These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G33 classification. (sorted by date) Recovery Rates, Default Probabilities and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos Gonzalez-Aguado of CEMFI
(329K PDF) -- 37 pages -- June 17, 2008 Credit Spreads and Incomplete Information
by Snorre Lindset of Sør-Trøndelag University College & Norwegian University of Science and Technology,
Arne-Christian Lund of the Norwegian School of Economics and Business Administration, and
Svein-Arne Persson of the Norwegian School of Economics and Business Administration & Sør-Trøndelag University College
(297K PDF) -- 42 pages -- May 14, 2008 Self-exciting Corporate Defaults
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(487K PDF) -- 36 pages -- May 1, 2008 Dynamic Default Rates
by Robert Lamb of Imperial College London, and
William Perraudin of Imperial College London
(307K PDF) -- 34 pages -- May 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 Risk Premia in Structured Credit Derivatives
by Andreas Eckner of Stanford University
(377K PDF) –- 49 pages -- January 5, 2008 Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,512K PDF) -- 24 pages -- November 10, 2007 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(320K PDF) -- 39 pages -- November 12, 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 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(325K PDF) -- 40 pages -- August 22, 2007 Accounting Transparency and the Term Structure of Credit Default Swap Spreads
by Claus Bajlum of Danmarks Nationalbank & Copenhagen Business School, and
Peter Tind Larsen of the University of Aarhus
(445K PDF) -- 58 pages -- August 7, 2007 When Do Firms Default? A Study of the Default Boundary
by Sergei A. Davydenko of the London Business School
(475K PDF) -- 53 pages -- August 1, 2007 Migration Dependence Among the US Business Sectors
by Oussama Chakroun of HEC Montréal
(772K PDF) -- 31 pages -- June 20, 2007 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 Estimating Probabilities of Default With Support Vector Machines
by Wolfgang K. Härdle of Humboldt-Universität zu Berlin,
Rouslan A. Moro of Humboldt-Universität zu Berlin, and
Dorothea Schäfer of the German Institute for Economic Research
(742K PDF) -- 24 pages -- May 27, 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 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 Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach
by Alexander Herbertsson of Göteborg University
(379K PDF) -- 27 pages -- March 15, 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 Multi-Period Corporate Failure Prediction With Stochastic Covariates
by Darrell Duffie of Stanford University,
Leandro Saita of Stanford University, and
Ke Wang of the University of Tokyo
(482K PDF) -- 32 pages -- March 2007 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
by Hayette Gatfaoui of Mont-Saint-Aignan Cedex France & the University of Technology, Sydney
(1,434K PDF) –- 51 pages -- February 2007 CDOs in Chains
by Johan de Kock of Fraunhofer ITWM,
Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(144K PDF) -– 9 pages -- January 24, 2007 Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk
by Tomoaki Shouda of the Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. and Hitotsubashi University
(571K PDF) –- 22 pages -- December 20, 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 University of Lausanne, FAME, and CEPR
(374K PDF) -- 32 pages --December 2006 (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
by Christian Gourieroux of CREST, CEPREMAP & the University of Toronto, and
Alain Monfort of CNAM & CREST
(533K PDF) –- 29 pages -- December 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 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 Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of Stanford University,
Guillaume Horel of Stanford University, and
Leandro Saita of Lehman Brothers
(370K PDF) –- 50 pages -- October 19, 2006 Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
by An Chen of the University of Bonn
Michael Suchanecki of the University of Bonn
(1,409K PDF) –- 37 pages -- October 3, 2006 Country Default Probabilities: Assessing and Backtesting
by Stefan Huschens of the Technische Universität Dresden,
Alexander Karmann of the Technische Universität Dresden,
Dominik Maltritz of the Technische Universität Dresden, and
Konstantin Vogl of the Technische Universität Dresden
(342K PDF) –- 22 pages -- September 1, 2006 Importance Sampling for Integrated Market and Credit Portfolio Models
