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) An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk
by Tim Xiao of Canadian Imperial Bank of Commerce, CIBC
(259K PDF) -- 8 pages -- May 1, 2013 An Economic Examination of Collateralization in Different Financial Markets
by Tim Xiao of Canadian Imperial Bank of Commerce (CIBC), Toronto, Canada
(336K PDF) -- 41 pages -- May 1, 2013 Kenyon, Chris, and Richard Kenyon, "DVA for Assets", RISK, 26(2), February 2013, pp. 72-75. LIBOR vs OIS: The Derivatives Discounting Dilemma
by John Hull of University of Toronto, and
Alan White of University of Toronto
(385K PDF) -- 27 pages -- January 2013 Lando, David, Mamdouh Medhat, Mads Stenbo Nielsen, Søren Feodor Nielsen, "Additive Intensity Regression Models in Corporate Default Analysis", Forthcoming: Journal of Financial Econometrics, (2013). Cash Holdings and Credit Risk
by Viral V. Acharya of the New York University,
Sergei A. Davydenko of the University of Toronto, and
Ilya A. Strebulaev of the Stanford University
(453K PDF) -- 48 pages -- October 23, 2012 An Overview of the Valuation of Collateralized Derivative Contracts
by Jean-Paul Laurent of Université Paris 1 Panthéon-Sorbonne,
Philippe Amzelek of BNP Paribas, and
Joe Bonnaud of BNP Paribas
(213K PDF) -- 18 pages -- October 2012 Default Swap Games Driven by Spectrally Negative Lévy Processes
by Masahiko Egami of Kyoto University,
Tim S.T. Leung of Columbia University, and
Kazutoshi Yamazaki of Osaka University
(680K PDF) -- 34 pages -- September 27, 2012 Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain
by Budhi Arta Surya of Bandung Institute of Technology
(338K PDF) - 20 pages -- July 30, 2012 CVA and Wrong Way Risk
by John Hull of University of Toronto, and
Alan White of University of Toronto
(468K PDF) -- 25 pages -- July 6, 2012 Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo of King's College, London
(570K PDF) -- 57 pages -- June 19, 2012 Castro, Carlos, "Confidence Sets for Asset Correlations in Portfolio Credit Risk", Revista de Economía del Rosario, Vol. 15, No. 1, (June 2012), pp. 19-58. Examining what Best Explains Corporate Credit Risk: Accounting-based versus market-based models
by Antonio Trujillo-Ponce of Universidad Pablo de Olavide de Sevilla,
Reyes Samaniego-Medina of Universidad Pablo de Olavide de Sevilla, and
Clara Cardone-Riportella of Universidad Carlos III de Madrid
(184K PDF) -- 44 pages -- April 2012 Empirical Evidence for the Structural Recovery Model
by Alexander Becker of University of Duisburg-Essen, Germany,
Alexander F.R. Koivusalo of Koivusalo Capital, Sweden, and
Rudi Schäfer of University of Duisburg-Essen, Germany
(163K PDF) -- 18 pages -- March 14, 2012 Default Likelihood under Regime-Switching
by Andreas Milidonis of University of Cyprus, and
Kevin Chisholm of , UK
(1007K PDF) -- 51 pages -- Feb 02, 2012 Exploring the Sources of Default Clustering
by Shahriar Azizpour of Stanford University,
Kay Giesecke of Stanford University, and
Gustavo Schwenkler of Stanford University
(2.691K PDF) -- 28 pages -- January 10, 2012 Sovereign Recovery Schemes: Discounting and risk management issues
by Joe Bonnaud of BNP Paribas,
Laurent Carlier of BNP Paribas,
Jean-Paul Laurent of the Université Paris 1 Panthéon-Sorbonne, and
Jean-Luc Vila - Independent Consultant
(163K PDF) -- 18 pages -- January 5, 2012 Debt Structure, Market Value of Firm, and Recovery Rate
by Min Qi of Office of the Comptroller of the Currency, and
Xinlei Zhao of Office of the Comptroller of the Currency
(640K PDF) -- 31 pages -- October 2011 Firm Default and Aggregate Fluctuations
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Federal Reserve Board, and
Kasper Roszbach of Sveriges Riksbank
(1442K PDF) -- 47 pages -- August 22, 2011 Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis
by Konstantinos Spiliopoulos of Brown University, and
Richard B. Sowers of University of Illinois at Urbana-Champaign
(393K PDF) -- 30 pages -- August 11, 2011 Castrén, Olli, Stéphane Dées, Fadi Zaher, "Stress-testing Euro Area Corporate Default Probabilities using a Global Macroeconomic Model", Journal of Financial Stability, Vol. 6, No. 2, (June 2010), pp. 64-78. Credit Ratings and Credit Risk
by Jens Hilscher of the Brandeis University, and
Mungo Wilson of the Oxford University
(454K PDF) -- 54 pages -- June 2011 Modeling Ultimate Loss Given Default on Corporate Debt
by Michael Jacobs, Jr. of the Office of the Comptroller of the Currency, and
Ahmet K. Karagozoglu of the Hofstra University
