Downloadable Papers (sorted by date)See 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. (Oct-1)
Collateralized CVA Valuation with Rating Triggers and Credit Migrations
by Tomasz R. Bielecki of Illinois Institute of Technology,
Igor Cialenco of Illinois Institute of Technology, and
Ismail Iyigunler of Illinois Institute of Technology
(310K PDF) -- 30 pages -- March 2013 CVA 'Demystified'
by Ignacio Ruiz of iRuiz Consulting
(259K PDF) -- 8 pages -- February 15, 2011 Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps
by Rüdiger Frey of Vienna University of Business and Economics, and
Lars Rösler of Vienna University of Business and Economics
(1022K PDF) -- 30 pages -- January 31, 2013 Are CDS Spreads Predictable? An analysis of linear and non-linear forecasting models
by Davide Avino of University of Reading, and
Ogonna Nneji of University of Reading
(501K PDF) -- 25 pages -- November 23, 2012 CDS Pricing under Basel III: Capital relief and default protection
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(812K PDF) -- 16 pages -- November 22, 2012 Default Swap Games Driven by Spectrally Negative Lévy Processes
by Masahiko Egami of Kyoto University,
Tim S.T. Leung of Columbia University, and
Kazutoshi Yamazaki of Osaka University
(680K PDF) -- 34 pages -- September 27, 2012 An Empirical Comparison of Alternative Credit Default Swap Pricing Models
by Michele Leonardo Bianchi of Bank of Italy
(1533K PDF) -- 64 pages -- September 2012 CVA, WWR, Hedging and Bermudan Swaption
by Ali Boukhobza of Grupo Santander, and
Jerome Maetz of Grupo Santander
(487K PDF) -- 14 pages -- August 2012 Closing out DVA?
by Jon Gregory of Solum Financial Partners, and
Ilya German of Solum Financial Partners
(114K PDF) -- 7 pages -- July 18, 2012 Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
by Damiano Brigo of King's College London,
Cristin Buescu of King's College London,
Andrea Pallavicini of Banca IMI, and
Qing Liu of King's College London
(119K PDF) -- 8 pages -- July 17, 2012 CVA Implied Vol and Netting Arbitrage Introduction
by Christian Kamtchueng of Barclays Capital & ESSEC, Paris
(119K PDF) -- 8 pages -- June 3, 2011 Wrong-way Risk in Credit and Funding Valuation Adjustments
by Mihail Turlakov of WestLB, Deutsche
(119K PDF) -- 8 pages -- May 30, 2012 Examining what Best Explains Corporate Credit Risk: Accounting-based versus market-based models
by Antonio Trujillo-Ponce of Universidad Pablo de Olavide de Sevilla,
Reyes Samaniego-Medina of Universidad Pablo de Olavide de Sevilla, and
Clara Cardone-Riportella of Universidad Carlos III de Madrid
(184K PDF) -- 44 pages -- April 2012 CVA-VaR
by Shahram Alavian of Royal Bank of Scotland, and
Etienne Koehler of University of Paris-1
(409K PDF) -- 19 pages -- December 13, 2011 Funding Valuation Adjustment: A consistent framework including CVA, DVA, collateral, netting rules and re-hypothecation
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of King's College, London
(260K PDF) -- 23 pages -- December 12, 2011 Funding Value Adjustment (FVA)
by Shahram Alavian of Royal Bank of Scotland
(310K PDF) -- 30 pages -- October 29, 2011 The Negative CDS-bond Basis and Convergence Trading during the 2007/09 Financial Crisis
by Alessandro Fontana of University of Geneva & FINRISK
(310K PDF) -- 30 pages -- September 1, 2011 Did CDS Trading Improve the Market for Corporate Bonds
by Sanjiv Das of Santa Clara University,
Madhu Kalimipalli of Wilfrid Laurier University, and
Subhankar Nayak of Wilfrid Laurier University
(279K PDF) -- 50 pages -- August 24, 2011 Impact of the First to Default Time on Bilateral CVA
by Damiano Brigo of the King's College, London,
Cristin Buescu of the King's College, London, and
Massimo Morini of the Banca IMI & Bocconi University, Milan
(204K PDF) -- 14 pages -- June 20, 2011 A BSDE Approach to Counterparty Risk under Funding Constraints
by Stéphane Crépey of the Université d'Évry Val d'Essonne
(393K PDF) -- 37 pages -- June 11, 2011 Optimal Funding Strategies for Counterparty Credit Risk Liabilities
