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)
On Multivariate Extensions of Value-at-Risk by Areski Cousin of Université Lyon 1, and Elena Di Bernardino of CNAM (380K PDF) -- 25 pages -- April 4, 2013 The Limits of Granularity Adjustments by Jean-David Fermanian of CREST-ENSAE (402K PDF) -- 29 pages -- March 20, 2013 Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation and Wrong-Way Risk by Damiano Brigo of Imperial College London, Agostino Capponi of Purdue University, Andrea Pallavicini of Imperial College London, and Vasileios Papatheodorou of Barclays Capital (659K PDF) -- 39 pages -- March 2013 Collateral-Enhanced Default Risk by Chris Kenyon of Lloyds Banking Group, and Andrew Green of Lloyds Banking Group (2434K PDF) -- 12 pages -- February 19, 2013 Identifying European Industries with Extreme Default Risk: Application of CVaR techniques to transition matrices by David E. Allen of Edith Cowan University, Akhmad R. Kramadibrata of Edith Cowan University, Rober J. Powell of Edith Cowan University, and Abhay K. Singh of Edith Cowan University (808K PDF) -- 45 pages -- November 2012 Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model by Tomasz R. Bielecki of Illinois Institute of Technology, Areski Cousin of Université Lyon 1, LSAF, Stéphane Crépey of Université d'Évry Val d'Essonne, and Alexander Herbertsson of University of Gothenburg (808K PDF) -- 45 pages -- October 8, 2012 A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries by Tomasz R. Bielecki of Illinois Institute of Technology, Areski Cousin of Université Lyon 1, LSAF, Stéphane Crépey of Université d'Évry Val d'Essonne, and Alexander Herbertsson of University of Gothenburg (808K PDF) -- 45 pages -- October 4, 2012 Compensation Incentives of Credit Rating Agencies and Predictability of Changes in Bond Ratings and Financial Strength Ratings by Andreas Milidonis of University of Cyprus (538K PDF) -- 48 pages -- September 26, 2012 Granularity Adjustment for Mark-to-Market Credit Risk Models by Michael B. Gordy of Federal Reserve Board, and James Marrone of Federal Reserve Board (474K PDF) -- 39 pages -- July 2012 Determining Marginal Contributions of the Economic Capital of Credit Risk Portfolio: An analytical approach by Marco Morone of Intesa Sanpaolo, Anna Cornaglia of Intesa Sanpaolo, and Giulio Mignola of Intesa Sanpaolo (670K PDF) -- 17 pages -- June 2012 A Random Matrix Approach on Credit Risk by Michael C. Münnix of the University of Duisburg-Essen, Rudi Schäfer of the University of Duisburg-Essen, and Thomas Guhr of the University of Duisburg-Essen (1,225K PDF) -- 15 pages -- June 2012 A Framework for Pricing and Risk Management of Loans with Embedded Options by Bernd Engelmann of the Quantsolutions (236K PDF) -- 23 pages -- May 30, 2012 Aggregating Credit and Market Risk: The Impact of Model Specification by André Lucas of VU University Amsterdam & Tinbergen Institute, and Bastiaan Verhoef of Royal Bank of Scotland (385K PDF) -- 33 pages -- May 29, 2012 Credit Risk Modeling with Delayed Information by Takanori Adachi of Hitotsubashi University, Ryozo Miura of Hitotsubashi University, and Hidetoshi Nakagawa of Hitotsubashi University (236K PDF) -- 23 pages -- May 3, 2012 Analytical Approximations for Loan and Credit Derivatives Portfolios by Kay Giesecke of Stanford University, Jack Kim of J.P. Morgan, and Hideyuki Takada of Mizuho-DL Financial Technology, Tokyo (310K PDF) -- 34 pages -- April 26, 2012 Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets by Agostino Capponi of Purdue University, José E. Figueroa-López of Purdue University, and Jeffrey Nisen of Purdue University (716K PDF) -- 33 pages -- February 28, 2012 A New Method to Estimate the Risk of Financial Intermediaries by Manthos D. Delis of City University, London, and Efthymios Tsionas of Athens University of Economics and Business (260K PDF) -- 21 pages -- November 15, 2011 Credit Risk Measurement Methodologies by David E. Allen of Edith Cowan University, and Robert J. Powell of Edith Cowan University (761K PDF) -- 7 pages -- November 2011 Structural Credit Risk using Time-changed Brownian Motions: A tale of two models by Tom R. Hurd of McMaster University, and Zhuowei Zhou of McMaster University (848K PDF) -- 23 pages -- September 13, 2011 Large Portfolio Asymptotics for Loss from Default by Kay Giesecke of Stanford University, Konstantinos Spiliopoulos of Brown University, Richard B. Sowers of University of Illinois at Urbana-Champaign, and Justin Sirignano of Stanford University (1267K PDF) -- 26 pages -- September 7, 2011 Filtered Likelihood for Point Processes by Kay Giesecke of the Stanford University, and Gustavo Schwenkler of the Stanford University (500K PDF) -- 7 pages -- July 28, 2011 KISS Approach to Credit Portfolio Modeling by Mikhail Voropaev of ING Bank (500K PDF) -- 7 pages -- July 2011 Precautionary Measures for Credit Risk Management in Jump Models by Masahiko Egami of the Kyoto University, and Kazutoshi Yamazaki of the Osaka University (614K PDF) -- 31 pages -- June 20, 2011 Credit Risk Contributions under the Vasicek One-factor Model: A fast wavelet expansion approximation by Luis Ortiz-Gracia of Centre de Recerca Matemàtica, and Josep J. Masdemont of Universitat Politècnica de Catalunya (835K PDF) -- 23 pages -- May 2011 An Analytical Framework for Credit Portfolio Risk Measures by Mikhail Voropaev of ING Bank (890K PDF) -- 11 pages -- May 2011 Transform Analysis for Point Processes and Applications in Credit Risk by Kay Giesecke of the Stanford University, and Shilin Zhu of the Stanford University (241K PDF) -- 24 pages -- April 8, 2011 Haar Wavelets-based Approach for Quantifying Credit Portfolio Losses by Josep J. Masdemont of the Universitat Politècnica de Catalunya, and Luis Ortiz-Gracia of the Centre de Recerca Matemàtica (241K PDF) -- 24 pages -- April 2011 Observation Driven Mixed-measurement Dynamic Factor Models with an Application to Credit Risk by Drew Creal of the University of Chicago, Bernd Schwaab of the European Central Bank, Siem Jan Koopman of the VU University Amsterdam & Tinbergen Institute, Amsterdam, and André Lucas of the European Central Bank & Tinbergen Institute, Amsterdam (373K PDF) -- 21 pages -- February 11, 2011 Internal Assessment of Credit Concentration Risk Capital: A portfolio analysis of Indian public sector bank by