Downloadable Papers (sorted by date) 
The Top 20 books referenced/cited in these (below listed) papers. I've put a gray background on the top five most browsed papers in this category. (November-1)
Exact and Efficient Simulation of Correlated Defaults
by Kay Giesecke of Stanford University,
Hossein Kakavand of the Perot Group,
Mohammad Mousavi of Stanford University, and
Hideyuki Takada of Mizuho-DL Financial Technology
(279K PDF) -- 34 pages -- November 10, 2009 Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 2009 Dynamic Factor Copula Model
by Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics, Inc., and
Wanhe Zhang of the University of Toronto
(182K PDF) -- 22 pages -- July 6, 2009 An Extension of Davis and Lo’s Contagion Model
by Didier Rullièrey of the Université de Lyon, and
Diana Dorobantu of Université Lyon 1
(518K PDF) -- 17 pages -- April 10, 2009 Properties of Hierarchical Archimedean Copulas
by Ostap Okhrin of Humboldt-Universität zu Berlin,
Yarema Okhrin of the University of Bern, and
Wolfgang Schmid of the European University Viadrina
(498K PDF) -- 50 pages -- March 5, 2009 Large Portfolio Losses: A dynamic contagion model
by Paolo Dai Pra of the University of Padova,
Wolfgang J. Runggaldier of the University of Padova,
Elena Sartori of the University of Padova, and
Marco Tolotti of Bocconi University
(652K PDF) -- 50 pages -- March 4, 2008 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 Multi-Scale Time-changed Birth Processes for Pricing Multi-name Credit Derivatives
by Erhan Bayraktar of the University of Michigan, and
Bo Yang of the University of Michigan
(303K PDF) -- 23 pages -- February 12, 2009 Double t Copula Pricing of Structured Credit Products: Practical aspects of a trustworthy implementation
by Frédéric D. Vrins of ING Wholesale Bank
(1,448K PDF) -- 14 pages -- February 2009 Graphical Models for Correlated Defaults
by I. Onur Filiz of the University of California, Berkeley,
Xin Guo of the University of California, Berkeley,
Jason Morton of the University of California, Berkeley, and
Bernd Sturmfels of the University of California, Berkeley
(866K PDF) -- 30 pages -- September 21, 2008 On Correlation Effects and Default Clustering in Credit Models
by Antje Berndt of Carnegie Mellon University,
Peter Ritchken of Case Western Reserve University, and
Zhiqiang Sun of Case Western Reserve University
(902K PDF) -- 57 pages -- September 2008 Self-exciting Corporate Defaults: Contagion vs. frailty
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(512K PDF) -- 40 pages -- August 29, 2008 Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
by Albert H. De Wet of FirstRand Bank, South Africa,
Reneé Van Eyden of the University of Pretoria, and
Rangan Gupta of the University of Pretoria
(287K PDF) -- 32 pages -- July 2008 Credit Contagion from Counterparty Risk
by Philippe Jorion of the University of California at Irvine, and
Gaiyan Zhang of the University of Missouri at St. Louis
(1,076K PDF) -- 47 pages -- July 2008 Are Default Correlations Time Dependent? A Bayesian approach
by Christina R. Niethammer of the University of Konstanz
(668K PDF) -- 37 pages -- June 30, 2008 Premia for Correlated Default Risk
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(693K PDF) -- 32 pages -- November 30, 2008 Default Correlations and the Effect of Estimation Errors on Risk Figures
by Christina R. Niethammer of the University of Konstanz, and
Ludger Overbeck of the University of Giessen
(304K PDF) -- 30 pages -- June 18, 2008 Time-changed Birth Processes and Multi-name Credit Derivatives
by Xiaowei Ding of Stanford University,
Kay Giesecke of Stanford University, and
Pascal I. Tomecek of J.P. Morgan Securities
(795K PDF) -- 32 pages -- February 29, 2008 Forecasting Cross-Sections of Frailty-Correlated Default
by Siem Jan Koopman of VU University Amsterdam & Tinbergen Institute,
Andre Lucas of VU University Amsterdam & Tinbergen Institute, and
Bernd Schwaab of VU University Amsterdam & Tinbergen Institute
(813K PDF) -- 35 pages -- February 20, 2008 Infectious Default Model with Recovery and Continuous Limits
by Ayaka Sakata of the University of Tokyo,
Masato Hisakado of Standard & Poor's, and
Shintaro Mori of Kitasato University
(547K PDF) -- 14 pages -- January 20, 2008 Systemic Credit Risk: What is the market telling us?
