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 11% of all papers listed on this site. If one assumes that only about half of such renamed papers have been captured here, then the better estimate would be that about 22% of preprints have their titles changed between the working paper's first draft and the title it is ultimate published under.
| Previously titled: | | Current title: |
| A Cash Flow Based Multi-period Credit Risk Model | | A Cash Flow Based Multi-period Credit Risk Model |
| A Comparative Analysis of CDO Pricing Models | | A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework |
| A Comparison Between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing | | The Stochastic Intensity SSRD Model Implied Volatility Patterns for Credit Default Swap Options and the Impact of Correlation |
| A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives | | A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives |
| A Hidden Markov Model of Default Interaction | | Analysis of Default Data Using Hidden Markov Models |
| A Model for Corporate Bonds, Swaps and Treasury Securities --and-- A Model of Swap Spreads and Corporate Bond Yields | | Decomposing Swap Spreads |
| 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 Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads | | A Multi-factor, Credit Migration Model for Sovereign and Corporate Debts |
| 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 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 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 Spot Recovery Rate Extension of the Gaussian Copula | | A Spot Stochastic Recovery Extension of the Gaussian Copula |
| A Structural Model with Random Default Boundary | | A Structural Model with Unobserved Default Boundary |
| A Two-Factor Structural Model of Ultimate Loss-Given-Default: Capital structure and calibration to corporate recovery data | | Empirical Implementation of a 2-Factor Structural Model for Loss-Given-Default |
| A Unified Model for Credit Derivatives | | A General Framework for Pricing Credit Risk |
| 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 Empirical Study of Financial Distress of Small Bank-financed UK Companies: A reassessment of English insolvency law --and before that-- Resolving Financial Distress by way of a Contract: An empirical study of small UK companies | | Financial Distress and Bank Restructuring of Small to Medium Size UK Companies |
| 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 |
| Analytical Framework for Credit Portfolios --and before that-- Analytical Framework for Credit Portfolios, Part I: Systematic Risk | | An Analytical Framework for Credit Portfolio Risk Measures |
| 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 |
| Arbitrage-free Pricing of Credit Derivatives with Rating Transitions --and-- A Discrete-Time Approach to No-Arbitrage Pricing of Credit Derivatives with Rating Transitions | | Pricing Credit Derivatives with Rating Transitions |
| Are Asset Correlations Time Dependent? A Bayesian Approach | | Are Default Correlations Time Dependent? A Bayesian approach |
| Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies? | | Are Ratings Consistent with Default Probabilities?: Empirical evidence on banks in emerging market economies |
| Assessing Credit with Equity: A CEV Model with Jump to Default | | Systematic Equity-based Credit Risk: A CEV model with jump to default |
| Asset Correlations and the Effect of Estimation Errors on Risk Figures | | Default Correlations and the Effect of Estimation Errors on Risk Figures |
| Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA | | Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA |
| Bank Loan-Loss Provisioning: Methodology and Application | | Bank Loan-loss Provisioning, Central Bank Rules vs. Estimation: The case of Portugal |
| Bank Monitoring Incentives and Optimal CDOs | | Bank Incentives and Optimal CDOs |
| Bond Pricing and the Term Structure of Interest Rates: A New Methodology | | Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation |
| Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macroeconomy | | Corporate Credit Risk Modeling and the Macroeconomy |
| Capital Ratios and Credit Ratings as Predictors of Bank Failures | | Capital Ratios as Predictors of Bank Failure |
| Cash Holdings and Credit Spreads | | Cash Holdings and Credit Risk |
| CDO Models -- Towards the Next Generation: Incomplete Markets and Term Structure | | CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions |
| Censored Gamma Regression Models for Limited Dependent Variables with an Application to Loss Given Default | | Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default |
| Collateral Posting and Choice of Collateral Currency: Implications for derivative pricing and risk management | | Choice of Collateral Currency |
| Collections Policy Comparison in LGD Modelling | | Comparing Debt Characteristics and LGD Models for Different Collections Polices |
| 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 |
| Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk | | Conditional Probabilities for Euro area Sovereign Default Risk |
| Contagion: The Effects of Default Correlation and Firm Characteristics on Credit Spreads | | The Effects of Default Correlation on Corporate Bond Credit Spreads |
| Corporate Bankruptcy: Do Debt Covenant and Disclosure Quality Measures Provide Information Beyond Options and Other Market Variables? | | Assessing the Probability of Bankruptcy |
| Corporate Bonds: Valuation, Hedging, and Optimal Call and Default Policies | | Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous 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 |
| Correlation in Credit Risk | | Correlation in Credit Risk Changes |
| Counterparty Risk and the Effects on P&L | | The Pricing Implications of Counterparty Risk for Non-linear Credit Products |
| Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults | | Counterparty Risk on a CDS in a Model with Joint Defaults and Stochastic Spreads |