Arindam Bandyopadhyay of the National Institute of Bank Management (NIBM), Pune (194K PDF) -- 18 pages -- January 31, 2011 Conditional Default Probability and Density by Nicole El Karoui of the Centre de Mathématiques Appliquées, Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne, Ying Jiao of the Université Paris 7, and Behnaz Zargari of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne (194K PDF) -- 18 pages -- January 6, 2011 Survival Measures and Interacting Intensity Model: With applications in guaranteed debt pricing by Qunfang Bao of the Zhejiang University, Shenghong Li of the Zhejiang University, and Guimei Liu of the Zhejiang University City College (255K PDF) -- 27 pages -- December 25, 2010 Dangerous Knowledge: Credit value adjustment with credit triggers by Chuang Yi of the Royal Bank of Canada (299K PDF) -- 20 pages -- December 15, 2010 Credit Valuation Adjustment (CVA) by Shahram Alavian of Lehman Brothers, Jie Ding of Nomura, Peter Whitehead of Deutsche Bank, and Leonardo Laudicina of Nomura (125K PDF) -- 22 pages -- October 9, 2010 The Failure of Models That Predict Failure: Distance, incentives and defaults by Uday Rajan of the University of Michigan, Amit Seru of the University of Chicago, and Vikrant Vig of the London Business School (1,755K PDF) -- 46 pages -- August 2, 2010 Credit Risk Premia and Quadratic BSDEs with a Single Jump by Stefan Ankirchner of the Universtät Bonn, Christophette Blanchet-Scalliet of the Université de Lyon, and Anne Eyraud-Loisel of the Université Lyon 1 (303K PDF) -- 27 pages -- June 8, 2010 Credit Risk Modeling through the use of an Extended and Numerically Stable Version of CreditRisk+ and a Merton Model by Ludovic Dubrana of AXA Polska S.A. (457K PDF) -- 45 pages -- June 2010 Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model by Yuri Katz of Qubit Technology Center, and Nikolai Shokhirev of Qubit Technology Center (2,891K PDF) -- 34 pages -- June 2010 A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery by Yadong Li of Barclays Capital (328K PDF) -- 23 pages -- April 21, 2010 Credit Risk Modelling with Shot-noise Processes by Raquel M. Gaspar of the Technical University of Lisbon, and Thorsten Schmidt of Chemnitz University of Technology (1,147K PDF) -- 25 pages -- April 4, 2010 How to Gauge the Credit Risk of Bank Loans: Evidence from Taiwan by Kuang-Erh Lai of National Sun Yat-sen University, and Chau-Jung Kuo of National Sun Yat-sen University (297K PDF) -- 8 pages -- May 2010 Interacting Path Systems for Credit Portfolios Risk Analysis by Pierre del Moral of INRIA Bordeaux, and Frédéric Patras of the Université de Nice (273K PDF) -- 9 pages -- February 7, 2010 Risk Factor Contributions in Portfolio Credit Risk Models by Dan Rosen of the Fields Institute, and David Saunders of the University of Waterloo (439K PDF) -- 14 pages -- February 2010 Filtering and Incomplete Information in Credit Risk by Rüdiger Frey of the University of Leipzig, and Thorsten Schmidt of Chemnitz University of Technology (1,171K PDF) -- 28 pages -- January 22, 2010 Credit Calibration with Structural Models: The Lehman case and equity swaps under counterparty risk by Damiano Brigo of Imperial College & Fitch Solutions, Massimo Morini of Banca IMI, and Marco Tarenghi of Banca Leonardo (238K PDF) -- 21 pages -- December 22, 2009 CVA Computation for Counterparty Risk Assessment in Credit Portfolios by Samson Assefa of the Université d'Evry Val d'Essonne, Tomasz R. Bielecki of the Illinois Institute of Technology, Stéphane Crépey of the Université d'Évry Val d'Essonne, and Monique Jeanblanc of the Université d'Evry Val d'Essonne & Europlace Institute of Finance (945K PDF) -- 41 pages -- December 5, 2009 What Happens After a Default: The conditional density approach by Nicole El Karoui of the Centre de Mathématiques Appliquées, Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne, and Ying Jiao of the Université Paris 7 (256K PDF) -- 27 pages -- December 2, 2009 Markov Chain Models of Portfolio Credit Risk by Tomasz R. Bielecki of the Illinois Institute of Technology, Stéphane Crépey of the Université d'Évry Val d'Essonne, and Alexander Herbertsson of the University of Gothenburg (1,184K PDF) -- 44 pages -- November 23, 2009 Credit Gap Risk in a First Passage Time Model with Jumps by Natalie Packham of the Frankfurt School of Finance & Management, Lutz Schloegl of Nomura International Plc, and Wolfgang Schmidt of the Frankfurt School of Finance & Management (625K PDF) -- 39 pages -- November 2009 Up and Down Credit Risk by Tom Bielecki of Illinois Institute of Technology, Stéphane Crépey of the Université d' Évry Val d'Essonne, and Monique Jeanblanc of the Université d' Évry Val d'Essonne & Europlace Institute of Finance (1,305K PDF) -- 22 pages -- October 1, 2009 Factor Models and the Credit Risk of a Loan Portfolio by Edgardo Palombini of Fondo Interbancario di Tutela dei Depositi (FITD) (312K PDF) -- 23 pages -- October 2009 Credit Dynamics in a First Passage Time Model with Jumps by Natalie Packham of the Frankfurt School of Finance & Management, Lutz Schlögl of Nomura International Plc, and Wolfgang M. Schmidt of the Frankfurt School of Finance & Management (564K PDF) -- 34 pages -- September 2009 Computational Techniques for Basic Affine Models of Portfolio Credit Risk by Andreas Eckner of Stanford University (305K PDF) -- 37 pages -- August 2009 Recent Advances in Credit Risk Modeling by Christian Capuano of the International Monetary Fund, Jorge Chan-Lau of the International Monetary Fund, Giancarlo Gasha of the International Monetary Fund, Carlos Medeiros of the International Monetary Fund, Andre Santos of the International Monetary Fund, and Marcos Souto of the International Monetary Fund (726K PDF) -- 32 pages -- August 2009 A Multiname First-Passage Model for Credit Risk by Don L. McLeish of the University of Waterloo, and Adam Metzler of the University of Western Ontario (946K PDF) -- 36 pages) -- July 23, 2009 Bankruptcy Codes, Liquidation Timing, and Debt Valuation by Max Bruche of CEMFI (374K PDF) -- 51 pages -- July 2009 How to Gauge the Default Risk? An empirical application of structural-form models by Su-Lien Lu of National United University, Taiwan, and Pei-Chen Tsai of National United University, Taiwan (155K PDF) -- 11 pages -- July 2009 Credit Migration Risk Modelling