by Vineer Bhansali of PIMCO,
Robert Gingrich of PIMCO, and
Francis A. Longstaff of the University of California, Los Angeles
(145K PDF) -- 19 pages -- January 2008 Gaussian Copula Approximations and Their Applications
by Philippos Papadopoulos of ABN AMRO B.V.
(266K PDF) -- 17 pages -- February 27, 2008 The Core Factor: A fast and accurate factor reduction technique
by Christoff Gössl of Unicredit Markets and Investment Banking
(236K PDF) -- 15 pages -- December 2007 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 Modeling Correlated Defaults: First passage model under stochastic volatility
by Jean-Pierre Fouque of the University of California at Santa Barbara,
Brian Wignall of the University of California at Santa Barbara, and
Xianwen Zhou of Lehman Brothers
(280K PDF) -- 32 pages -- November 6, 2007 Firm Value, Diversified Capital Assets, and Credit Risk: Towards a Theory of Default Correlation
by Lars Grüne of the Universität of Bayreuth,
Willi Semmler of the New School for Social Research, New York, and
Lucas Bernard of the New School for Social Research & Long Island University
(495K PDF) -- 32 pages -- November 4, 2007 The Effects of Default Correlation on Corporate Bond Credit Spreads
by Bill Bobey of the University of Toronto
(520K PDF) -- 56 pages -- November 2007 Comparison Results for Exchangeable Credit Risk Portfolios
by Areski Cousin of the University of Lyon, and
Jean-Paul Laurent of the University of Lyon & BNP Paribas
(318K PDF) -- 23 pages -- March 5, 2008 Lévy Base Correlation
by João Garcia of Dexia Group,
Serge Goossens of Dexia Bank,
Viktoriya Masol of Katholieke Universiteit Leuven & EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(175K PDF) -- 15 pages -- September 4, 2007 Linking Global Economic Dynamics to a South African Specific Credit Portfolio
by Albert H. De Wet of FirstRand Bank, South Africa, and
Reneé Van Eyden of the University of Pretoria
(1,169K PDF) -- 36 pages -- September 2007 Asset Correlations and Credit Portfolio Risk: An empirical analysis
by Klaus Düllmann of Deutsche Bundesbank,
Martin Scheicher of the European Central Bank, and
Christian Schmieder of the European Investment Bank
(414K PDF) -- 52 pages -- September 2007 Dependency without Copulas or Ellipticity
by William T. Shaw of King's College London
(1,690K PDF) -- 10 pages -- September 2007 Study of Dependence for Some Stochastic Processes
by Tomasz Bielecki of the Illinois Institute of Technology,
Jacek Jakubowski of the University of Warsaw,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology
(254K PDF) -- 16 pages -- August 14, 2007 Confidence Sets for Asset Correlation
by Delphine Cassart of the Universite Libre de Bruxelles,
Carlos Castro of the Universite Libre de Bruxelles,
Ronny Langendries of Dexia SA, and
Thomas Alderweireld of Dexia SA
(420K PDF) -- 31 pages -- July 6, 2007 Factor Models for Credit Correlation
by Stewart Inglis of Merrill Lynch, and
Alex Lipton of Merrill Lynch
(228K PDF) – 19 pages -- June 25, 2007 Migration Dependence Among the US Business Sectors
by Oussama Chakroun of HEC Montréal