by Peter Grundke of the University of Cologne
(404K PDF) –- 45 pages -- September 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 Estimating Default Barriers from Market Information
by Hoi Ying Wong of the Chinese University of Hong Kong, and
Tsz Wang Choi of Citic Kawah Bank
(212K PDF) -– 25 pages -- July 11, 2006 Multiple Lenders and Corporate Distress: Evidence on debt restructuring
by Antje Brunner of Humboldt-Universitaet Berlin and CFS, and
Jan Pieter Krahnen Frankfurt University and CEPR
(461K PDF) -- 41 pages -- June 2006 Hybrid Derivatives Pricing Under the Potential Approach
by Giuseppe Di Graziano of the University of Cambridge, and
L.C.G. Rogers of the University of Cambridge
(182K PF) –- 15 pages -- May 4, 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 Time to Change - Rating Changes and Policy Implications
by Peter N. Posch of the University of Ulm
(675K PDF) –- 44 pages -- April 2, 2006 Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure
by Binh Dao of the Université Paris Dauphine, and
Monique Jeanblanc of the Université d'Évry
(388K PDF) -- 20 pages -- March 9, 2006 Graphical Data Representation in Bankruptcy Analysis
by Wolfgang K. Härdle of Humboldt-Universität zu Berlin,
Rouslan A. Moro of Humboldt-Universität zu Berlin, and
Dorothea Schäfer of the German Institute for Economic Research
(1,961K PDF) –- 24 pages -- February 24, 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 Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
by Tomoaki Shouda of Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd and Hitotsubashi University
(2,907K PDF) –- 34 pages -- January 16, 2006 Multi-period Bayesian Bankruptcy Prediction: Using financial ratios and the maturity schedule of long-term debt
by Leonid Philosophov of the Moscow Committee of Bankruptcy Affairs,
Jonathan Batten of Macquarie University, and
Vladimir Philosophov (Independent)
(1,208K PDF) -- 34 pages -- January 5, 2006 Credit Chains and the Propagation of Financial Distress
by Frederic Boissay of the European Central Bank
(685K PDF) -- 34 pages -- January 2006 On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
by Rafael Weissbach of the University of Dortmund, and
Carsten von Lieres und Wilkau of WestLB AG
(164K PDF) –- 27 pages -- December 23, 2005 Structural Recovery of Face Value at Default
by Rajiv Guha of CPIM, London, and
Alessandro Sbuelz of University of Verona
(323K PDF) -- 33 pages -- December 2005 Time Series Properties of a Rating System based on Financial Ratios
by Ulrich Krüger of Deutsche Bundesbank,
Martin Stötzel of the Universität Karlsruhe, and
Stefan Trück of the Universität Karlsruhe
(926K PDF) -- 60 pages -- November 23, 2005 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 Assessing Credit with Equity: A CEV Model with Jump to Default
by Luciano Campi of Université Paris Dauphine,
Simon Polbennikov of Tilburg University, and
Alessandro Sbuelz of the University of Verona
(297) -- 48 pages -- November 2005 Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects
by Raquel M. Gaspar of Stockholm School of Economics, and
Thorsten Schmidt of the University Leipzig
(1,461K PDF) -- 61 pages -- November 2005 Does Industry-wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries
by Viral V. Acharya of the London Business School,
Sreedhar T. Bharath of the University of Michigan, and
Anand Srinivasan of the National University of Singapore
(478k PDF) -- 47 pages -- October 2005 How Good is Merton Model at Assessing Credit Risk? Evidence from India
by Amit Kulkarni of the National Institute of Bank Management,
Alok Kumar Mishra of the National Institute of Bank Management, and
Jigisha Thakker of the National Institute of Bank Management
(302K PDF) -- 49 pages -- Fall 2005 A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
by Pierre Tychon of the European Investment Bank,
Vincent Vannetelbosch of FNRS & CORE, Université catholique de Louvain
(279K PDF) -- 36 pages -- August 19, 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 Remarks on Pricing Correlation Products
by Harald Skarke of Bank Austria Creditanstalt
(77K PDF) –- 6 pages -- July 17, 2005 A Model of Credit Risk Optimal Policies, and Asset Prices
by Suleyman Basak of the London Business School, and
Alex Shapiro of New York University
(1,007K PDF) -- 52 pages -- July 2005 Advancing Loss Given Default Prediction Models: How the quiet have quickened
by Greg M. Gupton of Moody's|KMV
