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Index of Title Changes

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.  The papers listed on this page alone account for about 8% of all papers listed on this site.  If one assumes that only about half of such renamed papers have been captured here, then the estimate would be that about 16% of preprints have their titles changed between the working paper's first draft and the title it is ultimate published under.

If you know of additional examples (especially if you are the author), please contact me.  Thanks.

Renamed Papers (sorted alphabetically by previous title)

Previously titled: Current title:
A Cash Flow Based Multi-period Credit Risk Model A Cash Flow Based Multi-period Credit Risk Model
A Hidden Markov Model of Default Interaction Analysis of Default Data Using Hidden Markov Models
A Model of Corporate Bond Pricing with Liquidity/Marketability Risk --and before that-- Debt Valuation and Marketability Risk A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
A Model of Swap Spreads and Corporate Bond Yields Decomposing Swap Spreads
A New Approach to the Modelling and Pricing of Correlation Credit Derivatives A Dynamic Approach to the Modelling of Correlation Credit Derivatives Using Markov Chains
A Note on Pricing Options on Defaultable Stocks Pricing Options on Defaultable Stocks
A Semi-Analytical Parametric Model for Credit Defaults A Semi-Analytical Parametric Model for Dependent Defaults
A Simple Approach to Estimate Recovery Rates with APR Violation from Debt Spreads Pricing the Risk of Recovery in Default with APR Violation
A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk --and before that-- A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-rate, and Default Risk An Integrated Model for Hybrid Securities
A Unified Model for Credit Derivatives A General Framework for Pricing Credit Risk
Randomized Merton Model on Credit Spreads --and before that-- A Simple Model of Credit Spreads with Incomplete Information --and before that-- Credit Spreads Modeling: Randomized Merton Model Randomized Structure Model of Credit Spreads
A Simple Multi-Factor "Factor Adjustment" for the Treatment of Diversification in Credit Capital Rules A Simple Multi-Factor “Factor Adjustment” for the Treatment of Credit Capital Diversification
A Solvency Based Multi-period Corporate Liquidity Crisis Prediction Model A Solvency Based Multi-period Corporate Short-term Credit Risk Model
A Structural Model with Random Default Boundary A Structural Model with Unobserved Default Boundary
A Two-dimensional CIR++ Shifted Diffusion Model with Automatic Calibration to Credit Default Swaps and Interest-Rate Derivatives Data Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model
Adjusting Multi-Factor Models for Basel II-consistent Economic Capital Measuring Concentration Risk for Regulatory Purposes
An Empirical Analysis of the Dynamic Relationship Between Investment-grade Bonds and Credit Default Swaps An Empirical Analysis of the Dynamic Relation between Investment-grade Bonds and Credit Default Swaps
An Empirical Comparison of Default Swap Pricing Models Pricing Default Swaps: Empirical Evidence
An Incomplete-Market Term-Structure Model for Collateralized Debt Obligations An Incomplete-Market Model for Collateralized Debt Obligations
An Indirect Estimate of Transaction Costs for Corporate Bonds Corporate Yield Spreads and Bond Liquidity
Application of Fourier Inversion Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk On the Applicability of Fourier Based Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk
Arbitrage Pricing of Convertible Securities with Credit Risk Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds
Are Asset Correlations Time Dependent? A Bayesian Approach Are Default Correlations Time Dependent? A Bayesian approach
Are Jumps in Corporate Bond Yields Priced? Modeling Contagion via the Updating of Beliefs Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
Asset Correlations and the Effect of Estimation Errors on Risk Figures Default Correlations and the Effect of Estimation Errors on Risk Figures
Bank Monitoring Incentives and Optimal CDOs Bank Incentives and Optimal CDOs
Capital Ratios and Credit Ratings as Predictors of Bank Failures Capital Ratios as Predictors of Bank Failure
CDO Models -- Towards the Next Generation: Incomplete Markets and Term Structure CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions
Comonotonic Default Quote Paths CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions
Comparison Results for Credit Risk Portfolios Comparison Results for Exchangeable Credit Risk Portfolios
Contagion: The Effects of Default Correlation and Firm Characteristics on Credit Spreads The Effects of Default Correlation on Corporate Bond Credit Spreads
Corporate Bonds: Valuation, Hedging, and Optimal Call and Default Policies Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
Corporate Bankruptcy: Do Debt Covenant and Disclosure Quality Measures Provide Information Beyond Options and Other Market Variables? Assessing the Probability of Bankruptcy
Correlated Defaults and the Valuation of Defaultable Securities Common Failings: How Corporate Defaults are Correlated
Correlated Defaults in Reduced-Form Models Default Correlation in Reduced-Form Models
Counterparty Risk and the Effects on P&L The Pricing Implications of Counterparty Risk for Non-linear Credit Products
Counterparty Risk Valuation Under Correlation Between Interest-rates and Default Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
Credit Barrier Models Discrete Credit Barrier Models
