Downloadable Papers (sorted by date)
NEW: 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. (September-1)
Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven
(233K PDF) -- 18 pages -- August 25, 2008 Bond Implied CDS Spread and CDS-Bond Basis
by Richard Zhou of the Depository Trust & Clearing Corporation
(184K PDF) -- 11 pages -- August 15, 2008 A Simple Robust Link Between American Puts and Credit Insurance
by Peter Carr of Bloomberg, L.P. & Courant Institute, and
Liuren Wu of Baruch College
(240K PDF) -- 36 pages -- May 7, 2008 Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
by Sanjiv R. Das of Santa Clara University,
Paul Hanouna of Villanova University, and
Atulya Sarin of Santa Clara University
(1,049K PDF) -- 41 pages -- May 5, 2008 Toward a New Framework and a Better Understanding of Credit Default Swaps
by Ari Brandes of Georgetown University
(344K PDF) -- 48 pages -- April 21, 2008 A Unified Framework for Pricing Credit and Equity Derivatives
by Erhan Bayraktar of the University of Michigan, and
Bo Yang of the University of Michigan
(504K PDF) -- 27 pages -- April 21, 2008 Credit Risk Transfer: Developments from 2005 to 2007
by Basel Committee on Banking Supervision
(539K PDF) -- 87 pages -- April 2008 Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, Eindhoven, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008 Dynamic Pricing of Synthetic Collateralized Debt Obligations
by Robert Lamb of Imperial College,
William Perraudin of Imperial College, and
Astrid van Landschoot of Standard & Poor's
(217K PDF) -- 24 pages -- March 2008 A Value at Risk Analysis of Credit Default Swaps
by Burkhart Raunig of the Oesterreichische Nationalbank, and
Martin Scheicher of the European Central Bank
(328K PDF) -- 24 pages -- February 2008 A Brief Review of "The Basis"
by James Batterman of Fitch Ratings,
Ian Rasmussen of Fitch Ratings, and
David Yan of Fitch Ratings
(505K PDF) -- 12 pages -- January 10, 2008 Fast Valuation of Forward-Starting Basket Default Swaps
by Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics, Inc., and
Wanhe Zhang of the University of Toronto
(153K PDF) -- 20 pages -- December 13, 2007 Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
by Massimo Morini of Banca IMI & Bocconi University, and
Damiano Brigo of Fitch Solutions
(295K PDF) -- 25 pages -- December 2007 An Exact Formula for Default Swaptions Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Q-SCI, DerivativeFitch, and
Naoufel El-Bachir of the University of Reading
(315K PDF) -- 18 pages -- November 8, 2007 Single Name Credit Default Swaptions Meet Single Sided Jump Models
by Henrik Jönsson of EURANDOM, Eindhoven, and
Wim Schoutens of Katholieke Universiteit Leuven
(212K PDF) -- 18 pages -- October 3, 2007 Credit Default Swap Spreads and US Financial Market: Investigating some dependence structure
by Hayette Gatfaoui of Rouen School of Management
(581K PDF) -- 27 pages -- September 2007 Accounting Transparency and the Term Structure of Credit Default Swap Spreads
by Claus Bajlum of Danmarks Nationalbank & Copenhagen Business School, and
Peter Tind Larsen of the University of Aarhus
(445K PDF) -- 58 pages -- August 7, 2007 Pricing and Trading Credit Default Swaps in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of Évry University, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(284K PDF) -- 26 pages -- July 23, 2007 Are Credit Default Swap Spreads Market Driven
by Hayette Gatfaoui of Rouen School of Management
(378K PDF) -- 8 pages -- July 2007 A Semi-Analytical Parametric Model for Dependent Defaults
by B.S. Balakrishna -- Unaffiliated