by Andreas Anderssony of ETH Zürich & the University of Zürich, and Paolo Vanini of the University of Zürich & Zürcher Kantonalbank (958K PDF) -- 34 pages -- June 9, 2009 Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries by Antonio Castagna of iason Ltd., Fabio Mercurio of Bloomberg & Iason ltd., and Paola Mosconi of Iason ltd. (293K PDF) -- 32 pages -- June 1, 2009 A Credit Risk Model Incorporating Microstructural Dependencies and Stochastic Recovery by Matthias P. Jüttnery of the University of Zürich & Swiss Finance Institute (413K PDF) -- 28 pages -- June 2009 An EVT Primer for Credit Risk by Valérie Chavez-Demoulin of EPF Lausanne, and Paul Embrechts of ETH Zurich (825K PDF) -- 46 pages -- May 25, 2009 Credit Risk Modeling Using Time-Changed Brownian Motion by Tom R. Hurd of McMaster University (395K PDF) -- 18 pages -- April 15, 2009 Measuring Portfolio Credit Risk Correctly: Why parameter uncertainty matters by Nikola A Tarashev of the Bank for International Settlements (423K PDF) -- 43 pages -- April 3, 2009 Range of Practices and Issues in Economic Capital Frameworks by the Bank for International Settlements (386K PDF) -- 73 pages -- March 2009 Convertible Bonds in a Defaultable Diffusion 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 & Institut Europlace de Finance, and Marek Rutkowski of the University of New South Wales & Warsaw University of Technology (457K PDF) -- 35 pages -- February 16, 2009 Credit Risk Modeling With Misreporting and Incomplete Information by Agostino Capponi of the California Institute of Technology, and Jakša Cvitanić of the California Institute of Technology (444K PDF) -- 31 pages -- February 2009 Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks by Olli Castrén of the European Central Bank, Trevor Fitzpatrick of the European Central Bank, and Matthias Sydow of the European Central Bank (1,811K PDF) -- 38 pages -- February 2009 Rating Philosophy and Dynamic Properties of Internal Rating Systems: A general framework and an application to backtesting by Marco Morone of Intesa Sanpaolo, and Anna Cornaglia of Intesa Sanpaolo (284K PDF) -- 25 pages -- January 23, 2009 Climbing Down from the Top: Single name dynamics in credit top down models by Igor Halperin of JP Morgan, and Pascal Tomecek of JP Morgan (847) -- 34 pages -- January 22, 2009 Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk by Philippe Ehlers of ETH Zurich, and Philipp J. Schönbucher of ETH Zurich (536K PDF) -- 25 pages -- January 2009 Credit Risk - A structural model with jumps and correlations by Rudi Schäfer of Lund University, Markus Sjölin of Lund University, Andreas Sundin of Lund University, Michal Wolanski of Lund University, and Thomas Guhr of Lund University (1,009K PDF) -- 24 pages -- December 2, 2008 Immersion Property and Credit Risk Modelling by Monique Jeanblanc of Université d'Évry Val d'Essonne & Institut Europlace de Finance, and Yann Le Cam of the French Treasury (348K PDF) -- 31 pages -- November 18, 2008 Specification Analysis of Structural Credit Risk Models by Jing-zhi Huang of Pennsylvania State University, and Hao Zhou of the Federal Reserve Board (338K PDF) -- 44 pages -- October 2008 Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities by Rüdiger Frey of the University of Leipzig, and Jochen Backhaus of the University of Leipzig (360K PDF) -- 22 pages -- September 29, 2008 Correlation Structures of Correlated Binomial Models and Implied Default Distribution by Shintaro Mori of Kitasato University, Kenji Kitsukawa of Daiwa Securities SMBC, and Masato Hisakado of Standard and Poor's (188K PDF) -- 16 pages -- September 18, 2008 Portfolio Credit Risk: A model of correlated credit losses dynamics and the inverse-gamma approximation by Ridha M. Mahfoudhi of Laval University & National Bank of Canada (426K PDF) -- 34 pages -- August 2008 Extracting Systematic Factors in a Continuous-time Credit Migration Model by Harley Thompson of the Commonwealth Bank of Australia, and Jonathan Harris of the Commonwealth Bank of Australia & Stanford University (173K PDF) -- 12 pages -- July 2008 A Note on Fitting Markov Operator Credit Risk Models by Harley Thompson of Commonwealth Bank of Australia, and Jonathan Harris of Commonwealth Bank of Australia (399K PDF) -- 19 pages -- June 2008 Dynamic Default Rates by Robert Lamb of Imperial College London, and William Perraudin of Imperial College London (299K PDF) -- 34 pages -- May 2008 A Novel Methodology for Credit Portfolio Analysis: Numerical approximation approach by Yasushi Takano of Mizuho-DL Financial Technology, and Jiro Hashiba of Mizuho-DL Financial Technology (3,043K PDF) -- 60 pages -- April 24, 2008 Modeling the Loss Distribution by Sudheer Chava of Texas A&M University, Catalina Stefanescu of the London Business School, and Stuart Turnbull of the University of Houston (537K PDF) -- 53 pages -- April 21, 2008 Dynamic Models of Portfolio Credit Risk: A simplified approach by John Hull of the University of Toronto, and Alan White of the University of Toronto (348K PDF) -- 53 page -- April 2008 In Search of Hybrid Models for Credit Risk: from Leland-Toft to Carr-Linetsky by Chuang Yi of McMaster University, and Tom Hurd of McMaster University (307K PDF) -- 39 pages -- April 2008 Inverse CIR and Semi-Affine Intensity-based Modeling on Credit Risk by Chuang Yi of McMaster University, and Tom Hurd of McMaster University (305K PDF) -- 25 pages -- April 2008 Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions by Stephen Figlewski of New York University, Halina Frydman of New York University, and Weijian Liang of New York University (195K PDF) -- 57 pages -- March 29, 2008 Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default by Damiano Brigo of FitchSolutions & Imperial College, London, and Andrea Pallavicini of Banca Leonardo (201K PDF) -- 19 pages -- March 26, 2008 Strategic Default Jump as Impulse Control in Continuous Time by Hisashi Nakamura of the University of Tokyo (334K PDF) -- 28 pages -- February 18, 2008 Randomization in the Default Boundary Problem by Ken Jackson of the University of Toronto, Alex Kreinin of Algorithmics, Inc., and Wanhe Zhang of the University of Toronto (119K PDF) -- 9 pages -- February 12, 2008 Portfolio Credit Risk: Top Down vs. Bottom Up Approaches by Kay Giesecke of Stanford University (170K PDF) -- 17 