Recently Mended Links to Papers

This is a list of papers who's links had become broken and have had their links recently fixed.  If you wanted a paper but could not download it, then you can check this list to see if it has become available once again.

If you would like to report that a paper fails to download, then I would kindly appreciate hearing of the page with the broken link (e.g., pp_models_64) plus (if you know it) a new source.  Contact Me.  Thanks.

Mended Links to Papers (sorted by date)

Week of November-10

• Liquidity Black Holes

Week of October-25

• Value at Risk Calculations, Extreme Events, and Tail Estimation
• Excessive Variation of Risk Factor Correlations and Volatilities

Week of October-18

• Defining a Beta Distribution Function for Construction Simulation
• Bank Monitoring Incentives and Optimal CDOs

Week of October-4

• Capital Structure Arbitrage: Model choice and volatility calibration
• Calibration of PD Term Structures: To be Markov or not to be
• Risk and Return in Fixed-income Arbitrage: Nickels in front of a steamroller?
• Estimating Tranche Spreads by Loss Process Simulation
• Risk Analysis of Collateralized Debt Obligations
• Correlated Default with Incomplete Information
• A Simple Exponential Model for Dependent Defaults
• Time-changed Birth Processes and Multi-name Credit Derivatives
• Premia for Correlated Default Risk
• Self-exciting Corporate Defaults: Contagion vs. frailty
• An Overview of Credit Derivatives
• Credit Risk Modeling and Valuation: An Introduction
• The Correlation-Neutral Measure for Portfolio Credit
• Dependent Events and Changes of Time
• Portfolio Credit Risk: Top Down vs. Bottom Up Approaches
• Forecasting Extreme Financial Risk
• Default and Information
• The Market Price of Credit Risk: The impact of asymmetric information

Week of September-27

• Market Microstructure and Asset Pricing: On the compensation for illiquidity in stock returns

Week of September-20

• A Framework for Valuing Corporate Securities
• Liquidation Triggers and the Valuation of Equity and Debt
• Policy Implications of the Federal Reserve Study of Credit Risk Models at Major U.S. Banking Institutions

Week of September-13

• Recovery Rates of Bank Loans: Empirical Evidence for Germany
• Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina
• Default Risk, Shareholder Advantage and Stock Returns
• Default Correlation in Reduced-Form Models
• Cyclical Correlations, Credit Contagion, and Portfolio Losses
• Credit Contagion and Aggregate Losses
• Risk and Valuation of Collateralized Debt Obligations
• What Do We Know about Capital Structure? Some Evidence from International Data
• Cross- and Autocorrelation in Multi-period Credit Portfolio Models
• Competition and Diversification Effects in Supply Chains with Supplier Default Risk

Week of September-6

• Default Risk in Corporate Yield Spreads

Week of August-30

• Predicting Bank Failures Using a Simple Dynamic Hazard Model
• How Downward-Sloping are Demand Curves for Credit Risk?

Week of August-23

• On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
• Suddenly Structure Mattered: Insights into Recoveries of Defaulted Debt
• Default Prediction of Various Structural Models
• The Valuation of Default-Triggered Credit Derivatives
• Commonality in Liquidity
• Bond Durations: Corporates vs. Treasuries
• Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds
• Dynamic Credit Portfolio Modelling in Structural Models with Jumps
• Valuation of Loan CDS Under Intensity Based Model
• (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution

Week of August-9

• Fitting the CDO Correlation Skew: A tractable structural jump-diffusion model

Week of June-21

• The Static Hedging of CDO Tranche Correlation Risk

Week of June-7

• Credit Spread Bounds and their Implications for Credit Risk Modeling
• The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models
• An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors

Week of May-17

• Accounting Transparency and the Term Structure of Credit Default Swap Spreads
• Credit Default Swap Spreads and US Financial Market: Investigating some dependence structure
• Basel II Second Pillar: An analytical VaR with contagion and sectorial risks

Week of May-3

• Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds
• Financial and Economic Determinants of Firm Default
• Credit Risk: Modeling and Application
• Data Mining Procedures in Generalized Cox Regressions
• Understanding Relationships Using Copulas
• The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
• Factors Affecting the Yields on Noninvestment Grade Bond Indices: a cointegration analysis
• Copula from the Limit of a Multivariate Binary Model
• Risk and Return in Fixed Income Arbitrage: Nickels in front of a steamroller?
• Default Correlation in Reduced-Form Models
• Correlated Defaults in Intensity-Based Models
• Pricing Corporate Bonds in an Arbitrary Jump-Diffusion Model Based on an Improved Brownian-bridge Algorithm
• Implied Migration Rates from Credit Barrier Models
• Modelling Dependent Defaults: Asset Correlations Are Not Enough!
• Modelling Dependent Defaults
• Common Poisson Shock Models: Applications to insurance and credit risk modelling
• Sub-additivity Re-examined: The case for Value-at-Risk
• By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
• Credit Ratings and Stock Liquidity
• Co-monotonic Default Quote Paths for Basket Evaluation
• Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash
• An Integrated Model for Hybrid Securities
• Correlated Default Risk