(772K PDF) -- 31 pages -- June 20, 2007 The Underlying Dynamics of Credit Correlations
by Arthur Berd of BlueMountain Capital Management,
Robert Engle of the New York University, and
Artem Voronov of the New York University
(445K PDF) -- 37 pages -- April 2007 Delayed Default Dependency and Default Contagion
by B.S. Balakrishna -- Unaffiliated
(169K PDF) -- 13 pages -- May 15, 2007 Copula Methods vs Canonical Multivariate Distributions: the multivariate Student T distribution with general degrees of freedom
by William T. Shaw of King's College London, and
K.T. Amber Lee of King's College London
(484K PDF) -- 25 pages -- April 24, 2007 Simulation Based Approach for Measuring Concentration Risk
by Joocheol Kim of Yonsei University, and
Duyeol Lee of Yonsei University
(256K PDF) -- 15 pages -- April 2007 Default Correlation and Its Effect on Portfolios of Credit Risk
by Richard V. Hrvatin of Fitch Ratings, and
Matthias Neugebauer of Fitch Ratings
(345K PDF) -- 11 pages -- February 17, 2004 Common Failings: How Corporate Defaults are Correlated
by Sanjiv R. Das of Santa Clara University,
Darrell Duffie of Stanford University,
Nikunj Kapadia of the University of Massachusetts, Amherst, and
Leandro Saita of Lehman Brothers
(255K PDF) -- 26 pages -- February 2007 Estimating Credit Contagion in a Standard Factor Model
by Daniel Rösch of the University of Regensburg, and
Birker Winterfeldt of the University of Regensburg
(253K PDF) -- 16 pages -- January 30, 2007 Is Firm Interdependence within Industries Important for Portfolio Credit Risk?
by Kenneth Carling of IFAU, Uppsala, Sweden, & Dalarna University,
Lars Rönnegård of Uppsala University, and
Kasper Roszbach of Sveriges Riksbank
(388K PDF) -- 33 pages -- January 22, 2007 Beyond the Gaussian Copula: Stochastic and local correlation
by Xavier Burtschell of BNP Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of ISFA Actuarial School, University of Lyon
(445K PDF) -- 27 pages -- January 2007 The Importance of Simultaneous Jumps in Default Correlation (job market paper)
by Pouyan Mashayekh Ahangarani of the University of Southern California
(176K PDF) -- 26 pages -- January 2007 Extending Gaussian Copula with Jumps to Match Correlation Smile
by Geng Xu of Wachovia Securities
(192K PDF) -- 8 pages -- December 18, 2006 Coping with Copulas
by Thorsten Schmidt of the University of Leipzig
(638K PDF) -- 23 pages -- December 2006 Asset Correlations: A Literature Review and Analysis of the Impact of Dependent Loss Given Defaults
by Andrew Chernih of X-Act Consulting,
Steven Vanduffel of Katholieke Universiteit Leuven & Universiteit van Amsterdam, and
Luc Henrard of Fortis Bank & Universite Catholique de Louvain
(479K PDF) -- 15 pages -- November 6, 2006 Credit Contagion and Credit Risk
by Jonathan Hatchett of Hymans Robertson LLP, and
Reimer Kühn of King's College London
(165K PDF) -- 11 pages -- September 20, 2006 Correlated Default Risk
by Sanjiv R. Das of Santa Clara University
Laurence Freed of Bear Sterns,
Gary Geng of Amaranth Group, Inc., and
Nikunj Kapadia of the University of Massachusetts
(803K PDF) -- 26 pages -- September 2006 Perturbed Gaussian Copula
