matthew T. Jones of International Monetary Fund,
Giovanni Majnoni of World Bank, and
Maria Soledad Martinez Peria of World Bank
(333K PDF) -- 27 pages -- June 2001 Akhigbe, Aigbe, and Jeff Madura. " Why do contagion effects vary among bank failures?", Journal of Banking & Finance, Vol. 25, No. 4, (April 2001), The University of Akron, and Florida Atlantic University, pp. 657-680. Using Credit Risk Models for Regulatory Capital: Issues and Options
by Beverly J. Hirtle of the Federal Reserve Bank of New York,
Mark Levonian of the Federal Reserve of San Francisco,
Marc Saidenberg of the Federal Reserve of New York,
Stefan Walter of the Federal Reserve of New York, and
David Wright Federal Reserve Board of Governors
(203K PDF) -- 18 pages -- March 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. Comparative Analysis of Alternative Credit Risk Models: An application on German middle market loan portfolios
by Markus Kern of the Ludwig-Maximilians-University Munich, and
Bernd Rudolph of the Ludwig-Maximilians-University Munich
(146K PDF) -- 30 pages -- January 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 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, & the Oliver Wyman Institute, and
Til Schuermann of Oliver, Wyman & Company
(141K PDF) -- 45 pages -- April 11, 2000 A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans
by Esa Jokivuolle of the Bank of Finland, and
Samu Peura of Leonia plc
(202K PDF) -- 22 pages -- March 14, 2000 Altman, Edward I. and Heather J. Suggitt, " Default Rates in the Syndicated Bank Loan Market: A mortality analysis", Journal of Banking & Finance, Vol. 24, No. 1-2. (January 2000), pp. 229-253. Stability of Rating Transitions
by Pamela Nickell of the Bank of England,
William Perraudin of the Birkbeck College, and
Simone Varotto of the Bank of England
(186K PDF) -- 25 pages -- January 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 Regulatory Implications of Credit Risk Modelling
by Patricia Jackson of the Bank of England, and
William Perraudin of Birkbeck College
(105K PDF) -- 14 pages -- January 2000 A Comparative Analysis of Current Credit Risk Models
by Michel Crouhy of the Canadian Imperial Bank of Commerce,
Dan Galai of the Hebrew University, and
Robert Mark of the Canadian Imperial Bank of Commerce
(1,585K PDF) -- 59 pages -- January 2000 The Importance of Bank Seniority for Relationship Lending
by Stanley D. Longhofer of the Federal Reserve Bank of Cleveland, and
João A.C. Santos of the Bank for International Settlements
(306K PDF) -- 50 pages -- September 1999 Do Capital Adequacy Requirements Reduce Risks in Banking?
by Jürg Blum of the University of Freiburg
(148K PDF) -- 17 pages -- May 1999 Bank Lending Policy, Credit Scoring and the Survival of Loans
by Kasper Roszbach of the Stockholm School of Economics
(1,031K PDF) -- 28 pages -- September 17, 1998 Public Disclosure and Bank Failures
by Tito Cordella of the International Monetary Fund, and
Eduardo Levy Yeyati of the International Monetary Fund
(1,219K PDF) -- 22 pages -- March 1998 Altman, Edward I. and Anthony Saunders, "Credit Risk Measurement: Developments over the last 20 years", Journal of Banking & Finance, Vol. 21, No. 11-12, (December 1997), pp. 1721-1742. 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. Dahiya, Sandeep, Anthony Saunders and Anand Srinivasan, "Financial Distress and Bank Lending Relationships", Journal of Finance, Vol. 52, No. 1, (March 1997), pp. 161-196. Duffee Gregory R., " On Measuring Credit Risks of Derivative Instruments", Journal of Banking & Finance, Vol. 20, No. 5, (June 1996), pp. 805-833.
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