These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the H63 classification. (sorted by date) Joffe, Marc, "Provincial Solvency and Federal Obligations", Macdonald-Laurier Institute, (October 2012), p. 52. 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 Managing Sovereign Credit Risk in Bond Portfolios
by Benjamin Bruder of Lyxor Asset Management,
Pierre Hereil of Lyxor Asset Management, and
Thierry Roncalli of Lyxor Asset Management
(2018K PDF) -- 27 pages -- October 2011 A Stochastic Framework for Public Debt Sustainability Analysis
by Gabriel Di Bella of the International Monetary Fund
(525K PDF) -- 28 pages -- March 2008 Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" Approach
by Oya Celasun of the International Monetary Fund,
Xavier Debrun of the International Monetary Fund, and
Jonathan D. Ostry of the International Monetary Fund
(771K PDF) -- 54 pages -- March 2006 An Integrated Pricing Model for Defaultable Loans and Bonds
by Mario Onorato of City University (London), and
Edward I. Altman of New York University
(532K PDF) - 21 pages -- March 2005 Default Premia on European Government Debt
by Ingunn M. Lønning of the Norges Bank
(107K PDF) -- 41 pages -- December 1999
[Home] [JEL Classification] | 