| Counterparty Risk Valuation Under Correlation Between Interest-rates and Default | | Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default |
| Counterparty Valuation Adjustment (CVA) | | Credit Valuation Adjustment (CVA) |
| Country Risk Ratings: Statistical and Combinatorial Nonrecursive Models | | Reverse-engineering Country Risk Ratings: A combinatorial non-recursive model |
| Credit Barrier and Dynamic Correlation Techniques for Pricing CDOs of SMEs | | Credit Barrier and Dynamic Correlation Techniques for Pricing Collateralized Debt Obligations of European Small and Medium-sized Enterprises |
| Credit Barrier Models | | Discrete Credit Barrier Models |
| Credit Correlations from Counterparty Risk | | Credit Contagion from Counterparty Risk |
| Credit Default Swap Auctions --and before that-- Credit Default Auctions and Price Discovery | | Credit Default Swap Auctions and Price Discovery |
| Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model --and before that-- A Two-dimensional CIR++ Shifted Diffusion Model with Automatic Calibration to Credit Default Swaps and Interest-Rate Derivatives Data | | Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model |
| 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 Rating Dynamics with Unobserved Structural Breaks | | Credit Rating Dynamics in the Presence of Unknown Structural Breaks |
| 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 |
| Credit Risk Rating at Large U.S. Banks | | Credit Risk Rating Systems at Large US Banks |
| Crisis dynamics of Russian Eurobond implied default recovery ratios | | Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina |
| CVA, DVA, FVA and the Black-Scholes-Merton Arguments | | Collateral and Credit Issues in Derivatives Pricing |
| Dealing with Distress in Valuation | | The Cost of Distress: Survival, Truncation Risk and Valuation |
| Default and the Term Structure in Sovereign Bonds | | Default and the Maturity Structure in Sovereign Bonds |
| Default Clustering in Large Portfolios: Typical and atypical events | | Default Clustering in Large Portfolios: Typical events |
| 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 Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model | | Cluster-based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names |
| Default Distribution and Credit Market Implications | | Correlation Structures of Correlated Binomial Models and Implied Default Distribution |
| Default Implied Volatility for Credit Spread | | Understanding the Default-Implied Volatility for Credit Spreads |
| 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 Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads | | Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and evidence on the credit default swap term structure |
| 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 |
| Dynamic Correlation Modeling in Structured Finance | | Dynamic Implied Correlation Modeling and Forecasting in Structured Finance |
| Economic and Regulatory Capital What is the Difference? | | Economic and Regulatory Capital in Banking: What is the Difference? |
| Enhancing Transition Matrices to Measure Extreme Credit Risk in Europe | | Identifying European Industries with Extreme Default Risk: Application of CVaR techniques to transition matrices |
| Equity Returns Following Changes in Default Risk: New insights into the informational content of credit ratings | | Default Risk in Equity Returns |
| Estimating Structural Bond Pricing Models via Simulated Maximum Likelihood | | Estimating Structural Models of Corporate Bond Prices |
| 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? |
| Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices | | Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes |
| 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 |
| Future Mark-to-Market Value of Path-dependent Instruments | | The Potential Future Exposure of Path-dependent Instruments: Comment on Lomibao-Zhu's approach |
| Heterogeneity in Ratings Migration | | Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration |
| 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? |
| How Much of a Haircut? Options-based structural modeling of defaulted bond recovery rates | | Options-based Structural Model Estimation of Bond Recovery Rates |
| Implied Market Loss Given Default: Structural-model approach | | Implied Market Loss Given Default in the Czech Republic: Structural-model approach |
| Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk | | Importance Sampling for Portfolio Credit Risk |
| 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 |
| Industry Practices in Credit Risk Modeling and Internal Capital Allocations: Implications for a models-based regulatory capital standard | | Credit Risk Modeling and Internal Capital Allocation Processes: Implications for a models-based regulatory bank capital standard |
| Inferring Marginal Tax Rates from Green’s Model with Default | | Liquidity, Default, Taxes and Yields on Municipal Bonds |
| Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles | | Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle |
| Information Reduction in Credit Risk Models | | Credit Risk Models with Incomplete Information |
| Interacting Particle Systems for the Computation of CDO Tranche Spread with Rare Defaults | | Interacting Particle Systems for the Computation of Rare Credit Portfolio Losses |
| Is Credit Event Risk Priced? | | On Bounding Credit Event Risk Premia |
| Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs --and before that-- Are Jumps in Corporate Bond Yields Priced? Modeling Contagion via the Updating of Beliefs | | Modeling Credit Contagion via the Updating of Fragile Beliefs |
| 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 |
| Limited Arbitrage and Liquidity in the Market for Credit Risk --and before that-- Latent Liquidity and Corporate Bond Yield Spreads | | Liquidity and Arbitrage in the Market for Credit Risk |
| Liquidity and Liquidity Risk Premia in the CDS Market | | Derivative Pricing with Liquidity Risk: Theory and evidence from the credit default swap market |