by Claudio Albanese of the Global Valuation Ltd,
Giacomo Pietronero of the Global Valuation Ltd, and
Steve White of the Risk Care Ltd
(447K PDF) -- 13 pages -- April 18, 2011 Collateralized CDS and efault Dependence: Implications for the central clearing
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(511K PDF) -- 17 pages -- April 11, 2011 The Impact of Margin Interest on the Valuation of Credit Default Swaps
by Yu Hang Kan of the Columbia University, and
Claus Pedersen of the Barclays Capital
(950K PDF) -- 38 pages -- March 4, 2011 Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne & Sharif University of Technology
(950K PDF) -- 38 pages -- February 18, 2011 Counterparty Risk Subject To ATE
by Richard Zhou of Citigroup
(760K PDF) -- 24 pages -- January 14, 2011 Valuation of Credit Default Swap with Counterparty Default Risk by Structural Model
by Jin Liang of the Tongji University,
Peng Zhou of the Deloitte Touche Tomatsu CPA Ltd.,
Yujing Zhou of the Tongji University, and
Junmei Ma of the Shanghai University of Finance and Economics & Tongji University
(412K PDF) -- 12 pages -- January 2011 Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
by Qunfang Bao of the Zhejiang University,
Si Chen of the Zhejiang University,
Guimei Liu of the Zhejiang University City College, and
Shenghong Li of the Zhejiang University
(379K PDF) -- 21 pages -- December 27, 2010 American Step-up and Step-down Credit Default Swaps Under Lévy Models
by Tim S.T. Leung of the Johns Hopkins University, and
Kazutoshi Yamazaki of the Osaka University
(561K PDF) -- 24 pages -- December 25, 2010 Dangers of Bilateral Counterparty Risk: The fundamental impact of closeout conventions
by Damiano Brigo of the King's College, London, and
Massimo Morini of the Banca IMI
(561K PDF) -- 24 pages -- November 16, 2010 Coherent Global Market Simulations for Counterparty Credit Risk
by Claudio Albanese of the Independent Consultant at Level 3 Finance,
Toufik Bellaj of the Credit Suisse Group,
Guillaume Gimonet of the Credit Suisse Group, and
Giacomo Pietronero of the Credit Suisse Group
(1489K PDF) -- 27 pages -- October 20, 2010 Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering
by Rüdiger Frey of the University of Leipzig, and
Thorsten Schmidt of Chemnitz University of Technology
(392K PDF) -- 29 pages -- June 2010 Modelling the Bid and Ask Prices of Illiquid CDSs
by Michael Walker of the University of Toronto
(371K PDF) -- 39 pages -- May 28, 2010 2008 SEC Short Selling Ban: Impacts on the credit default swap market
by Samuel Courtney of Stanford University
(1263K PDF) -- 38 pages -- May 19, 2010 Multi-factor Bottom-up Model for Pricing Credit Derivatives
by Lung K. Tsui of the University of Pittsburgh
(221K PDF) -- 42 pages -- May 18, 2010 Simulating Multiple Defaults and Migration II: Credit value adjustment of credit default swaps
by Chuang Yi of the Royal Bank of Canada
(1,535K PDF) -- 26 pages -- April 14, 2010 An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil
by Antonio Di Cesare of the Bank of Italy, and
Giovanni Guazzarotti of the Bank of Italy
(711K PDF) - 45 pages -- March 2010 Hedging Portfolio Loss Derivatives with CDSs
by Areski Cousin of the Université d'Évry Val d'Essonne, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne
(220K PDF) -- 13 pages -- February 22, 2010 Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010 Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery
by Hui Li of AIG
(319K PDF) -- 17 pages -- January 18, 2010 Counterparty Risk on a CDS in a Model with Joint Defaults and Stochastic Spreads
by Stephane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne
(1,065K PDF) - 31 pages -- January 7, 2010 Analytical Pricing of Basket Default Swaps in a Dynamic Hull & White Framework
by Frédéric D. Vrins of ING Bank
(802K PDF) -- 18 pages -- January 2010 Counterparty Credit Risk and the Credit Default Swap Market
by Navneet Arora of Blackrock,
