| | AMS Classification 90A09
"Finance, portfolios, investment (1991 MSC)"These are all the papers that have the " 90A09 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) CDS Pricing under Basel III: Capital relief and default protection
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(812K PDF) -- 16 pages -- November 22, 2012 Coherent Asset Allocation and Diversification in the Presence of Stress Events
by Riccardo Rebonato of the Oxford University, and
Alexander Denev of the Oxford University
(251K PDF) -- 26 pages -- April 27, 2011 Huang, Xinzheng, Cornelis W. Oosterlee, "Adaptive Integration for Multi-factor Portfolio Credit Loss Models", Journal of Computational and Applied Mathematics, Vol. 231, No. 2, (September 2009), pp. 506-516. A General Framework for Pricing Credit Risk
by Alain Bélanger of Scotia Capital,
Steven E. Shreve of Carnegie Mellon University, and
Dennis Wong of Bank of America Corporation
(313K PDF) -- 40 pages -- April 16, 2003 Embrechts, Paul, Andrea Höing, and Alessandro Juri, "Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks", Finance and Stochastics, Vol. 7, No. 2, (April 2003), 145-167. Affine Processes and Applications in Finance
by Darrell Duffie of Stanford University,
Damir Filipović of Princeton University, and
Walter Schachermayer of the Vienna University of Technology
(492K PDF) -- 59 pages -- September 24, 2002 Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
by Norbert Jobst of the University of Cyprus & Brunel University, and
Stavros A. Zenios of the University of Cyprus & University of Pennsylvania
(599K PDF) -- 35 pages -- July 2001 Analytical Value-At-Risk with Jumps and Credit Risk
by Darrell Duffie of Stanford University, and
Jun Pan of Stanford University
(379K PDF) -- 27 pages -- November 29, 1999 Darrel, Duffie, Mark Schroder, and Costis Skiadas, " Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty", Annals of Applied Probability, Vol. 6, No. 4, (November 1996), pp. 1075-1090.
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