(733K PDF) -- 46 pages -- July 2005 Multi-period Corporate Short-term Credit Risk Assessment: A state-dependent stochastic liquidity balance model
by Hsien-Hsing Liao of National Taiwan University,
Tsung-Kang Chen of National Taiwan University, and
Tong-Li Chou of National Taiwan University
(329K PDF) –- 40 pages -- June 27, 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 How to Invest Optimally in Corporate Bonds: A reduced-form approach
by Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(538K PDF) –- 35 pages -- May 10, 2005 Implied Migration Rates from Credit Barrier Models
by Claudio Albanese of Imperial College London,
Oliver X. Chen of the National University of Singapore
(493K PDF) –- 38 pages -- March 11, 2005 The Effects of Rating through the Cycle on Rating Stability, Rating Timeliness and Default Prediction Performance
by Edward I. Altman of the New York University, and
Herbert A. Rijken of Vrije Universiteit Amsterdam
(236K PDF) -- 39 pages -- March 2005 Evidence on the Incompleteness of Merton-type Structural Models for Default Prediction
by Roger M. Stein of Moody's|KMV
(184K PDF) -- 11 pages -- February 9, 2005 Time-to-Default: Life Cycle, Global and Industry Cycle Impacts
by Fabien Couderc of FAME and the University of Geneva, and
Olivier Renault of FERC, Warwick Business School
(490K PDF) -- 44 pages -- February 9, 2005 LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005 Corporate Credit Risk Modelling and the Macroeconomy
by Kenneth Carling of IFAU and Dalarna University,
Tor Jacobson of Riksbank,
Jesper Lindé of Riksbank, and
Kasper Roszbach Riksbank
(492K PDF) -- 32 pages -- December 3, 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. [Abstract] An Empirical Analysis of Bond Recovery Rates: Exploring A Structural View of Default
by Dan Covitz of the Federal Reserve Board, and
Song Han of the Federal Reserve Board
(266K PDF) –- 44 pages -- December 2004 Term Structure of Sovereign Spreads in Emerging Markets: A calibration approach for structural models
by Katia Rocha of the Instituto de Pesquisa Económica Aplicada (IPEA), and
Francisco Augusto Alcaraz Garcia of IPEA and Åbo Akademi University
(630K PDF) -- 22 pages -- November 30, 2004 Ratings Versus Market-based Measures of Default Risk in Portfolio Governance
by Gunter Löffler of the University of Ulm
(254K PDF) -- 38 pages -- November 2004 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 Predicting and Pricing the Probability of Default
by Alessio A. Saretto of the University of California Los Angeles
(311K PDF) -- 41 pages -- August 4, 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 An Empirical Test of Option Based Default Probabilities Using Payment Behaviour and Auditor notes
by Tom E. S. Farmen of the Norwegian University of Science and Technology,
Sjur Westgaard of the Norwegian University of Science and Technology, and
Nico van der Wijst of the Norwegian University of Science and Technology
(171K PDF) -- 18 pages -- July 8, 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 The Identification of Corporate Distress in UK Industrials: A Conditional Probability Analysis Approach
by Lin Lin of the National Chi-Nan University, and
Jenifer Piessi of King's College London and University of Stellenbosch
(583K PDF) -- 23 pages -- April 2004 How Ratings Agencies Achieve Rating Stability
by Edward I. Altman of New York University, and
Herbert A. Rijken of Vrije Universiteit Amsterdam
(617K PDF) -- 45 pages -- April 2004 Business Failure in US and UK Quoted Firms: Impact of Macroeconomic Instability and the Role of Legal Institutions
by A. Bhattacharjee of the University of Cambridge,
C. Higson of the London Business School,
S. Holly of the University of Cambridge, and
P. Kattuman of the University of Cambridge
(1,165K PDF) -- 42 pages -- March 17, 2004 Kijima, Masaaki and Yusuke Miyake, "On the Term Structure of Lending Interest Rates When a Fraction of Collateral is Recovered Upon Default", Japan Journal of Industrial and Applied Mathematics, Vol. 21, No. 1, (February 2004), pp. 35-56. [Abstract] Bankruptcy Resolution in Japan: Corporate Reorganization vs. Civil Rehabilitation
by Pen Xu of Hosei University and RIETI
(299K PDF) -- 46 pages -- February 2004 Perraudin, William and Alex Taylor, "On the Consistency of Ratings and Bond Market Yields", Journal of Banking & Finance, Vol. 28, No. 11, (2004), pp. 2769-2788. [Abstract] 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 An analysis of bankruptcy bargaining in the U.S.
