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In Rememberance: World Trade Center (WTC)

1,618 Downloadable Papers

  • Recently Mended 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.
  • Index of Title Changes to Papers: One of the great frustrations for a researcher is finding a preprint with a "new" title only to later discover that it is merely an update to some previous paper.  This lists all the changes.

Credit Pricing / Credit Spreads:  (133 downloadable papers posted)  These are principally term structure models for credit spreads and defaultable bonds. Additional pricing models for specifically credit derivatives, can be found in the credit derivatives section.

Credit Models:    (256 downloadable papers posted)  On both the individual instrument level and the portfolio level there are a wide variety of approaches that have merit for either a specific application, for a specific set of input data or to address a specific feature of interest. In general, any model is a reflection of the type and reliability of data available and for credit risk, data is by and large far sparser than for market risk.

Credit Derivatives, Basket Default Swaps & Credit Sales:   (156 downloadable papers posted) This topic used to have a dearth of published papers because the leading broker/dealers felt that any knowledge of credit derivatives should be kept proprietary since it represented a comparative advantage. This climate of secrecy has diminished and research has flourished. This section originally included CDOs which were split off to their own section in Feb-2008.

Collateralized Debt Obligations (CDOs):  (155 downloadable papers posted) This is both the most rapidly growing area of credit research.  Indeed, I'm seeing that many authors of "correlation" or "modeling" papers feel compelled to discuss their findings within at least the context of CDOs. This section was broken off from a general Credit Derivatives section in Feb-2008.

Correlations / Portfolio Effects / Diversification:  (168 downloadable papers posted)  As critical as this topic is for the creation of a "portfolio view" of credit, this is a difficult problem in spite of the recent research that has come out. The major vendor models have had of necessity to grapple with this and have arrived at very divergent approaches:  Equity-based correlations for CreditMetrics.  Transition Matrix "twisting" based on macroeconomic projections for McKinsey's CreditPortfolioView.  Actuarial modeling for CSFB's CreditRisk+.  All have empirical merit and none is completely satisfactory.

Recovery Rates / LGD (Loss Given Default):  (120 downloadable papers posted)  This model parameter is equally as significant to the accuracy of a default risk model as is the default likelihood (see "Credit Scoring" below), but there is, by its nature, less data with which to construct a good model.  Thus, the majority of papers are theoretical rather than data based and there is still a great need for good predictive models.

Supervisory (Industry Practices / Pronouncements):   (89 downloadable paper posted)  Supervisory agencies are frequently an excellent source for judging the state-of-the-art -- or at least common practices across institutions that would be otherwise unwilling to share their internal practices with their competitors.

Model Testing / Stress Testing:   (56 downloadable paper posted)  Just as reliance upon statistical models has grown (both for risk assessment and pricing), so has a growing concern over "model risk".  Its impact can be both large (because it is non-diversifiable) and unknown (almost by definition).  We can't always guess what we might have overlooked or what is unreliably estimated.  This highlights the need for (and practical difficulties of) stress testing both our models and our models' view of our true risk.  Regrettably it is also  a less well studied field.

Credit Scoring:  (92 downloadable papers posted)  This area has an abundance of academic papers because (I believe) it is both a fun topic for beginning researchers to apply their newly learned discriminant analysis tools, and because it was one of the first topics within credit risk to receive serious attention.   [E.Altman, 1968] is seminal in this area.

Sovereign Risk: (53 downloadable papers posted)  I've broken out sovereign credit risk and emerging markets as its own category.

Liquidity Risk:   (57 downloadable papers posted)  Although the credit markets are generally achieving greater liquidity than even a few years ago, credit exposures are still very illiquid.  So it is natural for a risk manager to be concerned with explicitly dealing with liquidity.  One practical difficulty is that there has not been a lot of research in this field.  Indeed, there is common disagreement about what is meant by "liquidity risk".  It might mean, 1) the institution's risk of a funds shortage, or alternatively 2) the potential loss in a current/specific exposure's value due to delays in trading out.  Clearly, this is an area in need of more research attention.

Downloadable Computer Codes, Scripts, & Routines:  (8 downloadable "programs" posted)  These are a (somewhat random) collection of potentially interesting/useful spreadsheets or computer codes related to credit modeling.  Of course, your suggestions are always welcome. Contact me.

Quantitative Methods:  (31 downloadable papers posted)  These are just technical papers that I've found useful.  This topic is so wide that I'm going to limit it strictly to purely whether I find the papers are interesting for my own work.

Other:  (247 downloadable papers posted)  All other papers on credit risk measurement, modeling and management -- and closely related papers that I've found useful or interesting -- are here.

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