(149K PDF) -- 26 pages -- May 2011 Collateralized CDS and Default Dependence: Implications for the central clearing
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(511K PDF) -- 17 pages -- April 11, 2011 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(1355K PDF) -- 37 pages -- March 31, 2011 Dependence of Defaults and Recoveries in Structural Credit Risk Models
by Rudi Schäfer of the University of Duisburg-Essen, and
Alexander F.R. Koivusalo of Danske Capital
(2,413K PDF) -- 19 pages -- March 30, 2011 Empirical Implementation of a 2-Factor Structural Model for Loss-Given-Default
by Michael Jacobs, Jr. of the Office of the Comptroller of the Currency
(863K PDF) -- 16 pages -- March 2011 A Market-Based Study of the Costs of Default
by Sergei A. Davydenko of the University of Toronto,
Ilya A. Strebulaev of the Stanford University, and
Xiaofei Zhao of the University of Toronto
(490K PDF) -- 43 pages -- March 2011 Calibration of Structural and Reduced-form Recovery Models
by Alexander F.R. Koivusalo of Danske Capital & the University of Duisburg-Essen, and
Rudi Schäfer of the University of Duisburg-Essen
(452K PDF) -- 16 pages -- February 23, 2011 Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of the Macquarie University, and
Thorsten Schmidt of the Chemnitz University of Technology
(683K PDF) -- 18 pages -- January 25, 2011 Modeling Bankruptcy Prediction for Non-Financial Firms: The case of Pakistan
by Qaiser Abbas of the International Islamic University, and
Abdul Rashid of the International Islamic University
(170K PDF) -- 8 pages -- January 1, 2011 American Step-up and Step-down Credit Default Swaps Under Lévy Models
by Tim S.T. Leung of the Johns Hopkins University, and
Kazutoshi Yamazaki of the Osaka University
(561K PDF) -- 24 pages -- December 25, 2010 What Triggers Default? A study of the default boundary
by Sergei A. Davydenko of the University of Toronto
(513K PDF) -- 50 pages -- November 15, 2010 Corporate Bond Credit Spreads and Forecast Dispersion
by Levent Güntay of Indiana University, and
Dirk Hackbarth of University of Illinois
(455K PDF) -- 18 pages -- October 2010 Predicting Bank Loan Recovery Rates with Neural Networks
by João A. Bastos of the Technical University of Lisbon
(202K PDF) -- 13 pages -- September 2010 Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
by Yuri Katz of Qubit Technology Center, and
Nikolai Shokhirev of Qubit Technology Center
(2,891K PDF) -- 34 pages -- June 2010 Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A real options approach
by Tetsuya Yamada of the Bank of Japan
(491K PDF) -- 42 pages -- June 2010 Bank Loan Recovery Rates: Measuring and nonparametric density estimation
by Raffaella Calabrese of the University of Milano-Bicocca, and
Michele Zenga of the University of Milano-Bicocca
(392K PDF) -- 9 pages -- May 2010 Corporate Bond Defaults are Consistent with Conditional Independence
by Florian Kramer of Allianz Investment Management SE, and
Gunter Löffler of Ulm University
(294K PDF) -- 31 pages -- April 2010 Economic Capital for Nonperforming Loans
by Rafael Weißbach of the Universität Rostock, and
Carsten von Lieres und Wilkau of the WestLB AG
(251K PDF) -- 26 pages -- March 2010 An Implied Default Dependency Model of a Credit Portfolio based on the Number of Defaults
by Tomoaki Shouda of Hitotsubashi University
(307K PDF) -- 19 pages -- February 28, 2010 Correlation in Credit Risk Changes
by Xiaoling Pu of Kent State University, and
Xinlei Zhao of the Office of the Comptroller of the Currency
(206K PDF) --41 pages -- February 2, 2010 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
(304K PDF) -- 22pages -- October 6, 2009 Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 2009 Recovery Rates and Macroeconomic Conditions: The role of loan covenants
by Zhipeng Zhang of Boston College
(428K PDF) -- 59 pages -- September 2, 2009 Crash Testing German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Martin Erdelmeier of Deutsche Bundesbank
(659K PDF) -- 37 pages -- September 2009 Detecting Regime Shifts in Corporate Credit Spreads
by Georges Dionne of HEC Montreal,
Pascal François of HEC Montreal, and
Olfa Maalaoui of HEC Montreal
(314K PDF) -- 46 pages -- August 2009 Bankruptcy Codes, Liquidation Timing, and Debt Valuation
by Max Bruche of CEMFI
(374K PDF) -- 51 pages -- July 2009 Credit Default Swap Auctions and Price Discovery
by Jean Helwege of Pennsylvania State University,
Sam Maurer of the Federal Reserve Bank of New York,