Week of April-26

• Correlated Default Processes: A Criterion-Based Copula Approach
• Correlated Default Modeling with a Forest of Binomial Trees
• Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
• Debt Subordination and The Pricing of Credit Default Swaps
• Reputation and the Market for Distressed Firm Debt
• Modelling Dependence for Credit Derivatives with Copulas
• How Long Do Junk Bonds Spend in Default?
• Forced Selling of Fallen Angels
• Determinants of the Choice of Bankruptcy Procedure in Japan
• From Default Probabilities to Credit Spreads: Credit risk models do explain market prices
• Ratings-based Credit Risk Modelling: An empirical analysis
• Loan Equivalents for Revolving Credits and Advised Lines
• Do Macroeconomic Variables Matter for the Pricing of Default Risk? Evidence from the Residual Analysis of the Reduced-Form Model Pricing Errors
• The Choice Among Traditional Chapter 11, Prepackaged Bankruptcy, and Out-of-Court Restructuring
• The Informational Content and Accuracy of Implied Asset Volatility as a Measure of Total Firm Risk
• CDO Evaluation Through Exact Simulation
• The Distribution of Loan Portfolio Value

Week of March-29

• The Discrete Gamma Pool Model

Week of March-8

• Toward a New Framework and a Better Understanding of Credit Default Swaps
• Collateral, Renegotiation and the Value of Diffusely Held Debt
• Sovereign Debt Spreads in a Markov Switching Regime
• Separating the Components of Default Risk: A Derivative-Based Approach (Job Market Paper)
• Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration
• A Value at Risk Analysis of Credit Default Swaps
• Default and the Term Structure in Sovereign Bonds
• The Direct Approach to Debt Option Pricing

Week of February-22

• Testing Homogeneity of Time-Continuous Rating Transitions
• Premia for Correlated Default Risk
• Dynamic Default Rates

Week of January-18

• Fast CDO Computations in the Affine Markov Chain Model
• (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution

Week of November-30

• Affine Model for Credit Risk Analysis
• On Copulas and their Application to CDO Pricing
• CDS Calibration with Tractable Structural Models Under Uncertain Credit Quality

Week of November-16

• Computation of VaR and VaR Contribution in the Vasicek Portfolio Credit Loss Model: A Comparative Study
• Volatiltiy and Jump Risk Premia in Emerging Market Bonds
• Sources of Sovereign Default Risk: An empirical analysis
• Valuation of Loan CDS Under Intensity Based Model

Week of October-26

• Confidence Sets for Asset Correlation

Week of October-12

• Banking and Securitization

Week of October-5

• How Sovereign is Sovereign Credit Risk?

Week of September-28

• An International Survey of Stress Tests
• The Static Hedging of CDO Tranche Correlation Risk

Week of August-31

• Adjusting Multi-Factor Models for Basel II-consistent Economic Capital
• Extracting Systematic Factors in a Continuous-time Credit Migration Model
• A Note on Fitting Markov Operator Credit Risk Models

Week of August-17

• On Approximation of Functions by Exponential Sums

Week of July-27

• Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
• Hedging Default Risks of CDOs in Markovian Contagion Models
• Dynamic Credit Portfolio Modelling in Structural Models with Jumps

Week of June-22

• Dependent Credit Migrations
• The Resolution of Financial Distress
• An analysis of bankruptcy bargaining in the U.S.
• Is Bargaining in Chapter 11 Costly?
• Depressing Recoveries

Week of May-11

• Optimal Static Hedging of Defaults in CDOs

Week of April-20

• The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models

Week of March-30

• Order Imbalance, Liquidity, and Market Returns
• Estimating Structural Bond Pricing Models

Week of March-23

• Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices

Week of March-9

• The Paradox of Priority
• Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market
• Credit Risk and Macroeconomic Dynamics
• Default Contagion in Large Homogeneous Portfolios
• Correlated Defaults in Intensity-Based Models

Week of March-2

• A Comparison Between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing

Week of February-17

• Laying off Credit Risk: Loan Sales versus Credit Default Swaps
• Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
• A Model of Corporate Bond Pricing with Liquidity and Marketability Risk