pages -- February 8, 2008 Credit Risk Assessment Considering Variations in Exposure: Application to commitment lines by Shigeaki Fujiwara of the Bank of Japan (303K PDF) -- 34 pages -- February 2008 A Useful Result on First Passage OU Process by Chuang Yi of McMaster University (168K PDF) -- 10 pages -- January 2008 Defaultable Options in a Markovian Intensity Model of Credit Risk by Tom Bielecki of Illinois Institute of Technology, Stéphane Crépey of the Université d'Évry, Monique Jeanblanc of the Université d'Évry,and Marek Rutkowski of the University of New South Wales & Warsaw University of Technology (371K PDF) -- 23 page -- December 23, 2007 Dynamic Credit Portfolio Modelling in Structural Models with Jumps by Rüdiger Kiesel of Ulm University & London School of Economics, and Matthias Scherer of TU Munich (289K PDF) -- 28 pages -- December 18, 2007 Reduced Form Modelling for Credit Risk by Monique Jeanblanc of the Université d'Évry Val d'Essonne & Institut Europlace de Finance, and Yann Le Cam of the Université d'Évry Val d'Essonne & French Treasury (296K PDF) -- 21 pages -- November 12, 2007 Flexing the Default Barrier by Gregor Dorfleitner of Vienna University of Economics and Business Administration, Paul Schneider of Vienna University of Economics and Business Administration, and Tanja Veža of Vienna University of Economics and Business Administration (7,397K PDF) -- 26 pages -- November 7, 2007 Firm Heterogeneity and Credit Risk Diversification by Samuel G. Hanson of Harvard University, M. Hashem Pesaran of the University of Cambridge & University of Southern California, and Til Schuermann of the Federal Reserve Bank of New York & Wharton Financial Institutions Center (527K PDF) -- 46 pages -- November 2007 Correlated Default Modeling with a Forest of Binomial Trees by Santhosh Bandreddi of Merrill Lynch, Sanjiv Das of Santa Clara University, and Rong Fan of Gifford Fong Associates (251K PDF) -- 30 pages -- October 29, 2007 Higher-order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model by Xinzheng Huang of Delft University of Technology, Cornelis W. Oosterlee of Delft University of Technology, and Hans van der Weide of Delft University of Technology (226K PDF) -- 21 pages -- Fall 2007 Perpetual Convertible Bonds with Credit Risk by Christoph Kühn of Goethe-Universität, and Kees van Schaik of Goethe-Universität (479K PDF) -- 29 pages -- August 31, 2007 On the Parameterization of the CreditRisk+ Model for Estimating Credit Portfolio Risk by Antoine Vandendorpe of Fortis, Ngoc-Diep Ho of the Université Catholique de Louvain, Steven Vanduffel of Katholieke Universiteit Leuven, and Paul Van Dooren of the Université Catholique de Louvain (236K PDF) -- 24 pages -- August 9, 2007 Systematic Equity-based Credit Risk: A CEV model with jump to default by Luciano Campi of Université Paris Dauphine, Simon Polbennikov of Lehman Brothers International, Europe, and Alessandro Sbuelz of University of Verona (416K PDF) -- 43 pages -- August 2007 A Radial Basis Function Approach to Credit Barrier Model by Humphrey K.K. Wong of City University of Hong Kong, Pascal Baup of Lehman Brothers (Toyko), and Michael C.S. Wong of City University of Hong Kong (141K PDF) -- 18 pages -- August 2007 The Skewed t Distribution for Portfolio Credit Risk by Wenbo Hu of Bell Trading, and Alec N. Kercheval of Florida State University (449K PDF) -- 45 pages -- August 2007 Estimating Structural Models of Corporate Bond Prices by Max Bruche of Centro de Estudios Monetarios y Financieros (CEMFI) (242K PDF) -- 40 pages -- July 30, 2007 Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises by Jin-Chuan Duan of the National University of Singapore & the University of Toronto, and Andras Fulop of ESSEC Business School, France (225K PDF) -- 30 pages -- July 2007 Credit Risk Models with Incomplete Information by Xin Guo of the University of California, Berkeley, Robert A. Jarrow of Cornell University & Kamakura Corp., and Yan Zeng of Bloomberg (279K PDF) -- 19 pages -- June 18, 2008 Don't Fall from the Saddle: the importance of higher moments of credit loss distributions by Jan Annaert of the University of Antwerp, Crispiniano Garcia Joao Batista of Dexia Bank, Jeroen Lamoot of the Belgian Banking Finance and Insurance Commission (CBFA), and Gleb Lanine of Dexia Bank (354K PDF) -- 32 pages -- June 2007 A New Structural Approach to the Default Risk of Companies by Pouyan Mashayekh Ahangarani of the University of Southern California (76K PDF) -- 25 pages -- June 2007 A Note on Lando's Formula and Conditional Independence by Xin Guo of the University of California, Berkeley, Robert A. Jarrow of Cornell University, and Christian Menn of Cornell University (200K PDF) -- 10 pages -- May 29, 2007 Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss by Andrei V. Lopatin of NumeriX LLC, and Timur Misirpashaev of NumeriX LLC (584K PDF) -- 27 pages -- May 3, 2007 Valuation of Risky Debt: a Multi-Period Bayesian Framework by Leonid V. Philosophov of the Moscow Committee of Bankruptcy Affairs (317K PDF) -- 22 pages -- March 26, 2007 Economic Capital Assessment via Copulas: Aggregation and Allocation of Different Risk Types by Marco Morone of Intesa-Sanpaolo, Anna Cornaglia of Intesa-Sanpaolo, and Giulio Mignola of Intesa-Sanpaolo (941K PDF) -- 20 pages -- March 2, 2007 Modeling the Distribution of Credit Losses with Observable and Latent Factors by Gabriel Jiménez of the Bank of Spain, and Javier Mencía of the Bank of Spain (498K PDF) -- 93 pages -- March 2007 Computation of VaR and VaR Contribution in the Vasicek Portfolio Credit Loss Model: A Comparative Study by Xinzheng Huang of Delft University of Technology & Rabobank, Cornelis W. Oosterlee of Delft University of Technology & CWI, and Mace A. Mesters of Rabobank (292K PDF) -- 19 pages -- March 2007 Multi-Period Corporate Failure Prediction With Stochastic Covariates by Darrell Duffie of Stanford University, Leandro Saita of Stanford University, and Ke Wang of the University of Tokyo (482K PDF) -- 32 pages -- March 2007 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation by Hayette Gatfaoui of Groupe ESC Rouen & the University of Technology, Sydney (1,434K PDF) -- 51 pages -- February 2007 Cross- and Autocorrelation in Multi-period Credit Portfolio Models by Christoph K.J. Wagner of UniCredit MIB (249K PDF) -- 17 