Credit Derivatives in Models with Interacting Default Intensities: a Markovian Approach --and before that-- Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities
Credit Information from Equity Option Prices Separating the Components of Default Risk: A Derivative-Based Approach (Job Market Paper)
Credit Risk Rating at Large U.S. Banks Credit Risk Rating Systems at Large US Banks
Credit Risk and Parent-subsidiary Links Ownership Links, Leverage and Credit Risk
Credit Risk Assessment using Statistical and Machine Learning Methods as an Ingredient for Financial Intermediaries Risk Modeling Credit Risk Assessment using Statistical and Machine Learning: Basic Methodology and Risk Modeling Applications
Credit Risk Changes: Common Factors and Firm-Level Fundamentals Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
Credit Risk Management in Banks: Hard information, soft Information and manipulation The Organization of Credit Risk Management in Banks: Hard versus Soft Information
Credit Risk Modeling: A General Framework The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models
Dealing with Distress in Valuation The Cost of Distress: Survival, Truncation Risk and Valuation
Default Compensator, Incomplete Information, and the Term Structure of Credit Spreads Default and Information
Default Correlation with Considering Jumps (job market paper) The Importance of Simultaneous Jumps in Default Correlation  (job market paper)
Default Distribution and Credit Market Implications Correlation Structures of Correlated Binomial Models and Implied Default Distribution
Default Risk and Diversification: Theory and Applications Default Risk and Diversification: Theory and Empirical Implications
Default Risk in a Network Economy Credit Risk in a Network Economy
Default Risk, Shareholders' Advantage and Stock Returns Default Risk, Shareholder Advantage and Stock Returns
Default Risk, the Real Exchange Rate and Income Fluctuations in Emerging Economies Default Risk and Income Fluctuations in Emerging Economies
Dependence Modelling, Model Risk and Model Calibration in Models of Portfolio Credit Risk Dependent Defaults in Models of Portfolio Credit Risk
Dependent Default in Intensity-Based Models Correlated Defaults in Intensity-Based Models
Determinants of Sovereign Risk Determinants of Sovereign Risk: Macroeconomic fundamentals and the pricing of sovereign debt
Differential Equations for Quantile Functions Quantile Mechanics
Do Airlines in Chapter 11 Harm Their Rivals?: Bankruptcy and Pricing Behavior in U.S. Airline Markets Bankruptcy and Pricing Behavior in U.S. Airline Markets
Do Sophisticated Investors Understand Accounting Quality? Evidence from Bank Loans Accounting Quality and Debt Contracting
Dynamic Credit Portfolio Derivatives Pricing Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
Dynamic Hedging of Synthetic CDO Tranches with Spread- and Contagion Risk Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
Dynamic Loan Loss Distributions: Estimation and Implications Dynamic Default Rates
Dynamical Analysis of the Yield Spread Surface Defined on the Duration - Credit Quality Space Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
Economic and Regulatory Capital What is the Difference? Economic and Regulatory Capital in Banking: What is the Difference?
Estimating the Term Structure of Credit Spreads: Callable Corporate Debt Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
Estimation of a Reduced-Form Credit Portfolio Model and Extensions to Dynamic Frailties Dynamic Frailties and Credit Portfolio Modelling
Estimation of Default Probability by Three-Factor Structural Model Are Corporates' Target Leverage Ratios Time-Dependent?
Fast Analytical Approach to Pricing Synthetic CDOs HPM+: a fast analytical model to pricing synthetic CDOs
Feasting on a Corporate Carcass: Bluffing, Bondmail, and Reputation in the Market for Distressed-Firm Debt Reputation and the Market for Distressed-Firm Debt
Fundamentals-Based versus Market-Based Cross-Sectional Models of CDS Spreads Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
Heterogeneity in Ratings Migration Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration
How Data Quality of Macro Aggregates Affects Sovereign Risk: Estimating and Explaining the link (Job Market Paper) Estimating the Effects of Information Quality of Macro Aggregates on Sovereign Risk (Job Market Paper)
How Large is the NPV of Financial Distress Costs? The Risk-Adjusted Cost of Financial Distress
How Much Do Banks Use Credit Derivatives to Reduce Risk How Much do Banks use Credit Derivatives to Hedge Loans?
Improving Counterparty Risk Management Practices Toward Greater Financial Stability: A Private Sector Perspective
Indifference Price of Defaultable Bonds with Unpredictable Recovery and Their Risk Premiums The Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk
Information Reduction in Credit Risk Models Credit Risk Models with Incomplete Information
Inferring Marginal Tax Rates from Green’s Model with Default Liquidity, Default, Taxes and Yields on Municipal Bonds
Interacting Particle Systems for the Computation of CDO Tranche Spread with Rare Defaults Interacting Particle Systems for the Computation of Rare Credit Portfolio Losses
Jumps and Recovery Rates Inferred from Corporate CDS Premia The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
Lease Financing, Credit Risk, and the Optimal Capital Structure Leverage, Options Liabilities and Corporate Bond Pricing
Lévy Base Correlation Explained Lévy Base Correlation
Liquidity Discovery and Asset Pricing Demand Discovery and Asset Pricing
Macroeconomic Conditions and Credit Spread Dynamics: A Theoretical Exploration Macroeconomic Conditions, Firm Characteristics, and Credit Spreads
