JEL Classification G32
"Financing Policy; Capital and Ownership Structure"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G32 classification. (sorted by date) Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
by Alexander Herbertsson of the University of Gothenburg
(409K PDF) -- 31 pages -- July 14, 2008 Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
by Albert H. De Wet of FirstRand Bank, South Africa,
Reneé Van Eyden of the University of Pretoria, and
Rangan Gupta of the University of Pretoria
(287K PDF) -- 32 pages -- July 2008 Nested Simulation in Portfolio Risk Measurement
by Michael B. Gordy of the Federal Reserve Board, and
Sandeep Juneja of the Tata Institute of Fundamental Research
(347K PDF) -- 33 pages -- April 8, 2008 Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions
by Stephen Figlewski of New York University,
Halina Frydman of New York University, and
Weijian Liang of New York University
(195K PDF) -- 57 pages -- March 29, 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 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of Fitch-Solutions,
Antonio Dalessandro of Fitch-Solutions,
Matthias Neugebauer of Fitch-Solutions, and
Fares Triki of Fitch-Solutions
(893K PDF) -- 43 pages -- November 17, 2007 Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,512K PDF) -- 24 pages -- November 10, 2007 Banking and Securitization
by Wenying Jiangli of the Federal Deposit Insurance Corporation,
Matthew Pritsker of the Board of Governors of the Federal Reserve System, and
Peter Raupach of the Bundesbank
(582K PDF) -- 82 pages -- November 23, 2007 Ownership Links, Leverage and Credit Risk
by Elisa Luciano of the Università di Torino, and
Giovanna Nicodano of the Università di Torino
(458K PDF) -- 47 pages -- November 2007 Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios
by Dan Rosen of the Fields Institute for Research in Mathematical Sciences, and
David Saunders of the University of Waterloo
(1,332K PDF) -- 47 pages -- November 2007 Measuring Sovereign Risk in Turkey: An application of the contingent claims approach
by Christian Keller of the International Monetary Fund,
Peter Kunzel of the International Monetary Fund, and
Marcos Souto of the International Monetary Fund
(476K PDF) -- 29 pages -- October 2007 Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(242K PDF) -- 9 pages -- July 15, 2007 Modelling Default Contagion using Multivariate Phase-type Distributions
by Alexander Herbertsson of Göteborg University
(832K PDF) -- 35 pages -- April 16, 2007 Simulation Based Approach for Measuring Concentration Risk
by Joocheol Kim of Yonsei University, and
Duyeol Lee of Yonsei University
(256K PDF) -- 15 pages -- April 2007 Tightening Credit Standards: The Role of Accounting Quality
by Philippe Jorion of the University of California at Irvine,
Charles Shi of the University of California at Irvine, and
Sanjian Zhang of Lehigh University
(335K PDF) -- 51 pages -- March 2007 Sovereign Debt Crises and Credit to the Private Sector
by Carlos Arteta of the Board of Governors of Federal Reserve, and
Galina Hale of the Federal Reserve Bank of San Francisco
(323K PDF) -- 42 pages -- December 15, 2006 Corporate Bond Credit Spreads and Forecast Dispersion
by Levent Güntay of Indiana University, and
Dirk Hackbarth of Washington University
(431K PDF) -- 35 pages -- December 2006 Capital Structure, Credit Risk, and Macroeconomic Conditions
by Dirk Hackbarth of Washington University,
Jianjun Miao of Boston University, and
Erwan Morellec of the University of Lausanne, FAME, & CEPR
(374K PDF) -- 32 pages --December 2006 Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications
by Jorge A. Chan-Lau of the International Monetary Fund, and
Andre O. Santos of the International Monetary Fund
(513K PDF) -- 13 page -- December 2006 Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
by Alexander Herbertsson of Göteborg University, and
Holger Rootzen of Chalmers University of Technology
(448K PDF) -- 27 pages -- November 27, 2006 Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
by Olivier Le Courtois of EM Lyon, and
François Quittard-Pinon of the University of Lyon 1
(357K PDF) -- 34 pages -- November 22, 2006 A Unified Approach to Credit Default Swaption and Constant Maturity Credit Default Swap Valuation
by Martin Krekel of HypoVereinsbank, and
Jorg Wenzel of Fraunhofer ITWM
(774K PDF) -- 57 pages -- October 12, 2006 Default Estimation for Low Default Portfolios
by Nicholas Kiefer of Cornell University
(219K PDF) -- 28 pages -- August 2006 Optimal Bank Capital with Costly Recapitalization
by Samu Peura of Sampo plc, and
Jussi Keppo of the University of Michigan
(497K PDF) -- 39 pages -- July 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 Liquidation Triggers and the Valuation of Equity and Debt
by Dan Galai of the Hebrew University of Jerusalem & New York University,
Alon Raviv of the Hebrew University of Jerusalem, and
Zvi Wiener of the Hebrew University of Jerusalem
(331K PDF) -- 35 pages -- January 26, 2006 Eberhart, Allan C., "A Comparison of Merton's Option Pricing Model of Corporate Debt Valuation to the Use of Book Values", Journal of Corporate Finance, Vol. 11, No. 1-2, (March 2005), pp. 401-426. [Abstract] Using Yield Spreads to Estimate Expected Returns on Debt and Equity
by Ian A. Cooper of the London Business School, and
Sergei A. Davydenko of the London Business School
(331K PDF) -- 35 pages -- August 9, 2004 The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer
by Michael T. Gapen of the International Monetary Fund,
Dale F. Gray of Macro Financial Risk Corporation & Consultant to the Macro Financial Risk Project at Moody's Investors Service,
Cheng Hoon Lim of the International Monetary Fund, and
Yingbin Xiao of the International Monetary Fund
(925K PDF) -- 44 pages -- July 2004 Accounting Quality and Debt Contracting
by Sreedhar T. Bharath of the University of Michigan,
Jayanthi Sunder of Northwestern University, and
Shyam V. Sunder of Northwestern University
(214K PDF) -- 48 pages -- July 2004 Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures
by Pascal François of HEC Montreal, and
Erwan Morellec of the University of Lausanne, University of Rochester, & FAME
(159K PDF) -- 25 pages -- April 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 Secured Creditor Recovery Rates from Management Buy-outs in Distress
by David Citron of the City University,
Mike Wright of the Nottingham University,
Rod Ball of the Nottingham University, and
Fred Rippington of the City University
(83K PDF) -- 44 pages -- June 2002 Optimal Default Boundary in Discrete Time Models
by Agata Altieri of the Universitá di Padova, and
Tiziano Vargiolu of the Universitá di Padova
(212K PDF) -- 16 pages -- June 2002 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. [Abstract] Rogers, L.C.G. and Bianca Hilberink, "Optimal Capital Structure and Endogenous Default", Finance and Stochastics, Vol. 6, No. 2, (2002), pp. 237-263. [Abstract] 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 Collateral, Renegotiation and the Value of Diffusely Held Debt
by Ulrich Hege of Tilburg University, and
Pierre Mella-Barral of the London School of Economics
(480K PDF) -- 45 pages -- September 1999 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 Debtor- in-possession financing: Size does matter
by Maria Carapeto in the PhD Programme of the London Business School
(155K PDF) -- 56 pages -- November 20, 1998 Leland, Hayne E., and Klaus Bjerre Toft. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads", Journal of Finance, Vol. LI, No. 3, University of California at Berkeley, University of Texas at Austin, (Jul-1996), pp. 987-1019. [Abstract]
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