by Maria Carapeto of Cass Business School
(95K PDF) -- 29 pages -- October 6, 2003 Is Bargaining in Chapter 11 Costly?
by Maria Carapeto of Cass Business School
(188K PDF) -- 37 pages -- October 6, 2003 Gersbach, Hans and Alexander Lipponer, "Firm Defaults and the Correlation Effect", European Financial Management, Vol. 9, No. 3, (September 2003), pp. 361-378. [Abstract] Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
by Aurelio Maccario of the Unicredit Banca Mobiliare and Università "LUISS-Guido Carli",
Andrea Sironi of the Università "Luigi Bocconi", and
Cristiano Zazzara of Capitalia and Università "LUISS-Guido Carli"
(122K PDF) –- 29 pages -- August 2003 Equity Returns Following Changes in Default Risk: New insights into the informational content of credit ratings
by Maria Vassalou of Columbia University, and
Yuhang Xing of Columbia University
(389K PDF) -- 50 pages -- July 18, 2003 Debtor-in-possession Financing and Bankruptcy Resolution: Empirical Evidence
by Sandeep Dahiya of Georgetown University,
Kose John of New York University,
Manju Puric of Stanford University, and
Gabriel Ramírez of Kennesaw State University
(296K PDF) -- 22 pages -- July 2003 The Firm's Reorganization Decision: Empirical Evidence from Canada
by Timothy C.G. Fisher of Wilfrid Laurier University, and
Jocelyn Martel of the Université de Cergy-Pontoise
(157K PDF) -- 19 pages -- May 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 Brockman, Paul and H. J. Turtle, "A Barrier Option Framework for Corporate Security Valuation", Journal of Financial Economics, Vol. 67, No. 3, Hong Kong Polytechnic U, WA State U, (March 2003), pp. 511-29. [Abstract] Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market
by Evelyn Hayden of the University of Vienna
(604K PDF) -- 44 pages -- February 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. [Abstract] Credit Risk Models: An Application to Deposit Insurance Pricing
by Aurelio Maccario of the Unicredit Banca Mobiliare and Università LUISS-Guido Carli,
Andrea Sironi of the Università Luigi Bocconi, and
Cristiano Zazzara of Fondo Interbancario di Tutela dei Depositi and Università LUISS-Guido Carli
(401K PDF) -- 28 pages -- January 2003 Estimation in the Continuous Time Mover-stayer Model with an Application to Bond Ratings Migration
by Halina Frydman of New York University, and
Ashay Kadam of the University of Michigan Business School
(547K PDF) -- 24 pages -- December 19, 2002 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 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 Default Risk in Equity Returns
by Maria Vassalou of Columbia University, and
Yuhang Xing of Columbia University
(223K PDF) -- 55 pages -- July 30, 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 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 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 Reputation and the Market for Distressed-Firm Debt
by Thomas H. Noe of Tulane University, and
Michael J. Rebello of Georgia State University
(421K PDF) -- 34 pages -- June 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
(553K PDF) -- 19 pages -- May 28, 2002 Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures
by Pascal François of HEC Montreal, and
Erwan Morellec of the University of Rochester
(340K PDF) -- 41 pages -- April 2002 Lando, David, and Torben Magaard Skødeberg, "Analyzing Rating Transitions and Rating Drift with Continuous Observations", Journal of Banking & Finance, Vol. 26, No. 2-3, (Mar-2002), pp. 423-444. [Abstract] LossCalc™: Moody's Model for Predicting Loss Given Default (LGD)
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,189K PDF) -- 32 pages -- February 2002 Determinants of Financial Distress: What Drives Bankruptcy in a Transition Economy? The Czech Republic Case
by Lubomír Lízal of CERGE-EI and the Academy of Sciences of the Czech Republic
(344K PDF) -- 59 pages -- January 2002 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] A Model of Bankruptcy Prediction
by Eivind Bernhardsen of the Norges Bank