Measurement and Estimation of Credit Migration Matrices Measurement, Estimation and Comparison of Credit Migration Matrices
Measuring the Risk of Extreme Events Measuring the Risk of Large Losses
Modeling Correlated Interest Rate, Exchange Rate, and Credit Risk in Fixed Income Portfolios Modeling Correlated Market and Credit Risk in Fixed Income Portfolios
On Credit Risk in Supply Chains: Is Negative Default Correlation Among Suppliers Desirable? Competition and Diversification Effects in Supply Chains with Supplier Default Risk
On the Pricing & Hedging of Contingent Claims in the Presence of Extraneous Risks Pricing and Hedging in the Presence of Extraneous Risks
Optimal Capital Management with Fixed Costs and Implementation Delays Optimal Bank Capital with Costly Recapitalization
Optimal Credit Limit Management Optimal Credit Limit Management Under Different Information Regimes
Optimal Leverage Function for CPDOs --and before that-- Optimal leverage in CPDOs Theoretical Solution versus Industry Standard: Optimal leverage function for CPDOs
Partial Information, Default Hazard Process, and Default-Risky Bonds Partial Information and Hazard Process
Power, Profitability, and Prices: Why Powerful Models Increase Profits and How to Define A Lending Cutoff If You Must The Relationship Between Default Prediction and Lending Profits: Integrating ROC analysis and loan pricing.
Predictions of Expected Default Frequencies in Structural Models of Debt Predictions of Default Probabilities in Structural Models of Debt
Pricing Credit from the Top Down with Affine Point Processes Affine Point Processes and Portfolio Credit Risk
Pricing Options on Derivative Securities Subject to Credit Risk Pricing Derivatives on Financial Securities Subject to Credit Risk
Recovery of Face Value at Default: Theory and Empirical Evidence Recovery of Face Value at Default: Empirical evidence and implications for credit risk pricing
Recovery Risk in Defaultable Debt Models: Empirical comparisons and implied recovery rates Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
Recovery Risk Modeling: An Application of the Quadratic Class Joint Estimation of Default and Recovery Risk: A Simulation Study
Risk and Return of Fixed Income Arbitrage: Nickels in front of steamrollers Risk and Return in Fixed Income Arbitrage: Nickels in front of a steamroller?
Risk Transfer with CDOs and Systemic Risk in Banking Risk Transfer with CDOs
Scope for Credit Risk Diversification Firm Heterogeneity and Credit Risk Diversification
Simulating Correlated Default Processes Using Copulas: A Criterion-based Approach  --and before that--  Modeling the Processes of Correlated Default Correlated Default Processes: A Criterion-Based Copula Approach
Sovereign Default Dynamics Public Default Dynamics
Structural RFV: Recovery Form and Defaultable Debt Analysis Structural Recovery of Face Value at Default
Study of Dependence for Some Classes of Stochastic Processes Study of Dependence for Some Stochastic Processes
Testing Probability Calibrations for Credit Scoring Models Goodness-of-Fit Test for Event Forecasting
The Basel Committee Approach To Risk-Weights And External Ratings: What Do We Learn From Bond Spreads? The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model
The Correlation Effect Firm Defaults and the Correlation Effect
The Credit-Default Swap Market: Is Credit Protection Priced Correctly? Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
The Cross-Section of Daily Variation in Liquidity Liquidity Dynamics Across Small and Large Firms
The Effect of Fair vs. Book Value Accounting on the Liquidity and Investment Behavior of Banks The Effect of Fair vs. Book Value Accounting on Banks
The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios
The Impact of Default Barriers on the Market Value of Firm's Assets Estimating Default Barriers from Market Information
The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
The Market Price of Credit Risk The Market Price of Credit Risk: The impact of asymmetric information
The Market Price of Credit Risk: An empirical analysis of interest rate swap spreads The Market Price of Risk in Interest Rate Swaps: The roles of default and liquidity risks
The New Basel Accord: Possible Implications for Italian Banks The Basel Committee Proposals for a New Capital Accord: Implications for Italian banks
The Perfect Copula Valuing Credit Derivatives Using an Implied Copula Approach
The Relationship between Par Coupon Spreads and Credit Ratings in US Structured Finance The Relationship between Issuance Spreads and Credit Performance of Structured Finance Securities
The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification Global Business Cycles and Credit Risk
Tightening Credit Standards: Fact or Fiction? Tightening Credit Standards: The Role of Accounting Quality
Time-Changed Birth Processes and Multi-Name Credit Time-changed Birth Processes and Multi-name Credit Derivatives
To Recover or Not to Recover: This is not the question Arbitrage Pricing of Single-Name Credit Derivatives
Understanding the Recovery Rates on Defaulted Securities Does Industry-wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries
Utility Valuation of Credit Derivatives and Application to CDOs Utility Valuation of Multiname Credit Derivatives and Application to CDOs
Valuation and Hedging of Defaultable Game Options in a Hazard Process Model Defaultable Game Options in a Hazard Process Model
Valuation of Credit Default Swap and Swaptions Valuation of Credit Default Swaps and Swaptions

 

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Last modified: July 18, 2009