Asani Sarkar of the Federal Reserve Bank of New York, and
Yuan Wang of Pennsylvania State University
(188K PDF) -- 25 pages -- May 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 Importance Sampling for Integrated Market and Credit Portfolio Models
by Peter Grundke of the University of Cologne
(319K PDF) -- 21 pages -- April 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 Recovery Rates, Default Probabilities, and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos Gonzalez-Aguado of CEMFI
(217K PDF) -- 36 pages -- March 30, 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 The Use (and Abuse) of CDS Spreads During Distress
by Manmohan Singh of the International Monetary Fund, and
Carolyne Spackman of the International Monetary Fund
(705K PDF) -- 13 pages -- March 2009 Distressed Debt Prices and Recovery Rate Estimation
by Xin Guo of the University of California, Berkeley,
Robert A. Jarrow of the Cornell University & Kamakura Corp., and
Haizhi Lin of the Cornell University
(383K PDF) -- 39 pages -- January 26, 2009 Implied Market Loss Given Default in the Czech Republic: Structural-model approach
by Jakub Seidler of Czech National Bank & Charles University in Prague, and
Petr Jakubík of Czech National Bank & Charles University in Prague
(515K PDF) -- 21 pages -- January 2009 CDO Tranche Sensitivities in the Gaussian Copula Model
by Chao Meng of Louisiana State University, and
Ambar Sengupta of Louisiana State University
(251K PDF) -- 17 pages -- September 2009 In Search of Distress Risk
by John Y. Campbell of Harvard University,
Jens Hilscher of Brandeis University, and
Jan Szilagyi of Duquesne Capital Management, LLC
(261K PDF) -- 41 pages -- December 2008 Can Rating Agencies Look Through the Cycle?
by Gunter Löffler of the University of Ulm
(214K PDF) -- 31 pages -- October 2008 Graphical Models for Correlated Defaults
by I. Onur Filiz of the University of California, Berkeley,
Xin Guo of the University of California, Berkeley,
Jason Morton of the University of California, Berkeley, and
Bernd Sturmfels of the University of California, Berkeley
(866K PDF) -- 30 pages -- September 21, 2008 Rating Watchlists and the Informational Content of Rating Changes
by Christian Hirsch of Goethe-University Frankfurt, and
Christina E. Bannier of Frankfurt School of Finance and Management
(209K PDF) -- 40 pages -- September 2, 2008 Macro-model-based Stress Testing of Basel II Capital Requirements
by Esa Jokivuolle of the Bank of Finland,
Kimmo Virolainen of the Bank of Finland, and
Oskari Vähämaa of the Bank of Finland
(1,390K PDF) -- 30 pages -- September 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 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(305K PDF) -- 37 pages -- August 2009 Bankruptcy Prediction: The case of Japanese listed companies
by Ming Xu of the Hong Kong Polytechnic University, and
Chu Zhang of the Hong Kong University of Science & Technology
(336K PDF) -- 36 pages -- July 26, 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. 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 Dynamic Default Rates
by Robert Lamb of Imperial College London, and
William Perraudin of Imperial College London
(307K PDF) -- 34 pages -- May 2008 An Empirical Evaluation of Structural Credit Risk Models
by Nikola A Tarashev of the Bank for International Settlements
(674K PDF) -- 53 pages -- March 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 Ebnöther, Silvan, Paolo Vanini, "Credit Portfolios: What defines risk horizons and risk measurement?", Journal of Banking & Finance, Vol. 31, No. 12, (December 2007), pp. 3663-3679. Parnes, Dror, "Time Series Patterns in Credit Ratings", Finance Research Letters, Vol. 4, No. 4, (December 2007), pp. 217-226. Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,512K PDF) -- 24 pages -- November 10, 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 Systematic Equity-based Credit Risk: A CEV model with jump to default
by Luciano Campi of Université Paris Dauphine,
Simon Polbennikov of Lehman Brothers International, Europe, and
Alessandro Sbuelz of University of Verona
(416K PDF) -- 43 pages -- August 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 On Recovery And Intensity's Correlation: A new class of credit risk models
by Raquel M. Gaspar of the Technical University Lisbon, and
Irina Slinko of Swedbank, AB
(713K PDF) -- 29 pages -- July 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 Capital Structure Arbitrage: Model choice and volatility calibration