by Jean-Pierre Fouque of the University of California, Santa Barbara, and
Xianwen Zhou of North Carolina State University
(1,081K PDF) -- 15 pages -- August 8, 2006 Cross-Border Bank Contagion In Europe
by Reint Gropp of the European Central Bank,
Marco Lo Duca of the European Central Bank, and
Jukka Vesala of the Financial Supervision Authority of Finland (Fin-FSA)
(908K PDF) -- 57 pages -- July 2006 Competition and Diversification Effects in Supply Chains with Supplier Default Risk
by Volodymyr Babich of the University of Michigan,
Apostolos N. Burnetas of Case Western Reserve University, and
Peter H. Ritchken of Case Western Reserve University
(447K PDF) -- 39 pages -- June 10, 2006 Explaining Base Correlation Skew Using NG (Normal-Gamma) Process
by Siddharth Hooda of Nomura International, Plc
(939K PDF) -- 22 pages -- June 6, 2006 Copulas from Infinitely Divisible Distributions: Applications to Credit Value at Risk
by Thomas Moosbrucker of the University of Cologne
(274K PDF) -- 26 pages -- June 2006 Correlated Binomial Models and Correlation Structures
by Masato Hisakado of Standard & Poor's,
Kenji Kitsukawa of Keio University, and
Shintaro Mori of Kitasato University
(179K PDF) -- 12 pages -- May 22, 2006 Dynamic Credit Correlation Modeling
by Claudio Albanese of the Imperial College London,
Oliver Chen of the National University of Singapore
Antonio Dalessandro of the Imperial College London, and
Alicia Vidler of Merrill Lynch
(583K PDF) -- 22 pages -- May 12, 2006 Dynamic Credit Correlation Modelling
by Claudio Albanese of the Imperial College London,
Oliver Chen of the National University of Singapore,
Antonio Dalessandro of the Imperial College London, and
Alicia Vidler of Merrill Lynch
(583K PDF) -- 22 pages -- May 7, 2006 Credit Contagion and Aggregate Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of the Technische Universität Berlin
(374K PDF) -- 27 pages -- May 2006 Credit Risk Models I: Default Correlation in Intensity Models
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(596K PDF) -- 59 pages -- April 2006 Infinite-mean Models and the LDA for Operational Risk
by Johanna Nešlehová of RiskLab, ETH Zurich,
Paul Embrechts of ETH Zurich, and
Valérie Chavez-Demoulin of ETH Zurich
(292K PDF) -- 23 pages -- Spring 2006 Effects of Economic Interactions on Credit Risk
by Jonathan P.L. Hatchett of RIKEN BSI, Japan, and
Reimer Kühn of King's College London
(401K PDF) -- 21 pages -- March 2006 Tools for sampling Multivariate Archimedean Copulas
by Mario R. Melchiori of the Universidad Nacional del Litoral
(673K PDF) -- 8 pages -- March 2006 Extreme VaR Scenarios in Higher Dimensions
by Paul Embrechts of ETH Zürich, and
Andrea Höing of ETH Zürich
(1,716K PDF) -- 16 pages -- February 10, 2006 Credit Chains and the Propagation of Financial Distress
by Frederic Boissay of the European Central Bank
(685K PDF) -- 34 pages -- January 2006 New Families of Copulas Based on Periodic Functions
by Aurélien Alfonsi of Ecole Nationale des Ponts et Chaussées, and
Damiano Brigo of Banca IMI
(162K PDF) -- 17 pages -- December 19, 2005 Do We Need to Worry About Credit Risk Correlation?