(233K PDF) -- 23 pages -- May 15, 2007 Let's Jump Together - Pricing of Credit Derivatives: From Index Swaptions to CPPIs
by Joăo Garcia of Dexia Holding,
Serge Goossens of Dexia Bank, and
Wim Schoutens of Katholieke Universiteit Leuven
(250K PDF) -- 14 pages -- May 8, 2007 Valuation of Loan CDS Under Intensity Based Model
by Zhen Wei of Stanford University
(267K PDF) -- 28 pages -- May 2, 2007 The Information Content of Option-Implied Volatility for Credit Default Swap Valuation
by Charles Cao of Pennsylvania State University,
Fan Yu of the University of California, Irvine, and
Zhaodong Zhong of Pennsylvania State University
(396K PDF) -- 42 pages -- March 15, 2007 BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
by Matthias Arnsdorf of JP Morgan, and
Igor Halperin of JP Morgan
(786K PDF) -- 42 pages -- March 2007 Multiscale Intensity Models for Single Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(413K PDF) -- 31 pages -- February 7, 2007 Joint Default and Recovery Risk Estimation: An Application to CDS Data
by Jens Henrik Eggert Christensen of the Federal Reserve Bank of San Francisco
(586K PDF) -- 55 pages -- January 22, 2007 US Corporate Default Swap Valuation: The market liquidity hypothesis and autonomous credit risk
by Kwamie Dunbar of the University of Connecticut & Sacred Heart University
(412K PDF) -- 41 pages -- January 2007 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of the University of Reading
(655K PDF) -- 22 pages -- December 5, 2006 Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
by Benjamin Yibin Zhang of Fitch Ratings,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(376K PDF) -- 50 pages -- December 2006 Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
by Alexander Herbertsson of Göteborg University, and
Holger Rootzen of Chalmers University of Technology
(448K PDF) -- 27 pages -- November 27, 2006 The Pricing of Credit Default Swaps During Distress
by Jochen Andritzky of the International Monetary Fund, and
Manmohan Singh of the International Monetary Fund
(423K PDF) -- 25 pages -- November 2006 The Delivery Option in Credit Default Swaps
by Rainer Jankowitsch of Vienna University of Economics and Business Administration,
Rainer Pullirsch of the Bank Austria-Creditanstalt, and
Tanja Veža of Vienna University of Economics and Business Administration
(428K PDF) -- 33 pages -- October 18, 2006 A Unified Approach to Credit Default Swaption and Constant Maturity Credit Default Swap Valuation
by Martin Krekel of HypoVereinsbank, and
Jorg Wenzel of Fraunhofer ITWM
(774K PDF) -- 57 pages -- October 12, 2006 Trading Strategies in the CDS Market
by Andreas Tindlund of the Norwegian University of Science and Technology (NTNU)
(3,140K PDF) – 31 pages -- August 16, 2006 Credit Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -- 16 pages -- August 2006 An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors
by Ren-Raw Chen of Rutgers University,
Xiaolin Cheng of Rutgers University,
Frank J. Fabozzi of Yale University, and
Bo Liu of Fitch Ratings
(500K PDF) -- 58 pages -- July 27, 2006 PDE Approach to the Valuation and Hedging of Basket Credit Derivatives
by Marek Rutkowski of the University of New South Wales, and
Khan Yousiph of the University of New South Wales
(229K PDF – 22 pages -- July 10, 2006 Inflation Indexed Credit Default Swaps
by Marco Avogaro of Bocconi University & Banca IMI, and
Damiano Brigo of Bocconi University & Banca IMI
(437K PDF) -- 52 pages -- June 30, 2006 Recursive Valuation of Basket Default Swaps
by Ian Iscoe of Algorithmics, Inc., and
Alex Kreinin of Algorithmics, Inc.