by Claus Bajlum of Danmarks Nationalbank & Copenhagen Business School, and
Peter Tind Larsen of the University of Aarhus
(425K PDF) -- 44 pages -- May 29, 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 An Early Warning Model for EU Banks with Detection of the Adverse Selection Effect
by Olivier Brossard of IEP Toulouse & Université Toulouse 1,
Frédéric Ducrozet of Paris Sciences Economiques & Crédit Agricole SA, and
Adrian Roche of Université Paris X & Crédit Agricole SA
(495K PDF) -- 24 pages -- April 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 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 Groupe ESC Rouen & 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. & Hitotsubashi University
(571K PDF) -- 22 pages -- December 20, 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 (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
by Christian Gourieroux of CEPREMAP & the University of Toronto, and
Alain Monfort of CNAM
(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 Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
by An Chen of the University of Bonn, and
Michael Suchanecki of the University of Bonn
(1,409K PDF) -- 37 pages -- October 3, 2006 Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress
by Isabelle Distinguin of the Université de Limoges,
Philippe Rous of the Université de Limoges, and
Amine Tarazi of the Université de Limoges
(580K PDF) -- 26 pages -- October 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
(263K PDF) -- 20 pages -- September 1, 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 & CFS, and
Jan Pieter Krahnen Frankfurt University & 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 Corporate Credit Risk Modeling and the Macroeconomy
by Kenneth Carling of IFAU and Dalarna University,
Tor Jacobson of Riksbank,
Jesper Lindé of Riksbank, and
Kasper Roszbach Riksbank
(531K PDF) -- 29 pages -- April 5, 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
(330DF) -- 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 the 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 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 of 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 Testing Homogeneity of Time-Continuous Rating Transitions
by Rafael Weißbach of Dortmund University of Technology,
Patrick Tschiersch of WestLB, and
Claudia Lawrenz of WestLB
(244K PDF) -- 20 pages -- August 23, 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 A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
by Pierre Tychon of the European Investment Bank,
Vincent Vannetelbosch of the Université catholique de Louvain
(279K PDF) -- 36 pages -- Summer 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, and
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 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. 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 Perraudin, William and Alex Taylor, " On the Consistency of Ratings and Bond Market Yields", Journal of Banking & Finance, Vol. 28, No. 11, (November 2004), pp. 2769-2788. 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 Default Risk in Equity Returns
by Maria Vassalou of Columbia University, and
Yuhang Xing of Columbia University
(224K PDF) -- 38 pages -- April 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 The Identification of Corporate Distress in UK Industrials: A Conditional Probability Analysis Approach
by Lin Lin of the National Chi-Nan University, and
Jenifer Piesse of King's College London & University of Stellenbosch
(583K PDF) -- 23 pages -- April 2004 How Rating 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 UK and US Quoted Firms: Impact of Macroeconomic Instability and the Role of Legal Institutions
by Arnab Bhattacharjee of the University of Cambridge,
C. Higson of the London Business School,
Sean 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. Bankruptcy Resolution in Japan: Corporate Reorganization vs. Civil Rehabilitation
by Pen Xu of Hosei University & RIETI
(299K PDF) -- 46 pages -- February 2004 Large Portfolio Losses
by Amir Dembo of Stanford University,
Jean-Dominique Deuschel Technische Universität Berlin, and
Darrell Duffie of Stanford University
(205K PDF) -- 14 pages -- January 2004 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. Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università "LUISS-Guido Carli",
Andrea Sironi of the Università "Luigi Bocconi", and
Cristiano Zazzara of Capitalia & Università "LUISS-Guido Carli"