pages -- January 22, 2007 Cluster-based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names by Damiano Brigo of Banca IMI, Andrea Pallavicini of Banca IMI,and Roberto Torresetti of Banca IMI (313K PDF) -- 35 pages -- January 12, 2007 Modeling Defaultable Securities with Recovery Risk by Lotfi Karoui of McGill University (456K PDF) -- 52 pages -- January 2007 Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications by Jorge A. Chan-Lau of the International Monetary Fund, and Andre O. Santos of the International Monetary Fund (513K PDF) -- 13 page -- December 2006 Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model by Olivier Le Courtois of EM Lyon, and François Quittard-Pinon of the University of Lyon 1 (357K PDF) -- 34 pages -- November 22, 2006 A Simple Jump to Default Model by Dennis Yang - Unaffiliated (390K PDF ) -- 28 pages -- November 22, 2006 The Multi-State Latent Factor Intensity Model for Credit Rating Transitions by Siem Jan Koopman of Vrije Universiteit Amsterdam, André Lucas of Vrije Universiteit Amsterdam, and André Monteiro of Vrije Universiteit Amsterdam (1,094K PDF) -- 45 pages -- November 17, 2006 Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios by Dan Rosen of the Fields Institute for Research in Mathematical Sciences, and David Saunders of the University of Waterloo (1,332K PDF) -- 47 pages -- November 2006 Beyond Hazard Rates: A new framework for credit-risk modeling by Dorje C. Brody of the Imperial College, Lane P. Hughston of King's College London, and Andrea Macrina of King's College London (339K PDF) -- 27 pages -- November 2006 Modeling Credit Risk for SMEs: Evidence from the US market by Edward I. Altman of New York University, and Gabriele Sabato of ABN AMRO, Amsterdam (333K PDF) -- 43 pages -- November 2006 Modeling Portfolio Defaults Using Hidden Markov Models with Covariates by Konrad Banachewicz of Vrije Universiteit, Aad van der Vaart of Vrije Universiteit, and André Lucas of Vrije Universiteit (233K PDF) -- 24 pages -- October 28, 2006 A Multivariate Jump-Driven Financial Asset Model by Elisa Luciano of the University of Turin and ICER, and Wim Schoutens of Katholieke Universiteit Leuven (915K PDF) -- 33 pages -- October 16, 2006 A Structural Model with Unobserved Default Boundary by Thorsten Schmidt of the University of Leipzig (282K PDF) -- 21 pages -- October 9, 2006 Credit Risk in a Network Economy by Didier Cossin of IMD, Lausanne, and Henry Schellhorn of Claremont Graduate University (343K PDF) -- 24 pages -- October 4, 2006 Dynamic Frailties and Credit Portfolio Modelling by Martin Delloye of Ixis-CIB & BNP Paribas, Jean-David Fermanian of Ixis-CIB, and Mohammed Sbai of Ixis-CIB & Ecole Nationale des Ponts et Chaussées (418K PDF) -- 6 pages -- October 2006 Monte Carlo Simulation of Economic Capital Requirement And Default Protection Premium by Amit Kulkarni of the National Institute of Bank Management (834K PDF) -- 35 pages -- September 20, 2006 On the Term Structure of Loss Distributions: A forward model approach by Jakob Sidenius of JP Morgan (171K PDF) -- 14 pages -- September 15, 2006 Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence by Leif Andersen of Banc of America Securities (209K PDF) -- 28 pages -- September 9, 2006 A Jump to Default Extended CEV Model: An application of Bessel processes by Peter Carr of Bloomberg & NYU Courant Institute, and Vadim Linetsky of Northwestern University (284K PDF) -- 25 pages -- September 2006 Multi-Period Defaults and Maturity Effects on Economic Capital in a Ratings-Based Default-Mode Model by Marc Gürtler of the Technical University at Braunschweig, and Dirk Heithecker of the Technical University at Braunschweig (1,333K PDF) -- 50 pages -- August 2006 A New Framework for Dynamic Credit Portfolio Loss Modelling by Jakob Sidenius of the Royal Bank of Scotland, Vladimir Piterbarg of Barclays Capital, and Leif Andersen of Banc of America Securities (244K PDF) -- 31 pages -- June 18, 2006 Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives by Philipp J. Schönbucher of ETH Zürich (350K PDF) -- 27 pages -- June 2006 A Cash Flow Based Corporate Credit Portfolio Analysis: A conditional independent default approach by Hsien-hsing Liao of National Taiwan University, and Tsung-kang Chen of National Taiwan University (631K PDF) -- 35 pages -- May 20, 2006 Bankruptcy, Counterparty Risk, and Contagion by Holger Kraft of the University of Kaiserslautern, and Mogens Steffensen of the University of Copenhagen (424K PDF) -- 66 pages -- May 5, 2006 Jumps in Intensity Models by Jessica Cariboni of European Commission--Joint Research Centre and Katholieke Universiteit Leuven, and Wim Schoutens of Katholieke Universiteit Leuven (518K PDF) -- 30 pages -- May 4, 2006 Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program by Renzo G. Avesani of the International Monetary Fund, Kexue Liu of the International Monetary Fund, Alin Mirestean of the International Monetary Fund, and Jean Salvati of the International Monetary Fund (677K PDF) -- 35 pages -- May 2006 Modeling Default Risk: A new structural approach by Yildiray Yildirim of Syracuse University (150K PDF) -- 12 pages -- April 27, 2006 Credit Risk Models II: Structural Models by Abel Elizalde of CEMFI and Universidad Pública de Navarra (385K PDF) -- 37 pages -- April 2006 Credit Risk Models III: Reconciliation Reduced - Structural Models by Abel Elizalde of CEMFI and Universidad Pública de Navarra (166K PDF) -- 18 pages -- April 2006 Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure by Binh Dao of the Université Paris Dauphine, and Monique Jeanblanc of the Université d'Évry (388K PDF) -- 20 pages -- March 9, 2006 Default Intensity and Expected Recovery of Japanese Banks and "Government": New Evidence from the CDS Market by Yoichi Ueno of the Bank of Japan, and Naohiko Baba of the Bank of Japan (849K PDF) -- 45 pages -- March 2006 Credit Risk in Pure Jump Structural Models by Filippo Fiorani of Aristeia Capital, and Elisa Luciano of the University of Torino (223K PDF) -- 23 pages -- February 28, 2006 Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation by Achal Bassamboo of Stanford University, Sandeep Juneja of the Tata Institute of Fundamental Research, and Assaf Zeevi of Columbia University (371K PDF) -- 39 pages -- February 20, 2006 A Simple Multi-Factor "Factor