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AMS 91B28

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AMS Classification 91B28
"Finance, portfolios, investment"

These are all the papers that have the " 91B28 " classification. Note that not all authors/journals assign MSC codes.     (sorted by date)

Valuing Derivatives: Funding Value Adjustments and Fair Value
by John Hull of University of Toronto, and
Alan White of University of Toronto
(293K PDF) -- 25 pages -- September 16. 2013

A Model for Dependent Defaults and Pricing Contingent Claims with Counterparty Risk
by Dariusz Gatarek of Unicredit, and
Juliusz Jabłecki of National Bank of Poland
(1146K PDF) -- 27 pages -- April 2013

Collateral and Credit Issues in Derivatives Pricing
by John Hull of University of Toronto, and
Alan White of University of Toronto
(444K PDF) -- 25 pages -- January 2013

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

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

Pitfalls in Modeling Loss Given Default of Bank Loans
by Marc Gürtler of the Braunschweig Institute of Technology, and
Martin Hibbeln of the Braunschweig Institute of Technology
(640K PDF) -- 31 pages -- May 12, 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

Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010

À la Carte of Correlation Models: Which one to choose?
by Harry Zheng of the Imperial College of London
(141K PDF) -- 12 pages -- October 19, 2010

Credit Risk Premia and Quadratic BSDEs with a Single Jump
by Stefan Ankirchner of the Universtät Bonn,
Christophette Blanchet-Scalliet of the Université de Lyon, and
Anne Eyraud-Loisel of the Université Lyon 1
(303K PDF) -- 27 pages -- June 8, 2010

Credit Dynamics in a First Passage Time Model with Jumps
by Natalie Packham of the Frankfurt School of Finance & Management,
Lutz Schlögl of Nomura International Plc, and
Wolfgang M. Schmidt of the Frankfurt School of Finance & Management
(564K PDF) -- 34 pages -- September 2009

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers of ETH Zurich, and
Philipp J. Schönbucher of ETH Zurich
(536K PDF) -- 25 pages -- January 2009

Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
by Alexander Herbertsson of the University of Gothenburg
(406K PDF) -- 31 pages -- September 10, 2008

Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,512K PDF) -- 24 pages -- November 10, 2007

Modelling Default Contagion using Multivariate Phase-type Distributions
by Alexander Herbertsson of Göteborg University
(862K PDF) -- 36 pages -- November 10, 2007

Perpetual Convertible Bonds with Credit Risk
by Christoph Kühn of Goethe-Universität, and
Kees van Schaik of Goethe-Universität
(479K PDF) -- 29 pages -- August 31, 2007

Distribution-Invariant Risk Measures, Entropy, and Large Deviations
by Stefan Weber of Cornell University
(246K PDF) -- 24 pages -- December 4, 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

Credit Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -- 16 pages -- September 2006

Explicit Formulas for Laplace Transforms of Stochastic Integrals
by Tom R. Hurd of McMaster University, and
Alexey Kuznetsov of McMaster University
(200K PDF) -- 19 pages -- July 3, 2006

Non-parametric Estimation of Elliptical Copulae With Application to Credit Risk
by Krassimir Kostadinov of the Munich University of Technology
(458K PDF) -- 37 pages -- April 10, 2005

Tail Approximation for Credit Risk Portfolios with Heavy-tailed Risk Factors
by Krassimir Kostadinov of the Munich University of Technology
(262K PDF) -- 24 pages -- January 2005

Tails of Credit Default Portfolios
by Gabriel Kuhn of the Munich University of Technology
(355K PDF) -- 32 pages -- December 21, 2004

Partial Information and Hazard Process
by Monique Jeanblanc of the Université d'Evry, and
Stoyan Valchev of ISB Zurich
(537K PDF) -- 32 pages -- November 4, 2004

Modeling Credit Risk with Partial Information
by Umut Çetin of Cornell University,
Robert Jarrow of Cornell University,
Philip Protter of Cornell University, and
Yıldıray Yıldırım of Syracuse University
(103K PDF) -- 12 pages -- August 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

Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(299K PDF) -- 25 pages -- October 18, 2003

Multiscale Stochastic Volatility Asymptotics
by Jean-Pierre Fouque of North Carolina State University,
George Papanicolaou of Stanford University,
Ronnie Sircar of Princeton University, and
Knut Sølna of the University of California, Irvine
(247K PDF) -- 21 pages -- October 2003

Valuation of Credit Default Swaps and Swaptions
by Farshid Jamshidian of NIB Capital Bank
(287K PDF) -- 26 pages -- October 12, 2002


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