JEL Classification G31
"Capital Budgeting; Investment Policy"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G31 classification. (sorted by date) Some Observations on Improving a Bank's Share Value with Credit Portfolio Management, Credit-transfer Pricing and Stress Testing
by Jeffrey R. Bohn of Solition Financial Analytics, Tokyo, and
Roger M. Stein of Moody's Research Labs, Inc.
(414K PDF) -- 30 pages -- June 30, 2011 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 Banachewicz, Konrad , André Lucas, " Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models", Journal of Forecasting, Vol. 27, No. 7, (July 2008), pp. 566-586. 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 Linking Credit Risk Premia to the Equity Premium
by Tobias Berg of the Technische Universität München, and
Christoph Kaserer of the Technische Universität München
(437K PDF) -- 36 pages -- January 6, 2008 Kaniovski, Yuriy M., Georg Ch. Pflug, " Risk Assessment for Credit Portfolios: A coupled Markov chain model", Journal of Banking & Finance, Vol. 31, No. 8, (August 2007), pp. 2303-2323. 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 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 Granularity Adjustment for Basel II
by Michael B. Gordy of Federal Reserve Board, and
Eva Lütkebohmert of University of Bonn
(375K PDF) -- 40 pages -- 2007 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 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. Gordy, Michael B., Bradley Howells, "Procyclicality in Basel II: Can we treat the disease without killing the patient?", Journal of Financial Intermediation, Vol. 15, No. 3, (July 2006), pp. 395-417. 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 Credit Contagion and Aggregate Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of the Technische Universität Berlin
(374K PDF) -- 27 pages -- May 2006 Credit Derivatives in Models with Interacting Default Intensities: a Markovian Approach
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus of the University of Leipzig
(336K PDF) -- 24 pages -- April 18, 2006 The Risk-Adjusted Cost of Financial Distress
by Heitor Almeida of New York University and NBER, and
Thomas Philippon of New York University and NBER
(765K PDF) -- 44 pages -- March 13, 2006 Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk
by Alexander J. McNeil of ETH Zürich, and
Jonathan Wendin of ETH Zürich
(456K PDF) -- 27 pages -- October 5, 2005 Global Sensitivity Analysis for Latent Factor
by Dirk Baur of the Joint Research Center - EU Commission,
Jessica Cariboni of the Joint Research Center - EU Commission, and
Francesca Campolongo of the Joint Research Center - EU Commission
(199K PDF) -- 29 pages -- November 2004 Cyclical Correlations, Credit Contagion, and Portfolio Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of Humboldt-Universität zu Berlin
(351K PDF) -- 28 pages -- November 11, 2003 Gordy, Michael B., " A Risk-factor Model Foundation for Ratings-based Bank Capital Rules", Journal of Financial Intermediation, Vol. 12, No. 3, (July 2003), pp. 199-232. Dependent Defaults in Models of Portfolio Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Alexander J. McNeil of ETH Zentrum
(386K PDF) -- 27 pages -- June 16, 2003 Helwege, Jean, and Frank Packer, " Determinants of the Choice of Bankruptcy Procedure in Japan", Journal of Financial Intermediation, Vol. 12, No. 1, (January 2003), pp. 96-120. VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(326K PDF) -- 15 pages -- January 23, 2002 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 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 Modelling Dependent Defaults
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(490K PDF) -- 30 pages -- August 13, 2001 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. 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 A Comparative Anatomy of Credit Risk Models
by Michael B. Gordy of the Federal Reserve Board
(481K PDF) -- 31 pages -- January 2000 Mella-Barral, Pierre, " The Dynamics of Default and Debt Reorganization", Review of Financial Studies, Vol. 12, No. 3, (Fall 1999), pp. 535-578. The Timing of Debt Issuance and Rating Migrations: Theory and Evidence
by Dan Covitz of the Federal Reserve Board of Governors, and
Paul Harrison of the Federal Reserve Board of Governors
(108K PDF) -- 45 pages -- September 1999
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