(190K PDF) -- 22 pages -- April 2006 A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket
by Renzo G. Avesani of the International Monetary Fund,
Antonio García Pascual of the International Monetary Fund, and
Jing Li of the International Monetary Fund
(509K PDF) -- 25 pages -- April 2006 A Dynamic Programming Approach for Pricing CDS and CDS Options
by Hatem Ben-Ameur of HEC Montréal,
Damiano Brigo of Banca IMI, and
Eymen Errais of Stanford University
(230K PDF) -- 22 pages -- March 18, 2006 Exact Replication of k-th-to-Default Swaps with First-to-Default Swaps
by Hans-Juergen Brasch of Rabobank International
(198K PDF) -- 19 pages -- February 20, 2006 Arbitrage Pricing of Single-Name Credit Derivatives
by Wu Lixin of the Hong Kong University of Science & Technology
(163K PDF) -- 20 pages -- January 26, 2006 Efficient Pricing Routines of Credit Default Swaps in a Structural Default Model with Jumps
by Matthias Scherer of the University of Ulm
(213K PDF) -- 17 pages -- December 2, 2005 Pricing Default Swaps: Empirical Evidence
by Patrick Houweling of Erasmus University Rotterdam and Rabobank Int'l, and
Ton Vorst of Erasmus University Rotterdam and ABN Amro
(437K PDF) -- 26 pages -- December 2005 Are European Corporate Bond and Default Swap Markets Segmented?
by Didier Cossin of IMD, Lausanne, and
Hongze Lu of IMD & HEC, University of Lausanne,
(291K PDF) -- 39 pages -- November 28, 2005 Modeling of Contagion Effects and their Influence to the Pricing of Basket Credit Derivatives
by Qian Wang of the University of Cologne
(519K PDF) -- 19 pages -- November 28, 2005 CDS Calibration with Tractable Structural Models Under Uncertain Credit Quality
by Damiano Brigo of Banca IMI, and
Massimo Morini of Banca IMI
(213K PDF) -- 13 pages -- November 1, 2005 Hedging of Credit Derivatives in Models with Totally Unexpected Default
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(395K PDF) -- 50 pages -- October 7, 2005 Insider Trading in Credit Derivatives
by Viral V. Acharya of the London Business School, and
Timothy C. Johnson of the London Business School
(299K PDF) -- 45 pages -- September 2005 How Much Do Banks Use Credit Derivatives to Reduce Risk
by Bernadette A. Minton of Ohio State University,
René Stulz of Ohio State University, and
Rohan Williamson of Georgetown University
(119K PDF) -- 39 pages -- July 2005 Credit Default Swap Valuation with Counterparty Risk
by Seng Yuen Leung of HSBC, and
Yue Kuen Kwok of the Hong Kong University of Science and Technology
(140K PDF) -- 21 pages -- June 2005 PDE Approach to Valuation and Hedging of Credit Derivatives
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(231K PDF) -- 14 pages -- June 2005 Overpricing in Emerging Market Credit-Default-Swap Contracts: Some evidence from recent distress cases
by Manmohan Singh of the International Monetary Fund, and
Jochen Andritzky of the International Monetary Fund
(367K PDF) -- 14 pages -- June 2005 Credit Default Swap Prices as Risk Indicators of Large German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Agnieszka Sosinska of the Universität Frankfurt
(467K PDF) -- 33 pages -- June 2005 Credit Default Swap Valuation: An application to Spanish firms
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(359K PDF) -- 38 pages -- May 2005 Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
by Damiano Brigo of Banca IMI, and
Marco Tarenghi of Banca IMI
(226K PDF) -- 22 pages -- April 29, 2005 Credit Default Swaps with Counterparty Risk: A Calibrated Markov Model
by Michael Walker of the University of Toronto
(181K PDF) -- 19 pages -- March 28, 2005 Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
by Damiano Brigo of Banca IMI, and