(545K PDF) -- 54 pages -- December 5, 2001 Zhou, Chunsheng, "The Term Structure of Credit Spreads with Jump Risk", Journal of Banking & Finance, Vol. 25, No. 11, (November 2001), pp. 2015-2040. [Abstract] 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 Pricing the Risk of Recovery in Default with APR Violation
by Haluk Unal of the University of Maryland,
Dilip Madan of the University of Maryland, and
Levent Güntay of the University of Maryland
(500K PDF) -- 41 pages -- August 3, 2001 Credit Switch
by Karan Bhanot of the University of Texas
(83K PDF) -- 28 pages -- July 31, 2001 Hübner, Georges, "The Analytic Pricing of Asymmetric Defaultable Swaps", Journal of Banking & Finance, Vol. 25, No. 2, University of Liege, (Feb-2001), pp. 295-316. [Abstract] Default and Recovery Rates of Corporate Bond Issuers: 2000
by David T. Hamilton of Moody's Investors Service,
Greg M. Gupton of Moody's Investors Service, and
Alexandra Berthault of Moody's Investors Service
(1,383K PDF) -- 60 pages -- February 2001 Analysis of Length of Time Spent in Chapter 11 Bankruptcy
by Jesus Orbe of the Universidad del Pais Vasco,
Eva Ferreira of the Universidad del Pais Vasco, and
Vicente Núñez-Antón of the Universidad del Pais Vasco
(201K PDF) -- 20 pages -- January 9, 2001 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 Bankruptcy Auctions: Costs, Debt Recovery, and Firm Survival
by Karin S. Thorburn of Dartmouth College
(200K PDF) -- 32 pages -- December 2000 Bank Loan Loss Given Default
by Greg M. Gupton of Moody's|KMV,
Daniel Gates of Moody's Investors Service, and
Lea V. Carty of Moody's|KMV
(179K PDF) -- 24 pages -- November 2000 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 Jarrow, Robert A., Stuart M. Turnbull, "The Intersection of Market and Credit Risk", Journal of Banking & Finance, Vol. 24, No. 1-2, Cornell University, Canadian Imperial Bank of Commerce, (January 1, 2000) pp. 271-299. [Abstract] Anderson, Ronald, Suresh Sundaresan, "A Comparative Study of Structural Models of Corporate Bond Yields: An exploratory investigation", Journal of Banking & Finance, Vol. 24, No. 1, (January 2000), pp. 255-269. [Abstract] 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 Forecasting Bankruptcy More Accurately: A simple hazard model
by Tyler Shumway of the University of Michigan
(262K PDF) -- 33 pages -- July 16, 1999 Li, Kai, "Bayesian Analysis of Duration Models: An Application to Chapter 11 Bankruptcy", Economics Letters, Vol. 63, No. 3, (June 1999), pp. 305-312. [Abstract] Pulvino,Todd C., "Effects of Bankruptcy Court Protection on Asset Sales", Journal of Financial Economics, Vol. 52, No. 2, (May 1999), pp. 151-186. [Abstract] Indro, Daniel C., Robert T. Leach, and Wayne Y. Lee, "Sources of Gains to Shareholders from Bankruptcy Resolution", Journal of Banking & Finance, (January 1999), Vol. 23, No. 1, pp 21-47. [Abstract] 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] Cossin, Didier, Hugues Pirotte, "How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?", European Financial Management, Vol. 4, No. 1, HEC, University of Lausanne, (Mar-1998), pp. 65-77. [Abstract] Recovery Ratios and Survival Times for Corporate Bonds
by Ivailo Izvorski of the International Monetary Fund
(1,645K PDF) -- 32 pages -- July 1997 CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997 A Jump- Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
by Chunsheng Zhou of the Board of Governors of the Federal Reserve System
(349K PDF) -- 49 pages -- March 1997 Eberhart, Allan C., Richard J. Sweeney, "A Note on Noise in the Market for Bankrupt Firms' Securities", Journal of Banking & Finance, Vol. 20, No. 2, Georgetown University, (March 1996), pp. 401-415. [Abstract] Franks, Julian R. and Walter N. Torous, "A Comparison of Financial Recontracting in Distressed Exchanges and Chapter 11 Reorganizations", Journal of Financial Economics, London Business School and UCLA, (June 1994), Vol. 35, No. 3, pp. 349-370. [Abstract] The Resolution of Financial Distress
by Ronald M. Giammarino of the University of British Columbia
(256K PDF) –- 23 pages -- 1989
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