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(395K PDF) -- 41 pages -- December 2005 Correlated Defaults in Intensity-Based Models
by Fan Yu of the University of California, Irvine
(277K PDF) -- 24 pages -- November 8, 2005 Misspecified Copulas in Credit Risk Models - How Good Is Gaussian
by Alfred Hamerle of the University of Regensburg, and
Daniel Rösch of the University of Regensburg
(605K PDF) -- 29 pages -- October 2005 Probability of Default as a Function of Correlation: The problem of non-uniqueness
by Toby Daglish of the University of Iowa, and
Wei Li of the University of Iowa
(198K PDF) -- 18 pages -- September 26, 2005 A Simple Model of Credit Contagion
by Daniel Egloff of Zürcher Kantonalbank,
Markus Leippold of the University of Zurich, and
Paolo Vanini of the University of Southern Switzerland & Zürcher Kantonalbank
(1,544K PDF) -- 53 pages -- September 22, 2005 Dynamic Credit Correlation Modelling
by Claudio Albanese of the Imperial College London,
Oliver Chen of the National University of Singapore, and
Antonio Dalessandro of the Imperial College London
(593K PDF) -- 19 pages -- August 18, 2005 Remarks on Pricing Correlation Products
by Harald Skarke of Bank Austria Creditanstalt
(77K PDF) -- 6 pages -- July 17, 2005 Credit Risk Assessment via Copulas: Association Invariance and Risk Neutrality
by Elisa Luciano of the University of Turin & ICER
(257K PDF) -- 29 pages -- July 12, 2005 The Impact of Stock Returns Volatility on Credit Default Swap Rates: A copula study
by Fathi Abid of the University of Sfax, and
Nader Naifar of the University of Sfax
(304PDF) -- 23 pages -- May 2005 An Infinite Factor Model for Credit Risk
by Thorsten Schmidt of the University of Leipzig
(250K PDF) -- 27 pages -- May 2005 Default Correlation in Reduced-Form Models
by Fan Yu of the University of California, Irvine
(192K PDF) -- 18 pages -- April 16, 2005 Macroeconomic Dynamics and Credit Risk: A Global Perspective
by M. Hashem Pesaran of the University of Cambridge & USC,
Til Schuermann of the Federal Reserve Bank of New York & Wharton University,
Björn-Jakob Treutler of Mercer Oliver Wyman & WHU, and
Scott M. Weiner of the University of Oxford
(921K) -- 60 pages -- April 12, 2005 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 Factor Copulas: Totally External Defaults
by Martijn van der Voort of ABN AMRO bank & Erasmus University Rotterdam
(246K PDF) -- 21 pages -- April 8, 2005 A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
by Robert J. Daniels of KPMG Mexico,
Siem Jan Koopman of Vrije Universiteit and Tingergen Institute Amsterdam, and
André Lucas of Tingergen Institute Amsterdam
(651K PDF) -- 32 pages -- January 31, 2005 Default Risk and Diversification: Theory and Empirical Implications
by Robert A. Jarrow of Cornell University,
David Lando of the University of Copenhagen, and
Fan Yu of the University of California at Irvine
(197K PDF) -- 26 pages -- January 2005 Tails of Credit Default Portfolios
by Gabriel Kuhn of the Munich University of Technology
(355K PDF) -- 32 pages -- December 21, 2004 Cyclical Correlations, Credit Contagion, and Portfolio Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of Humboldt-Universität zu Berlin
(351K PDF) -- 28 pages -- December 2004 Credit Risk Enhancement in a Network of Interdependent Firms
by Peter Neu of Dresdner Bank AG, and
Reimer Kühn of King's College London
(280K PDF) -- 17 pages -- November 2004 Correlation at First Sight
by Andrew Friend of ABN AMRO, and
Ebbe Rogge of ABN AMRO & London and Imperial College
(276K PDF) -- 21 pages -- October 28, 2004 Double Default Correlation
by Martijn van der Voort of Erasmus University Rotterdam & ABN AMRO
(478K PDF) -- 26 pages -- July 17, 2004 Correlated Random Walks and the Joint Survival Probability
by Mark Wise of the California Institute of Technology, and
Vineer Bhansali of Pacific Investment Management Company (PIMCO)
(144K PDF) -- 13 pages -- July 7, 2004 Correlated Default with Incomplete Information
by Kay Giesecke of Cornell University
(339K PDF) -- 25 pages -- July 2004 The Implications of Implied Correlation
by Roy Mashal of Lehman Brothers,
Marco Naldi of Lehman Brothers, and
Gaurav Tejwani of Lehman Brothers
(221K PDF) -- 5 pages -- July 2004 Correlated Defaults and the Valuation of Defaultable Securities
by Fan Yu of the University of California, Irvine
(297K PDF) -- 30 pages -- April 1, 2004 In the Core of Correlation
by Jon Gregory of BNP Paribas, and
Jean-Paul Laurent of the University of Lyon & BNP Paribas
(403K PDF) -- 12 pages -- April 2004 Correlated Default Processes: A Criterion-Based Copula Approach
by Sanjiv R. Das of Santa Clara University, and
Gary Geng of Amaranth Group Inc.
