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) Extension of Spot Recovery Model for Gaussian Copula
by Hui Li of AIG
(192K PDF) -- 20 pages -- October 17, 2009 Unintended Consequences of the Market Risk Requirement in Banking Regulation
by Jussi Keppo of the University of Michigan,
Leonard Kofman of the Bank of Montreal, and
Xu Meng of the University of Michigan
(354K PDF) -- 46 pages -- September 15, 2009 Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009 CVA Calculation for CDS on Super Senior ABS CDO
by Hui Li of AIG
(131K PDF) -- 5 pages -- August 2008 Estimating Discriminatory Power and PD Curves when the Number of Defaults is Small
by Dirk Tasche of Lloyds Banking Group
(802K PDF) -- 58 pages -- May 24, 2009 Bankruptcy Codes, Liquidation Timing, and Debt Valuation
by Max Bruche of CEMFI
(371K PDF) -- 48 pages -- April 30, 2009 Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of Macquarie University, and
Thorsten Schmidt of of Chemnitz University of Technology
(265K PDF) -- 16 pages -- April 14, 2009 On the Determinants of the Implied Default Barrier
by Georges Dionne HEC Montréal, and
Sadok Laajimi of HEC Montréal
(299K PDF) -- 46 pages -- April 8, 2009 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 Incorporating the Dynamics of Leverage into Default Prediction
by Gunter Löffler of Universität Ulm, and
Alina Maurer of Universität Ulm
(368K PDF) -- 28 pages -- April 2009 Credit Risk, Default Loss, and the Economics of Bankruptcy
by John F. Crean of the University of Toronto
(288K PDF) -- 51 pages -- March 30, 2009 Bank Monitoring Incentives and Optimal CDOs
by Henri Pagès of Banque de France
(295K PDF) -- 33 pages -- March 27, 2009 A Comparative Analysis of CDO Pricing Models
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009 Rating Philosophy and Dynamic Properties of Internal Rating Systems: A general framework and an application to backtesting
by Marco Morone of Intesa Sanpaolo, and
Anna Cornaglia of Intesa Sanpaolo
(284K PDF) -- 25 pages -- January 23, 2009 Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework
by Scott D. Aguais of Barclays Capital,
Lawrence R. Forest Jr. of Barclays Capital,
Martin King of Barclays Capital,
Marie Claire Lennon of Barclays Capital, and
Brola Lordkipanidze of Barclays Capital
(289K PDF) -- 33 pages -- January 27, 2008 Is it (Still) Mostly Fiscal? Determinants of sovereign spreads in emerging markets
by Emanuele Baldacci of the International Monetary Fund,
Sanjeev Gupta of the International Monetary Fund, and
Amine Mati of the International Monetary Fund
(651K PDF) -- 24 pages -- November 2008 Correlation in Corporate Defaults: Contagion or conditional independence?
by David Lando of the Copenhagen Business School, and
Mads Stenbo Nielsen of the Copenhagen Business School
(620K PDF) -- 41 pages -- August 7, 2008 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 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. 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 FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 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 Federal Reserve Board, 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 Corporate Bond Credit Spreads and Forecast Dispersion
by Levent Güntay of Indiana University, and
Dirk Hackbarth of University of Illinois
(467K PDF) -- 45 pages -- September 2007 Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(252K PDF) -- 10 pages -- July 15, 2007 Confidence Sets for Asset Correlation
by Delphine Cassart of the Universite Libre de Bruxelles,
Carlos Castro of the Universite Libre de Bruxelles,
Ronny Langendries of Dexia SA, and
Thomas Alderweireld of Dexia SA
(420K PDF) -- 31 pages -- July 6, 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 Liquidity and Capital Structure
by Ronald W Anderson of the London School of Economics, and
Andrew Carverhill of Hong Kong University
(449K PDF) -- 52 pages -- January 2007 Sovereign Debt Crises and Credit to the Private Sector
by Carlos Arteta of the Federal Reserve Board, and
Galina Hale of the Federal Reserve Bank of San Francisco
(323K PDF) -- 42 pages -- December 15, 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 & 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 M. 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
(330K 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. 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. Rogers, L.C.G. and Bianca Hilberink, "Optimal Capital Structure and Endogenous Default", Finance and Stochastics, Vol. 6, No. 2, (April 2002), pp. 237-263. Mella-Barral, Pierre, "The Dynamics of Default and Debt Reorganization", Review of Financial Studies, Vol. 12, No. 3, (Fall 1999), pp. 535–578. 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. 51, No. 3, (July 1996), pp. 987-1019. [Abstract]
[Home] [JEL Classification] | 