Adjustment" for the Treatment of Credit Capital Diversification by Juan Carlos Garcia Cespedes of BBVA, Juan Antonio de Juan Herrero of BBVA, Alex Kreinin of Algorithmics, Inc., and Dan Rosen of the Fields Institute (1,399K PDF) -- 37 pages -- January 20, 2006 Dependent Credit Migrations by Jonathan Wendin of ETH Zürich, and Alexander J. McNeil of ETH Zürich (369K PDF) -- 37 pages -- January 2006 Measuring Marginal Risk Contributions in Credit Portfolios by Paul Glasserman of Columbia Business School (418K PDF) -- 41 pages -- Winter 2005/06 On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view by Rafael Weissbach of the University of Dortmund, and Carsten von Lieres und Wilkau of WestLB AG (164K PDF) -- 27 pages -- December 23, 2005 On the Brody-Hughston-Macrina Approach to Modeling of Defaultable Term Structure by Nannan Yu of the University of New South, and Marek Rutkowski of the University of New South Wales & Warsaw University of Technology (263K PDF) -- 27 pages -- December 5, 2005 A Structural Credit-Risk Model based on a Jump Diffusion by Matthias Scherer of the University of Ulm (277K PDF) -- 28 pages -- December 2, 2005 Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects by Raquel M. Gaspar of Stockholm School of Economics, and Thorsten Schmidt of the University Leipzig (1,461K PDF) -- 61 pages -- November 2005 Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk by Alexander J. McNeil of ETH Zürich, and Jonathan Wendin of ETH Zürich (456K PDF) -- 27 pages -- October 5, 2005 How Good is Merton Model at Assessing Credit Risk? Evidence from India by Amit Kulkarni of the National Institute of Bank Management, Alok Kumar Mishra of the National Institute of Bank Management, and Jigisha Thakker of the National Institute of Bank Management (302K PDF) -- 49 pages -- Fall 2005 On the Applicability of Fourier Based Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk by Peter Grundke of the University of Cologne (1,414K PDF) -- 38 pages -- September 2005 Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices 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 (232K PDF) -- 19 pages -- August 20, 2005 Analytic Improvement of the Saddle-point Approximation and Spread Risk Attribution in a Portfolio of Tranches by Damian Taras of Dresdner Kleinwort Wasserstein, Christopher Cloke-Browne of Dresdner Kleinwort Wasserstein, and Evan Kalimtgis of Dresdner Kleinwort Wasserstein (107K PDF) -- 11 pages -- August 4, 2005 Co-monotonic Default Quote Paths for Basket Evaluation by Christian Bluhm of Credit Suisse, and Ludger Overbeck of the University of Giessen and HypoVereinsbank (164K PDF) -- 5 pages -- August 2005 Predictions Based on Certain Uncertainties - A Bayesian Credit Portfolio Approach by Christoff Gössl of HypoVereinsbank AG (300K PDF) -- 19 pages -- July 14, 2005 Dependent Events and Changes of Time by Kay Giesecke of Cornell University, and Pascal Tomecek of Cornell University (243K PDF) -- 28 pages -- July 7, 2005 A Multi-period Corporate Credit Model---An Intrinsic Valuation Approach by Tsung-kang Chen of the National Taiwan University, and Hsien-hsing Liao of the National Taiwan University (413K PDF) -- 35 pages -- June 26, 2005 A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model by Pavel Okunev of LBNL and University of California, Berkeley (108K PDF) -- 10 pages -- June 19, 2005 Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model by Pavel Okunev of LBNL & the University of California, Berkeley (95K PDF) -- 8 pages -- June 19, 2005 On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models by Jin-Chuan Duan of the University of Toronto, Geneviève Gauthier of HEC, and Jean-Guy Simonato of HEC (256K PDF) -- 22 pages -- June 15, 2005 Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality by Alexandros Benos of the University of Piraeus, and George Papanastasopoulos University of Peloponnese (260K PDF) -- 34 pages -- June 2005 Ratings-based Credit Risk Modelling: An empirical analysis by Pamela Nickell of Moody's KMV, William Perraudin of Imperial College, and Simone Varotto of ISMA Center (602K PDF) -- 26 pages -- May 6, 2005 Calculating Credit Risk Capital Charges with the One-factor Model by Susanne Emmer of Dr. Nagler & Company GmbH, and Dirk Tasche of Deutsche Bundesbank (225K PDF) -- 17 pages -- January 4, 2005 Tail Approximation for Credit Risk Portfolios with Heavy-tailed Risk Factors by Krassimir Kostadinov of the Munich University of Technology (262K PDF) -- 24 pages -- January 2005 Merton's Model, Credit Risk, and Volatility Skews by John Hull of the University of Toronto, Izzy Nelken of Super Computer Consulting Incorporated, and Alan White of the University of Toronto (180K PDF) -- 26 pages -- Winter 2004/05 Shape Factor Models in Credit Risk by Philip Gisdakis of the University of Oxford (452K PDF) -- 56 pages -- December 21, 2004 Risk Measurement with Integrated Market and Credit Portfolio Models by Peter Grundke of the University of Cologne (216K PDF) -- 40 pages -- December 2004 On Bias of Testing Merton's Model by Hoi Ying Wong of the Chinese University of Hong Kong, and Ka Leung Li of the Chinese University of Hong Kong (110K PDF) -- 9 pages -- November 8, 2004 Partial Information and Hazard Process by Monique Jeanblanc of the Université d'Evry, and Stoyan Valchev of ISB Zurich (537K PDF) -- 32 pages -- November 4, 2004 Discrete Credit Barrier Models by Claudio Albanese of Imperial College, London, and Oliver X. Chen of the National University of Singapore (369K PDF) -- 17 pages -- November 2004 A Queueing Network Approach to Portfolio Credit Risk by Mark Davis of the Imperial College, London, and Juan C. Esparragoza of the Imperial College, London (545K PDF) -- 33 pages -- October 31, 2004 Credit Risk Modeling and Valuation: An Introduction by Kay Giesecke of Cornell University (467K PDF) -- 67 pages -- October 24, 2004 The Jarrow and Turnbull Default Risk Model - Evidence from the German Market by Manfred Fruehwirth of Vienna University, and Leopold Soegner of the Technical University of Vienna (565K PDF) -- 49 pages -- October 17, 2004 Sequential Defaults and Incomplete Information by Kay Giesecke of Cornell University, and Lisa R. Goldberg of MSCI Barra, Inc. (211K PDF) -- 26 pages -- Fall 2004 Modeling Credit Risk with Partial Information by Umut Çetin of Cornell University, Robert