| Liquidity Discovery and Asset Pricing | | Demand Discovery and Asset Pricing |
| Macro, Industry and Frailty Effects in Defaults: The 2008 credit crisis in perspective | | Macro, Frailty, and Contagion Effects in Defaults: Lessons from the 2008 credit crisis |
| 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 |
| Modeling Ultimate Loss-Given-Default on Bonds and Loans --and before that-- Understanding and Predicting Ultimate Loss-Given Default on Bonds and Loans | | Modeling Ultimate Loss Given Default on Corporate Debt |
| Multi-period Corporate Failure Prediction With Stochastic Covariates | | Multi-period Corporate Default Prediction with Stochastic Covariates |
| 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 Exponential Approximation to the Hockey Stick Function | | An Exponential Approximation to the Hockey Stick Function |
| On Sovereign Credit Migration: Small-sample properties and rating evolution | | On Sovereign Credit Migration: A study of alternative estimators and rating dynamics |
| 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 Collateralized Swaps | | The Impact of Collateralization on Swap Rates |
| Pricing Credit from the Top Down with Affine Point Processes | | Affine Point Processes and Portfolio Credit Risk |
| Pricing of Default Risk Revisited: Corporate bond spread as a proxy for default risk | | Is there a Distress Risk Anomaly? Corporate bond spread as a proxy for default risk |
| Pricing Options on Derivative Securities Subject to Credit Risk | | Pricing Derivatives on Financial Securities Subject to Credit Risk |
| Pricing the Risk of Recovery in Default with APR Violation --and before that-- A Simple Approach to Estimate Recovery Rates with APR Violation from Debt Spreads | | Pricing the Risk of Recovery in Default with Absolute Priority Rule Violation |
| Pro-Cyclicality, Empirical Credit Cycles and Capital Buffer Formation | | Empirical Credit Cycles and Capital Buffer Formation |
| 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 |
| 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 Rates of Bank Loans: Empirical Evidence for Germany | | Recovery Rates of Commercial Lending: Empirical evidence for German companies |
| 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 |
| Restrictions on Financial Intermediaries and Implications for Aggregate Fluctuations: Canada and the United States, 1870-1913 | | Bank Failures, Financial Restrictions, and Aggregate Fluctuations: Canada and the United States, 1870-1913 |
| 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 Contributions of Systematic Factors in Portfolio Credit Risk Models | | Risk Factor Contributions in Portfolio Credit Risk Models |
| Risk Transfer with CDOs and Systemic Risk in Banking | | Risk Transfer with CDOs |
| Scope for Credit Risk Diversification | | Firm Heterogeneity and Credit Risk Diversification |
| Securitization Rating Performance and Agency Incentives --and before that-- Rating Performance and Agency Incentives of Structured Finance Transactions | | Securitization Rating Performance and Agency Incentives |
| Self-exciting Corporate Defaults: Contagion vs. frailty | | Exploring the Sources of Default Clustering |
| Should a Derivatives Dealer Make a Funding Value Adjustment? | Valuing Derivatives: Funding Value Adjustments and Fair Value |
| 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 |
| Simulating Point Processes by Intensity Projection | | Exact Simulation of Point Processes with Stochastic Intensities |
| Some Models on Default Risk | | On Models of Default Risk |
| Sovereign Default Dynamics | | Public Default Dynamics |
| Stress Testing of Real Credit Portfolios | | Stress-testing German Credit Portfolios |
| Stress Testing: A Review of Key Concepts | | Stress Testing of Banking Systems |
| 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 |
| Term Structure Movements and the Pricing of Corporate Bond Provisions | | Term Structure Movements and Pricing Interest Rate Contingent Claims |
| 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 Correlation-Neutral Measure for Portfolio Credit | | Transform Analysis for Point Processes and Applications in Credit Risk |
| 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 Dynamics of Corporate Debt forgiveness and Contract Renegotiation | | The Dynamics of Default and Debt Reorganization |
| 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 Effects of Reorganization Law on Investment Efficiency | | A Theory of Workouts and the Effects of Reorganization Law |
| The Impact of Default Barriers on the Market Value of Firm's Assets | | Estimating Default Barriers from Market Information |
| The Impact of Downward Rating Momentum on Credit Portfolio Risk | | The Impact of Downward Rating Momentum |
| The Internal Ratings Based Approach for Capital Adequacy Determination: Empirical Evidence from Sweden | | Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy |
| 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 Persistent Negative CDS-bond Basis during the 2007/08 Financial Crisis | | The Negative CDS-bond Basis and Convergence Trading during the 2007/09 Financial Crisis |
| 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 |
| The Variation of Default Risk with Treasury Yields | | Treasury Yields and Corporate Bond Yield Spreads: An empirical analysis |
| 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 Err is Human: Rating agencies and the interwar foreign government debt crisis | | To Err is Human: US rating agencies and the interwar foreign government debt crisis |
| 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 |
| Using Securities Market Information for Supervisory Monitoring | | Using Securities Market Information for Bank Supervisory Monitoring |
| 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 |
| When Do Firms Default? A Study of the Default Boundary | | What Triggers Default? A study of the default boundary |
| Why are there Serial Defaulters? Quasi-experimental evidence from constitutions | | Why Are There Serial Defaulters? Evidence from Constitutions |