Week of February-10

• A Structural Credit-Risk Model based on a Jump Diffusion
• The Effect of Fair vs. Book Value Accounting on Banks
• Leverage, Options Liabilities and Corporate Bond Pricing

Week of January-20

• Debt Subordination and The Pricing of Credit Default Swaps
• Accounting Quality and Debt Contracting

Week of December-16

• Efficient Pricing Routines of Credit Default Swaps in a Structural Default Model with Jumps
• Credit Barrier and Dynamic Correlation Techniques for Pricing CDOs of SMEs

Week of December-2

• Interaction of Market and Credit Risk: An analysis of inter-risk correlation and risk aggregation

Week of November-25

• The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
• Reverse Engineering Banks Financial Strength Ratings Using Logical Analysis of Data
• A Comparative Analysis of CDO Pricing Models

Week of October-21

• A Note on the Correlation Smile

Week of September-30

• Recovery of Face Value at Default: Empirical evidence and implications for credit risk pricing
• Copula Based Simulation Procedures for Pricing Basket Credit Derivatives
• Infinite-mean Models and the LDA for Operational Risk

Week of September-9

• Modeling Default Risk: A new structural approach
• Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence

Week of September-2

• Absolute Priority Rule Violations in Bankruptcy
• Absolute Priority Rule Violations, Credit Rationing, and Efficiency
• Information Precision and the Term Structure of Credit Spreads: An Empirical Examination
• The Effects of Estimation Error on Measures of Portfolio Credit Risk

Week of August-19

• Understanding Stochastic Exposures and LGDs in Portfolio Credit Risk
• The Choice Among Traditional Chapter 11, Prepackaged Bankruptcy, and Out-of-Court Restructuring
• The Implications of Implied Correlation
• Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is fixed-income markets information sufficient to evaluate credit risk
• Consultative Paper on Credit Stress-Testing
• Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
• Time-to-Default: Life Cycle, Global and Industry Cycle Impacts
• Default Correlation in Reduced-Form Models
• Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty
• A LIBOR Market Model with Default Risk
• Contagion in Latin America: An analysis of credit derivatives
• Default Premia on European Government Debt
• Modelling European Credit Spreads
• The Costs of Financial Distress across Industries
• Risk and Return in Fixed Income Arbitrage: Nickels in front of a steamroller?
• How to Invest Optimally in Corporate Bonds: A reduced-form approach

Week of August-5

• Regularization Algorithms for Transition Matrices
• Avoiding the Rating Bounce: Why rating agencies are slow to react to new information
• A Survey of Cyclical Effects in Credit Risk Measurement Models
• Ratings Versus Market-based Measures of Default Risk in Portfolio Governance
• An Integrated Market and Credit Risk Portfolio Model
• Building a Credit Risk Valuation Framework for Loan Instruments

Week of July-22

• Correlated Defaults and the Valuation of Defaultable Securities
• Credit Derivatives with Recovery of Market Value for Multiple Firms

Week of July-8

• Understanding Relationships Using Copulas
• Modeling Default Dependence with Threshold Models

Week of June-17

• What Do We Know About Loss-Given-Default?
• Liquidity Discovery and Asset Pricing

Week of June-3

• Do Capital Adequacy Requirements Reduce Risks in Banking?
• Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risk
• Risk Trading, Network Topology, and Banking Regulation

Week of May-27

• A Simple Model for Valuing Default Swaps when both Market and Credit Risk are Correlated
• The Joint Estimation of Term Structures and Credit Spreads
• An Empirical Investigation in Credit Spread Indices
• Modelling European Credit Spreads

Week of May-20

• Global Sensitivity Analysis for Latent Factor Credit Risk Models
• Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective
• 1986-2002 Credit Risk Loss Experience Study: Private Placement Bonds
• From Fault Tree to Credit Risk Assessment: An Empirical Attempt
• Estimating Default Probabilities Implicit in Equity Prices
• The Identification of Corporate Distress in UK Industrials: A Conditional Probability Analysis Approach

Week of April-29

• Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
• Loan Equivalents for Revolving Credits and Advised Lines

Week of April-1

• Implications of Correlated Default For Portfolio Allocation to Corporate Bonds
• A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans

Week of March-4

• Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk

Week of December-10

• A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
• The Dependence of Recovery Rates and Defaults
• Default Implied Volatility for Credit Spread
• Determinants of Spreads on Sovereign Bank Loans: The role of credit history
• What Do We Know about Capital Structure? Some Evidence from International Data
• Liquidity Risk and Expected Stock Returns
• Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
• Can a Coherent Risk Measure be Too Subadditive?

Week of November-19

• Bayesian Methods for Improving Credit Scoring Models
• The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

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Last modified: July 18, 2009