Jarrow of Cornell University, Philip Protter of Cornell University, and Yıldıray Yıldırım of Syracuse University (103K PDF) -- 12 pages -- August 2004 CreditRisk+ by Fast Fourier Transform by Mario R. Melchiori of the Universidad Nacional del Litoral (672K PDF) -- 19 pages -- July 2004 Credit Risk Modeling with Affine Processes by Darrell Duffie of Stanford University (473K PDF) -- 69 pages -- June 2004 Numerically Stable Computation of CreditRisk+ by Hermann Haaf of Commerzbank AG, Oliver Reiß of IKB Deutsche Industriebank AG, and John Schoenmakers of the Weierstrass Institute (108K PDF) -- 10 pages -- Summer 2004 Structural Versus Reduced Form Models: A New Information Based Perspective by Robert A. Jarrow of Cornell University, and Philip Protter of Cornell University (115K PDF) -- 10 pages -- May 2004 Predictions of Default Probabilities in Structural Models of Debt by Hayne E. Leland of the University of California, Berkeley (206K PDF) -- 31 pages -- April 22, 2004 Replication of Defaultable Claims within the Reduced-Form Framework 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 (380K PDF) -- 47 pages -- April 13, 2004 Forecasting Credit Portfolio Risk by Alfred Hamerle of the Universität Regensburg, Thilo Liebig of Deutsche Bundesbank, and Harald Scheule of the Universität Regensburg (335K PDF) -- 44 pages -- February 2004 Large Portfolio Losses by Amir Dembo of Stanford University, Jean-Dominique Deuschel Technische Universität Berlin, and Darrell Duffie of Stanford University (205K PDF) -- 14 pages -- January 2004 Modeling Default Risk by Peter J. Crosbie of Moody's|KMV, and Jeffrey R. Bohn of Moody's|KMV (480K PDF) -- 31 pages -- December 18, 2003 Common Poisson Shock Models: Applications to insurance and credit risk modelling by Filip Lindskog of Risklab and ETH Zentrum, and Alexander J. McNeil of ETH Zentrum (553K PDF) -- 30 pages -- November 2003 The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models by Ren-raw Chen of Rutgers University (422K PDF) -- 42 pages -- October 24, 2003 Measuring and Marking Counterparty Risk by Eduardo Canabarro of Goldman Sachs, and Darrell Duffie of Stanford University (86K PDF) -- 13 pages -- October 2003 An Extension of the Jarrow-Lando-Turnbull Model to Random Recovery Rate by Pietro Millossovich of the Università degli Studi di Trieste (572K PDF) -- 22 pages -- July 4, 2003 Interacting Defaults and Counterparty Risk: a Markovian Approach by Rüdiger Frey of the University of Leipzig, and Jochen Backhaus of the University of Leipzig (313K PDF) -- 20 pages -- July 2003 Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model by Uwe Wehrspohn of Heidelberg University (337K PDF) -- 19 pages -- May 2003 Enhancing CreditRisk+ by Götz Giese of Commerzbank AG (81K PDF) -- 9 pages -- April 2003 Essentials of Credit Portfolio Management by Kaj Nyström of Swedbank, and Jimmy Skoglund of Swedbank (352K PDF) -- 58 pages -- March 20, 2003 Credit Risk and Macroeconomic Dynamics by M. Hashem Pesaran of the University of Cambridge, and Til Schuermann of the Federal Reserve Bank of New York (701K PDF) -- 6 pages -- March 2003 Modelling Dynamic Portfolio Credit Risk by Ebbe Rogge of the Imperial College of London & ABN AMRO Bank, and Philipp J. Schönbucher of EHT Zurich (379K PDF) -- 28 pages -- February 2003 A Framework for Collateral Risk Control Determination by Diddier Cossin of HEC, University of Lousanne, Zhijiang Huang of Fame and HEC, University of Lousanne, Daniel Aunon-Nerin of Fame and HEC, University of Lousanne, and Fernando González of the European Central Bank (1,894K PDF) -- 48 pages -- January 2003 The Distribution of Loan Portfolio Value by Oldrich Alfons Vasicek of KMV (132K PDF) -- 10 pages -- December 2002 Calculating Value-at-Risk Contributions in CreditRisk+ by Hermann Haaf of Commerzbank AG, and Dirk Tasche of RiskLab Switzerland (246K PDF) -- 12 pages -- November 22, 2002 Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims by Christophette Blanchet-Scalliet of the Université d'Évry Val dEssonne, and Monique Jeanblanc of the Université d'Évry Val dEssonne (176K PDF) -- 14 pages -- November 4, 2002 Tail Behavior of Credit Loss Distributions for General Latent Factor Models by André Lucas of the Tinbergen Institute Amsterdam, Pieter Klaassen of Vrije Universiteit, Peter Spreij of the University of Amsterdam, and Stefan Straetmans of Maastricht University (354K PDF) -- 24 pages -- November 8, 2002 Extreme Tails for Linear Portfolio Credit Risk Models by André Lucas of the Tinbergen Institute Amsterdam, Pieter Klaassen of Vrije Universiteit, Peter Spreij of the University of Amsterdam, and Stefan Straetmans of Maastricht University (311K PDF) -- 14 pages -- October 2002 Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions by Philipp J. Schönbucher of Bonn University (410K PDF) -- 23 pages -- August 2002 Credit Risk Contributions to Value-at-Risk and Expected Shortfall by Alexandre Kurth of UBS AG, and Dirk Tasche of Deutsche Bundesbank (244K PDF -- 12 pages -- July 31, 2002 Unifying Discrete Structural Credit Risk Models and Reduced-Form Models by Cho-Jieh Chen of the University of Waterloo, and Harry Panjer of the University of Waterloo (262K PDF) -- 37 pages -- July 15, 2002 Credit Spread Bounds and their Implications for Credit Risk Modeling by Ren-Raw Chen of Rutgers University, and Jing-zhi Huang of Pennsylvania State University (369K PDF) -- 41 pages -- June 20, 2002 Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment by Hans Rau-Bredow of the Universität Würzburg (134K PDF) -- 16 pages -- June 14, 2002 Optimal Default Boundary in Discrete Time Models by Agata Altieri of the Universitá di Padova, and Tiziano Vargiolu of the Universitá di Padova (212K PDF) -- 16 pages -- June 2002 The Dependence of Recovery Rates and Defaults by Yen-Ting Hu of Birkbeck College, and William Perraudin of Birkbeck College & Bank of England & CEPR (158K PDF) -- 26 pages -- February 2002 VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights by Rüdiger Frey of the University of Zurich, and Alexander J. McNeil of the Federal Institute of Technology (326K PDF) -- 15 pages -- January 23, 2002 Default Risk and Hazard Process by Monique Jeanblanc of Université d'Évry Val d'Essonne, and Marek Rutkowski of the Warsaw University of Technology (416K PDF) -- 32 pages -- December 