(220K PDF) -- 27 pages -- Q2 2004 Modelling Correlations in Portfolio Credit Risk
by Bernd Rosenow of the Universität zu Köln,
Rafael Weissbach of the Universität Dortmund, and
Frank Altrock of WestLB AG
(141K PDF) -- 5 pages -- March 31, 2004 Sampling from Archimedean Copulas
by Niall Whelan of ScotiaBank
(271K PDF) -- 29 pages -- March 11, 2004 Pricing Swap Credit Risk with Copulas
by Umberto Cherubini of the University of Bologna
(204K PDF) -- 15 pages -- January 6, 2004 Business and Default Cycles for Credit Risk
by Siem Jan Koopman of the Vrije Universiteit Amsterdam & the Tinbergen Institute, and
André Lucas of the Vrije Universiteit Amsterdam & the Tinbergen Institute
(250K PDF) -- 23 pages -- December 24, 2003 Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
by Pierre Collin-Dufresne of Carnegie-Mellon University,
Robert S. Goldstein of Washington University, and
Jean Helwege of Ohio State University
(857K PDF) -- 70 pages -- December 10, 2003 Information-Driven Default Contagion
by Philipp J. Schönbucher of ETH Zürich
(351K PDF) -- 27 pages -- December 2003 The Grouped t-copula with an Application to Credit Risk
by Stéphane Daul of Swiss Re,
Enrico De Giorgi of RiskLab & ETH Zürich,
Filip Lindskog of RiskLab & ETH Zürich, and
Alexander McNeil of ETH Zürich
(182K PDF) -- 7 pages -- November 2003 Determinants of the Asset Correlations of German Corporations and Implications for Regulatory Capital
by Klaus Düllmann of Deutsche Bundesbank, and
Harald Scheule of the University of Regensburg
(254K PDF) --27 pages -- October 2003 Extreme Events and Multi-Name Credit Derivatives
by Roy Mashal of Lehman Brothers Inc.,
Marco Naldi of Lehman Brothers Inc., and
Assaf Zeevi of Columbia University
(334K PDF) -- 32 pages -- September 9, 2003 Which Archimedean Copula is the Right One?
by Mario R. Melchiori of the Universidad Nacional del Litoral
(486K PDF) -- 21 pages -- September 2003 Dependent Defaults in Models of Portfolio Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Alexander J. McNeil of ETH Zentrum
(386K PDF) -- 27 pages -- June 16, 2003 A Simple Exponential Model for Dependent Defaults
by Kay Giesecke of Cornell University
(213K PDF) -- 20 pages -- December 2003 How Does Systematic Risk Impact US Credit Spreads? A Copula Study
by Hayette Gatfaoui of the University Paris I - Panthéon-Sorbonne
(547K PDF) -- 27 pages -- June 2003 Modeling Default Dependence with Threshold Models
by Ludger Overbeck of Deutsche Bank AG, and
Wolfgang Schmidt of Hochschule für Bankwirtschaft
(229K PDF) -- 17 pages -- March 18, 2003 Dependent Defaults and Credit Migrations
by Tomasz R. Bielecki of The Northeastern Illinois University, and
Marek Rutkowski of the Warsaw University of Technology
(296K PDF) -- 25 pages -- March 11, 2003 Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany
by Daniel Rösch of the University of Regensburg
(293K PDF) -- 30 pages -- November 2002 Beyond Correlation: Extreme Co-movements Between Financial Assets
by Roy Mashal of Columbia University, and
Assaf Zeevi of Columbia University
(754K PDF) -- 48 pages -- October 14, 2002 Copula-Dependent Default Risk in Intensity Models
by Philipp J. Schönbucher of Bonn University, and
Dirk Schubert of Bonn University
(299K PDF) -- 30 pages -- December 2001 Default Probabilities and Default Correlations
by Ulrich Erlenmaier of the University of Heidelberg, and
Hans Gersbach of the University of Heidelberg
(498K PDF) -- 50 pages -- November 2001 Modelling Default Correlation in Bond Portfolios
by Mark Davis of Vienna University of Technology, and
Violet Lo of Tokyo-Mitsubishi International, plc.