Marco Tarenghi of Banca IMI
(331K PDF) -- 36 pages -- March 8, 2005 Constant Maturity Credit Default Swap Pricing with Market Models
by Damiano Brigo of Banca IMI
(244K PDF) -- 24 pages -- March 2, 2005 Candidate Market Models and the Calibrated CIR++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters
by Damiano Brigo of Banca IMI
(304K PDF) -- 35 pages -- March 2005 Arbitrage-Free Price Ranges for nth-to-Default Swaps
by Michael B. Walker of the University of Toronto
(141K PDF) -- 11 pages -- November 29, 2004 Pricing Credit Default Swaps under Lévy Models
by Jessica Cariboni of the European Commission, and
Wim Schoutens of Katholieke Universiteit Leuven
(252K PDF) -- 23 pages -- November 22, 2004 Risk-Neutral Correlations in the Pricing and Hedging of Basket Credit Derivatives
by Michael Walker of the University of Toronto
(145K PDF) -- 8 pages -- November 2, 2004 The Determinants of Credit Default Swap Premia
by Jan Ericsson of McGill University,
Kris Jacobs of McGill University, and
Rodolfo A. Oviedo of McGill University
(964K PDF) -- 51 pages -- November 2004 Pricing Equity Default Swaps
by Claudio Albanese of Imperial College, London, and
Oliver X. Chen of the National University of Singapore
(269K PDF) -- 13 pages -- November 2004 An Extended Market Model for Credit Derivatives
by Nordine Bennani of Société Générale, and
Daniel Dahan of Société Générale
(324K PDF) -- 21 pages -- October 2004 A Comparison Between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing
by Damiano Brigo of Banca IMI, and
Laurent Cousot of Courant Institute
(257K PDF) -- 28 pages -- September 12, 2004 Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model
by Damiano Brigo of Banca IMI, and
Aurélien Alfonsi of Banca IMI
(257K PDF) -- 29 pages -- August 13, 2004 Credit Risk Modeling with Gaussian Random Fields
by Thorsten Schmidt of the University of Leipzig
(494K PDF) -- 26 pages -- April 3, 2004 An Empirical Analysis of the Dynamic Relationship Between Investment-grade Bonds and Credit Default Swaps
by Roberto Blanco of the Banko de Espańa,
Simon Brennan of the Bank of England, and
Ian W. Marsh of the Bank of England & CEPR
(408K PDF) -- 40 pages -- March 4, 2004 The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
(243K PDF) -- 38 pages -- January 2004 Pricing Baskets using Gaussian Copula and BET Methodology: a Market Test
by Joăo Garcia of Dexia Group,
Geert Gielens of Dexia Bank in Belgium,
Luc Leonard of Dexia Group, and
Tony Van Gestel of Dexia Group
(108K PDF) -- 31 pages -- June 23, 2003 A Note on Survival Measures and the Pricing of Options on Credit Default Swaps
by Philipp J. Schönbucher of ETH Zürich
(274K PDF) -- 9 pages -- May 2003 A Unified Model for Credit Derivatives
by Alain Bélanger of Scotia Capital,
Steven E. Shreve of Carnegie Mellon University, and
Dennis Wong of Bank of America Corporation
(313K PDF) -- 40 pages -- April 16, 2003 Debt Subordination and The Pricing of Credit Default Swaps
by Peter B. Lee of the California Institute of Technology,
Mark B. Wise of the California Institute of Technology, and
Vineer Bhansali of PIMCO
(120K PDF) -- 10 pages -- January 22, 2003 An Empirical Study of Credit Default Swaps
by Frank Skinner of the University of Reading, and
Antonio Díaz of the Universidad de Castilla - la Mancha
(233K PDF) -- 34 pages -- January 2003 The Valuation of Credit Default Swap Options
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(209K PDF) -- 28 pages -- January 2003 Credit Risk Transfer
by BIS Committee on the Global Financial System
(371K PDF) -- 57 pages -- January 2003 Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is fixed-income markets information sufficient to evaluate credit risk