2001 Modeling the Distance-to-Default Process of a Firm by Marco Avellaneda of New York University, and Jingyi Zhu of the University of Utah (274K PDF) -- 18 pages -- October 26, 2001 A Hybrid Genetic-Quantitative Method for Risk-Return Optimisation of Credit Portfolios by Frank Schlottmann of the Institute AIFB, and Detlef Seese of the University Karlsruhe (362K PDF) -- 27 pages -- October 25, 2001 Calculation of Higher Moments in CreditRisk+ with Applications by Michael B. Gordy of the Federal Reserve Board (157K PDF) -- 20 pages -- September 21, 2001 Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities by Norbert Jobst of the University of Cyprus & Brunel University, and Stavros A. Zenios of the University of Cyprus & University of Pennsylvania (599K PDF) -- 35 pages -- July 2001 On Modelling Credit Risk Using Arbitrage Free Models by Frank S. Skinner of the University of Reading, and Antonio Díaz of the Universidad de Castilla - La Mancha (369K PDF) -- pages 24 -- July 2001 Comparative Analysis of Alternative Credit Risk Models: An application on German middle market loan portfolios by Markus Kern of the Ludwig-Maximilians-University Munich, and Bernd Rudolph of the Ludwig-Maximilians-University Munich (146K PDF) -- 30 pages -- January 2001 Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy by Alexis Derviz of Czech National Bank & Institute of Information Theory and Automation CAS, and Narcisa Kadlčáková of Czech National Bank (403K PDF) -- 77 pages -- 2001 Factor Models for Portfolio Credit Risk by Philipp J. Schönbucher of Bonn University (142K PDF) -- 20 pages -- December 2000 Building a Credit Risk Valuation Framework for Loan Instruments by Scott Aguais of Algorithmics LLP, Larry Forest of Algorithmics LLP, and Dan Rosen of Algorithmics LLP (343K PDF) -- 26 pages -- December 2000 A Simplified Method for Calculating the Credit Risk of Lending Portfolios by Akira Ieda of the Institute for Monetary and Economic Studies, Bank of Japan, Kohei Marumo of the Institute for Monetary and Economic Studies, Bank of Japan, and Toshinao Yoshiba of the Institute for Monetary and Economic Studies, Bank of Japan (445K PDF) -- 34 pages -- December 2000 A Comparison of Stochastic Default Rate Models by Christopher C. Finger of the RiskMetrics Group (111K PDF) -- 34 pages -- August 2000 Modelling Credit Risk in Indian Bond Markets by Jayanth R. Varma of the Indian Institute of Management, and V. Raghunathan of the Indian Institute of Management (113K PDF) -- 18 pages -- June 2000 Modelling of Default Risk: Mathematical Tools by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and Marek Rutkowski of the Warsaw University of Technology (864K PDF) -- 67 pages -- March 30, 2000 A Comparative Anatomy of Credit Risk Models by Michael B. Gordy of the Federal Reserve Board (481K PDF) -- 31 pages -- January 2000 A Comparative Analysis of Current Credit Risk Models by Michel Crouhy of the Canadian Imperial Bank of Commerce, Dan Galai of the Hebrew University, and Robert Mark of the Canadian Imperial Bank of Commerce (1,585K PDF) -- 59 pages -- January 2000 Analytical Value-At-Risk with Jumps and Credit Risk by Darrell Duffie of Stanford University, and Jun Pan of Stanford University (379K PDF) -- 27 pages -- November 29, 1999 Modelling of Default Risk: an Overview by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and Marek Rutkowski of the Warsaw University of Technology (724K PDF) -- 58 pages -- October 27, 1999 An Integrated Market and Credit Risk Portfolio Model by Ian Iscoe of Algorithmics Inc., Alex Kreinin of Algorithmics Inc., and Dan Rosen of Algorithmics Inc. (512K PDF) -- 18 pages -- September 1999 Devil in the Parameters by H. Ugur Koyluoglu, Anil Bangia, and Thomas Garside all of Oliver, Wyman & Company (171K PDF) -- 30 pages -- July 26, 1999 Credit Risk Modelling by Patricia Jackson of the Bank of England, Pamela Nickell of the Bank of England, and William Perraudin of the Bank of England (373K PDF) -- 28 pages -- June 1999 Credit Risk Modelling: Current practices and applications by the Basle Committee on Banking Supervision (290K PDF) -- 65 pages -- April 1999 Some Elements of Rating-Based Credit Risk Modeling by David Lando of the University of Copenhagen (192K PDF) -- 22 pages -- February 24, 1999 Integrating Interest Rate Risk and Credit Risk in Asset and Liability Management by Robert A. Jarrow of Cornell University, and Donald R. van Deventer of Kamakura Corporation (143K PDF) -- 20 pages -- December 28, 1998 Portfolio Credit Risk by Thomas C. Wilson of McKinsey and Company (259K PDF) -- 12 pages -- October 1998 A One-Parameter Representation of Credit Risk and Transition Matrices by Lawrence R. Forest, Jr. of KPMG Peat Marwick, Barry Belkin of Daniel H. Wagner Associates, and Stephan J. Suchower of Daniel H. Wagner Associates (96K HTML) -- 9 pages -- Third Quarter 1998 A Generalized Framework for Credit Risk Portfolio Models by H. Ugur Koyluoglu of Oliver, Wyman & Company, and Andrew Hickman of CSFP Capital, Inc. (137K PDF) -- 19 pages -- September 14, 1998 From CreditMetrics to CreditRisk+ and Back Again by Michael B. Gordy of the Federal Reserve Board (141K PDF) -- 9 pages -- June 23, 1998 Credit Risk Models at Major U.S. Banking Institutions: Current state of the art and implications for assessments of capital adequacy by the Task Force on Internal Credit Risk Models of the Federal Reserve System (145K PDF) -- 58 pages -- May 1998 Probabilistic Aspects of Default Risk Modeling by Tomasz Bielecki of Northeastern Illinois University, and Marek Rutkowski of the Technical University of Warsaw (386K PDF) -- 24 pages -- 1998 A Markov Model for the Term Structure of Credit Risk Spreads by Robert A. Jarrow of Cornell University, David Lando of the University of Copenhagen, and Stuart M. Turnbull of Queen's University (467K PDF) -- 43 pages -- Summer 1997 A Jump- Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities by Chunsheng Zhou of the Federal Reserve Board (349K PDF) -- 49 pages -- March 1997 Probability of Loss on Loan Portfolio by Oldrich Vasicek of KMV Corp. (55K PDF) -- 6 pages -- February 12, 1987 Limiting Loan Loss Probability Distribution by Oldrich Vasicek of KMV Corp. (55K PDF) -- 6 pages -- August 9, 1991 Credit Valuation by Oldrich Alfons Vasicek of KMV, LLC (161K PDF) -- 18 pages -- March 22, 1984 |