(122K PDF) -- 29 pages -- August 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 Harry J. Turtle, " A Barrier Option Framework for Corporate Security Valuation", Journal of Financial Economics, Vol. 67, No. 3, (March 2003), pp. 511-29. 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. Credit Risk Models: An Application to Deposit Insurance Pricing
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università LUISS-Guido Carli,
Andrea Sironi of the Università Luigi Bocconi, and
Cristiano Zazzara of Fondo Interbancario di Tutela dei Depositi & 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
(547K PDF) -- 24 pages -- December 19, 2002 Barnhill, Jr., Theodore M., Panagiotis Papapanagiotou, Liliana Schumacher, "Measuring Integrated Market and Credit Risk in Bank Portfolios: An application to a set of hypothetical banks operating in South Africa", Financial Markets, Institutions & Instruments, Vol. 11, No. 5, (December 2002), pp. 401-443. 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 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
(311K PDF) -- 14 pages -- October 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 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 Lando, David and Torben Magaard Skødeberg, " Analyzing Rating Transitions and Rating Drift with Continuous Observations", Journal of Banking & Finance, Vol. 26, No. 2-3, (March 2002), pp. 423-444. 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 & 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, (April 2002), pp. 237-263. 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. 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 Lucas, André, Pieter Klaassen, Peter Spreij, and Stefan Straetmans, " An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios", Journal of Banking & Finance, Vol. 25, No. 9, (September 2001), pp. 1635-1664. Pricing the Risk of Recovery in Default with Absolute Priority Rule Violation
by Haluk Unal of the University of Maryland,
Dilip Madan of the University of Maryland, and
Levent Güntay of the University of Maryland
(200K PDF) -- 32 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, (February 2001), pp. 295-316. 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 Forecasting Bankruptcy More Accurately: A simple hazard model
by Tyler Shumway of the University of Michigan
(185K PDF) -- 24 pages -- January 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 Altman, Edward I. and Heather J. Suggitt, " Default Rates in the Syndicated Bank Loan Market: A mortality analysis", Journal of Banking & Finance, Vol. 24, No. 1-2. (January 2000), pp. 229-253. Stability of Rating Transitions
by Pamela Nickell of the Bank of England,
William Perraudin of the Birkbeck College, and
Simone Varotto of the Bank of England
(186K PDF) -- 25 pages -- January 2000 Jarrow, Robert A. and Stuart M. Turnbull, " The Intersection of Market and Credit Risk", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 271-299. Anderson, Ronald, Suresh Sundaresan, " A Comparative Study of Structural Models of Corporate Bond Yields: An exploratory investigation", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 255-269. 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 Li, Kai, " Bayesian Analysis of Duration Models: An Application to Chapter 11 Bankruptcy", Economics Letters, Vol. 63, No. 3, (June 1999), pp. 305-312. Pulvino,Todd C., " Effects of Bankruptcy Court Protection on Asset Sales", Journal of Financial Economics, Vol. 52, No. 2, (May 1999), pp. 151-186. 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. 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. Cossin, Didier and Hugues Pirotte, " How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?", European Financial Management, Vol. 4, No. 1, (March 1998), pp. 65-77. 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 Dahiya, Sandeep, Anthony Saunders and Anand Srinivasan, "Financial Distress and Bank Lending Relationships", Journal of Finance, Vol. 52, No. 1, (March 1997), pp. 161-196. A Jump- Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
by Chunsheng Zhou of the Federal Reserve Board
(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. 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 University of California, Los Angeles, (June 1994), Vol. 35, No. 3, pp. 349-370. The Resolution of Financial Distress
by Ronald M. Giammarino of the University of British Columbia
(256K PDF) -- 23 pages -- 1989
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