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) 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 Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
by Rüdiger Frey of the Universität Leipzig, and
Jochen Backhaus of the Universität Leipzig
(308K PDF) –- 20pages -- December 17, 2007 Economic Capital Assessment via Copulas: Aggregation and Allocation of Different Risk Types
by Marco Morone of Intesasanpaolo bank,
Anna Cornaglia of Intesasanpaolo bank, and
Giulio Mignola of Intesasanpaolo bank
(941K PDF) –- 20 pages -- March 2, 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 Bank Behavior with Access to Credit Risk Transfer Markets
by Benedikt Goderis of Oxford University,
Ian Marsh of Cass Business School,
Judit Vall Castello of Maastricht University, and
Wolf Wagner of Tilburg University
(174K PDF) -- 28 pages -- October 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 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 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 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
(237K PDF) -- 27 pages -- December 19, 2005 Better Predictions of Income Volatility Using a Structural Default Model
by Roger M. Stein of Moody's Investors Service, and
Felipe Jordão of Moody's Investors Service
(787K PDF) -- 29 pages -- November 26, 2005 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. [Abstract] 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 A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
by Michael B. Gordy of the Board of Governors of the Federal Reserve System
(213K PDF) -- 25 pages -- October 22, 2002 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 Default Probabilities and Default Correlations
by Ulrich Erlenmaier of the University of Heidelberg, and
Hans Gersbach of the University of Heidelberg
(498K PDF) -- 50 pages -- November 2001 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 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 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 Board of Governors of the Federal Reserve System
(481K PDF) -- 31 pages -- January 2000 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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