by Daniel Aunon-Nerin of the University of Lausanne & Fame,
Didier Cossin of HEC, University of Lausanne, IMD & Fame,
Tomas Hricko of HEC, University of Lausanne & Fame, and
Zhijiang Huang of the University of Lausanne & Fame
(2,407K PDF) -- 74 pages -- December 2002 Valuation of Credit Default Swap and Swaptions
by Farshid Jamshidian of NIB Capital Bank
(281K PDF) -- 26 pages -- October 3, 2002 Credit Risk and Credit Derivatives in Banking
by Udo Broll of Saarland University, and
Thilo Pausch of the University of Augsburg
(204K PDF) -- 9 pages -- July 2002 The Valuation of Default-Triggered Credit Derivatives
by Ren-Raw Chen of Rutgers University, and
Ben J. Sopranzetti of Rutgers University
(203K PDF) -- 34 pages -- April 22, 2002 Credit Derivatives in Emerging Markets
by Romain G. Ranciere of New York University
(299K PDF) -- 24 pages -- April 2002 A Rating-based Model for Credit Derivatives
by Raphael Douady of RiskData, and
Monique Jeanblanc of Evry University
(312K PDF) -- 13 pages -- 2002 A Simple Model for Valuing Default Swaps when both Market and Credit Risk are Correlated
by Robert Jarrow of Cornell University, and
Yildiray Yildirim or Syracuse University
(326K PDF) -- 31 pages -- December 10, 2001 On The Pricing of Credit Spread Options: a Two Factor HW-BK Algorithm
by Joăo Garcia of Artesia BC,
Helmut Van Ginderen of Artesia BC, and
Reinaldo Garcia of the University of California at Berkeley.
(149K PDF) -- 18 pages -- December 2, 2001 Credit Derivatives in Banking: Useful Tools for Loan Risk Management?
by Gregory R. Duffee of the University of California at Berkeley, and
Chunsheng Zhou of the University of California at Riverside
(227K PDF) -- 30 pages -- August 2001 Credit Switch
by Karan Bhanot of the University of Texas
(83K PDF) -- 28 pages -- July 31, 2001 Pricing Credit Derivatives with Uncertain Default Probabilities
by Vivien Brunel of HSBC CCF
(141K PDF) -- 15 pages -- January 10, 2001 Contagion in Latin America: An analysis of credit derivatives
by Jessica Beattie of Duke University
(554K PDF) -- 32 pages -- March 2000 A Tree Implementation of a Credit Spread Model for Credit Derivatives
by Philipp J. Schönbucher of Bonn University
(253K PDF) -- 35 pages -- June 1999 Default Implied Volatility for Credit Spread
by C. K. Zheng of Morgan Stanley Dean Witter
(94K PDF) -- 22 pages -- April 1999 Credit Risk Derivatives and Competition in the Loan Market: (Simplified Version)
by Philipp J. Schönbucher of Bonn University, and
Erik Schlögl of the University of Technology, Sydney
(197K PDF) -- 10 pages -- February 8, 1999 Credit Swap Valuation
by Darrell Duffie of Stanford University
(236K PDF) -- 30 pages -- November 6, 1998 The J.P. Morgan Guide to Credit Derivatives
by J.P. Morgan, and
The RiskMetrics Group
(725K PDF) -- 88 pages -- 1999 A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
by Sanjiv Ranjan Das of Harvard University, and
Rangarajan K. Sundaram of New York University
(307K PDF) -- 27 pages -- November 1998 First-to-Default Valuation
by Darrell Duffie of the Université de Paris, Dauphine, & Stanford University
(313K PDF) -- 28 pages -- May 10, 1998 Pricing Credit Risk Derivatives
by Philipp J. Schönbucher of the London School of Economics
(222K PDF) -- 16 pages -- January 1998 Credit Derivatives: New Financial Instruments for Controlling Credit Risk
by Robert S. Neal of the Federal Reserve Bank of Kansas City
Economic Review, Second Quarter 1996
(166K PDF) -- 14 pages -- Q2 1996 Valuing Credit Derivatives
by Francis A. Longstaff of the University of California, Los Angeles, and
Eduardo S. Schwartz of the University of California, Los Angeles
(343K PDF) -- 7 pages -- June 1995 | 