Priyank Gandhi of the University of California, Los Angeles, and
Francis A. Longstaff of the University of California, Los Angeles
(232K PDF) -- 30 pages -- January 2010 Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009 A Dynamic Model for Credit Index Derivatives
by Louis Paulot of Sophis
(336K PDF) -- 32 pages -- November 9, 2009 The Information Content of Option-Implied Volatility for Credit Default Swap Valuation
by Charles Cao of the Pennsylvania State University & China Center for Financial Research,
Fan Yu of the Claremont McKenna College, and
Zhaodong Zhong of the Rutgers University
(276K PDF) -- 38 pages -- September 9, 2009 CVA Calculation for CDS on Super Senior ABS CDO
by Hui Li of AIG
(131K PDF) -- 5 pages -- August 2008 Charting a Course Through the CDS Big Bang
by Johan Beumee of FitchSolutions,
Damiano Brigo of FitchSolutions,
Gareth Stoyle of FitchSolutions, and
Daniel Schiemert of FitchSolutions
(110K PDF) -- 13 pages -- April 7, 2009 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
(380K PDF) -- 12 pages -- April 2009 An Overview of Credit Derivatives
by Kay Giesecke of Stanford University
(364K PDF) -- 29 pages -- March 3, 2009 The Use (and Abuse) of CDS Spreads During Distress
by Manmohan Singh of the International Monetary Fund, and
Carolyne Spackman of the International Monetary Fund
(705K PDF) -- 13 pages -- March 2009 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
(354K PDF) -- 28 pages -- March 2009 The Determinants of Credit Default Swap Premia
by Jan Ericsson of McGill University,
Kris Jacobs of McGill University, and
Rodolfo Oviedo of McGill University
(387K PDF) -- 24 pages -- February 2009 How Much do Banks use Credit Derivatives to Hedge Loans?
by Bernadette A. Minton of Ohio State University,
René Stulz of Ohio State University, and
Rohan Williamson of Georgetown University
(353K PDF) -- 31 pages -- February 2009 An Exact Formula for Default Swaptions' Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Fitch Solutions & Imperial College, and
Naoufel El-Bachir of the University of Reading
(424K PDF) -- 22 pages -- December 22, 2008 Hedging of Credit Default Swaptions in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(292K PDF) -- 28 pages -- December 14, 2008 SoChi: A local moment surface pricing method of the basket credit products
by Andrey Chirikhin of HSBC, and
Mikhail Soloveitchik of HSBC
(186K PDF) -- 17 pages -- November 13, 2008 Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven
(238K PDF) -- 18 pages -- November 13, 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
(931K PDF) -- 34 pages -- November 2008 Two Generic Frameworks for Credit Index Volatility Products and Their Application to Credit Index Options
by Taoufik Bounhar of Société Générale, and
Laurent Luciani of Société Générale
(237K PDF) -- 24 pages -- October 14, 2008 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(213K PDF) -- 19 pages -- October 3, 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 CVA Calculation for CDS on Super Senior ABS CDO
by Hui Li of AIG
(70K PDF) -- 4 pages -- August 2008 Valuation of Credit Default Swaptions and Credit Default Index Swaptions
by Marek Rutkowski of the University of New South Wales, and
Anthony Armstrong of the University of New South Wales
(259K PDF) -- 21 pages -- July 5, 2008 Counterparty Risk Valuation for CDS
by Christophette Blanchet-Scalliet of the Université de Lyon 1, and
Frédéric Patras of the Université de Nice
(170K PDF) -- 12 pages -- July 2, 2008 Credit Risk Transfer: Developments from 2005 to 2007
by Basel Committee on Banking Supervision
(539K PDF) -- 87 pages -- July 2008 Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 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 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 Understanding Decreasing CDS Curves
by Frederic Vrins of ING Wholesales Banking,
Jan Adem of ING Wholesales Banking,
Moises Gerstein-Alvarez of ING Wholesales Banking,
Arnaud Theunissen of Finalyse, and