(203K PDF) -- 11 pages -- October 2, 2001 Correlation of Default Events: Some New Tools
by Salih Neftci of the University of New York and the University of Reading
(175K PDF) -- 14 pages -- October 2001 Modelling Dependence with Copulas and Applications to Risk Management
by Paul Embrechts of the Department of Mathematics ETHZ,
Filip Lindskog of the Department of Mathematics ETHZ, and
Alexander McNeil of the Department of Mathematics ETHZ
(538K PDF) -- 50 pages -- September 10, 2001 Modelling Dependent Defaults
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(490K PDF) -- 30 pages -- August 13, 2001 Models of Joint Defaults in Credit Risk Management: An Assessment
by Ulrich Erlenmaier of the University of Heidelberg
(702K PDF) -- 55 pages -- July 2001 Linear Correlation Estimation
by Filip Lindskog of ETH-Zentrum
(625K PDF) -- 35 pages -- December 11, 2000 Copula from the Limit of a Multivariate Binary Model
by Dennis Wong of Bank of America Corporation
(154K PDF) -- 10 pages -- December 11, 2000 What Are the Sources of Country and Industry Diversification?
by Kent Hargis of Goldman Sachs, and
Jianping (J.P.) Mei of New York University
(161K PDF) -- 32 pages -- April 21, 2001 Modelling Dependencies in Credit Risk Management
by Mark A. Nyfeler of the Swiss Federal Institute of Technology Zurich
(3,178K PDF) -- 78 pages -- November 23, 2000 Excessive Variation of Risk Factor Correlations and Volatilities
by Salih N. Neftci CUNY & the University of Reading, and
Hans Genberg the Graduate Institute, Geneva
(1,301K PDF) -- 16 pages -- July 2000 Valuing Credit Default Swaps II: Modeling Default Correlations
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(308K PDF) -- 26 pages -- April 2000 On Default Correlation: A copula function approach
by David X. Li of The RiskMetrics Group
(219K PDF) -- 12 pages -- March 2000 Evaluating "Correlation Breakdowns" During Periods of Market Volatility
by Mico Loretan of the Federal Reserve Board, and
William B. English of the Federal Reserve Board
(642K PDF) -- 33 pages -- February 2000 Correlation and Dependence in Risk Management: Properties and Pitfalls
by Paul Embrechts of ETH-Zentrum,
Alexander McNeil of ETH-Zentrum, and
Daniel Straumann of ETH-Zentrum
(533K PDF) -- 37 pages -- August 9, 1999 Integrating Correlations
by Peter Bürgisser of the Universität Paterborn,
Alexandre Kurth of the Universität Basel,
Armin Wagner of UBS, and
Michael Wolf of UBS
(86K PDF) -- 7 pages -- July 1999 On Approximation of Copulas
by Tomasz Kulpa of the University of Silesia
(140K PDF) -- 11 pages -- June 1999 Simulating Correlated Defaults
by Darrell Duffie of Stanford University, and
Kenneth Singleton of Stanford University
(390K PDF) -- 47 pages -- May 21, 1999 Correlation: Pitfalls and Alternatives
by Paul Embrechts of the ETH Zentrum,
Alexander McNeil of the ETH Zentrum, and
Daniel Straumann of the ETH Zentrum
(302K PDF) -- 8 pages -- March 1999 Correlation - the hidden risk in Collateralized Debt Obligations
by Richard K. Skora of Skora & Company Inc.
(35K PDF) -- 5 pages -- November 21, 1998 Aggregation of Correlated Risk Portfolios: Models & Algorithms
by Shaun S. Wang for the CAS Committee on Theory of Risk
(1,215K PDF) -- 50 pages -- November 1998 Default Correlation: An Analytical Result
by Chunsheng Zhou of the Federal Reserve Board of Governors
(245K PDF) -- 30 pages -- May 1, 1997 | 
