These are all the papers that have the " 91B30 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Optimal Right and Wrong Way Risk
by Ignacio Ruiz of iRuiz Consulting,
Ricardo Pachon of Credit Suisse, and
Piero del Boca of Credit Suisse
(405K PDF) -- 27 pages -- April 2013 Collateralized CVA Valuation with Rating Triggers and Credit Migrations
by Tomasz R. Bielecki of Illinois Institute of Technology,
Igor Cialenco of Illinois Institute of Technology, and
Ismail Iyigunler of Illinois Institute of Technology
(310K PDF) -- 30 pages -- March 2013 Collateral-Enhanced Default Risk
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(2434K PDF) -- 12 pages -- February 19, 2013 Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,106K PDF) -- 66 pages -- February 17, 2010 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 Multivariate Extremes and the Aggregation of Dependent Risks: Examples and counter-examples
by Paul Embrechts of ETH Zurich,
Dominik D. Lambrigger of ETH Zurich, and
Mario V. Wüthrich of ETH Zurich
(509K PDF) -- 28 pages -- February 12, 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 Distribution-Invariant Risk Measures, Entropy, and Large Deviations
by Stefan Weber of Cornell University
(246K PDF) -- 24 pages -- December 4, 2006 Numerically Stable Computation of CreditRisk+
by Hermann Haaf of Commerzbank AG,
Oliver Reiß of IKB Deutsche Industriebank AG, and
John Schoenmakers of the Weierstrass Institute
(108K PDF) -- 10 pages -- Summer 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
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