Sven Verhasselt of ING Wholesales Banking
(447K PDF) -- 22 pages -- April 2008 Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, 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 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
(378K PDF) -- 37 pages -- January 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 Credit Derivatives and Risk Aversion
by Tim Leung of Johns Hopkins University,
Ronnie Sircar of Princeton University, and
Thaleia Zariphopoulou of Oxford University & the University of Texas at Austin
(268K PDF) -- 15 page -- December 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 FitchSolutions & Imperial College
(295K PDF) -- 25 pages -- December 2007 Single Name Credit Default Swaptions Meet Single Sided Jump Models
by Henrik Jönsson of EURANDOM, 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 Are Credit Default Swap Spreads Market Driven
by Hayette Gatfaoui of Groupe ESC Rouen
(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 João Garcia of Dexia Group,
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 BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
by Matthias Arnsdorf of JP Morgan, and
Igor Halperin of JP Morgan
(845K 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 Credit Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -- 16 pages -- September 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.
(193K PDF) -- 22 pages -- April 2006 A New Risk Indicator and Stress Testing Tool: A Multifactor N th -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 Lixin Wu 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 the Università di Milano - Bicocca
(213K PDF) -- 13 pages -- November 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 An Empirical Analysis of the Dynamic Relation between Investment-grade Bonds and Credit Default Swaps
by Roberto Blanco of the Banko de España,
Simon Brennan of the Bank of England, and
Ian W. Marsh of the Bank of England & CEPR
(179K PDF) -- 28 pages -- October 2005 CDS Market Formulas and Models
by Damiano Brigo of Banca IMI, and
Massimo Morini of the Università di Milano - Bicocca
(264K PDF) -- 28 pages -- September 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 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 n th -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 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 The Stochastic Intensity SSRD Model Implied Volatility Patterns for Credit Default Swap Options and the Impact of Correlation
by Damiano Brigo of Banca IMI, and
Laurent Cousot of Courant Institute
(257K PDF) -- 28 pages -- September 12, 2004 Credit Risk Modeling with Gaussian Random Fields
by Thorsten Schmidt of the University of Leipzig
(494K PDF) -- 26 pages -- April 3, 2004 Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Aurélien Alfonsi of Banca IMI
(291K PDF) -- 27 pages -- February 18, 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 João 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 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 Swaps and Swaptions
by Farshid Jamshidian of NIB Capital Bank
(287K PDF) -- 26 pages -- October 12, 2002 Credit Risk and Credit Derivatives in Banking
by Udo Broll of Saarland University,
Thilo Pausch of the University of Augsburg, and
Peter Welzel 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 João Garcia of Artesia BC,
Helmut Van Ginderen of Artesia BC, and
Reinaldo Garcia of the University of California, Berkeley.
(149K PDF) -- 18 pages -- December 2, 2001 Credit Derivatives in Banking: Useful tools for managing risk?
by Gregory R. Duffee of the University of California, 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 Valuing Credit Default Swaps I: No Counterparty Default Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(368K PDF) -- 35 pages -- April 2000 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 Understanding the Default-Implied Volatility for Credit Spreads
by Changguang 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 | 
