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. (November-1)
Does a Central Clearing Counterparty Reduce Counterparty Risk?
by Darrell Duffie of Stanford University, and
Haoxiang Zhu of Stanford University
(207K PDF) -- 18 pages -- July 1, 2009 Risk Management Framework for Hedge Funds Role of Funding and Redemption Options on Leverage
by John Dai of Capula Investment Management, LLP., and
Suresh Sundaresan of Capula Investment Management, LLP. & Columbia University
(317K PDF) -- 41 pages -- July 2009 Variance-Covariance Based Risk Allocation in Credit Portfolios: Analytical approximation
by Mikhail Voropaev of ING Bank
(1,215K PDF) -- 8 pages -- May 2009 The Credit Crunch of 2007: What went wrong? Why? What lessons can be learned?
by John C. Hull of the University of Toronto
(329K PDF) -- 18 pages -- May 2009 Additivity Properties for Value-at-Risk under Archimedean Dependence and Heavy-tailedness
by Paul Embrechts of ETH Zurich,
Johanna Nešlehová of ETH Zurich, and
Mario V. Wüthrich of ETH Zurich
(225K PDF) -- 17 pages -- Spring 2009 Optimal Investment with Counterparty Risk: A default-density modeling approach
by Ying Jiao of Université Paris 7, and
Huyên Pham of Université Paris 7 & Institut Universitaire de France
(223K PDF) -- 22 pages -- March 3, 2009 Wavelet Analysis of Business Cycles for Validation of Probability of Default: What is the influence of the current credit crisis on model validation?
by Marco van der Burgt of Atradius N.V.
(162K PDF) -- 18 pages -- January 2009 The Future of Securitization
by Günter Franke of the University of Konstanz & Goethe University, and
Jan Pieter Krahnen of Goethe-University Frankfurt
(321K PDF) -- 59 pages -- November 28, 2008 A Likelihood Ratio Test for Stationarity of Rating Transitions
by Rafael Weißbach of the Technische Universität Dortmund, and
Ronja Walter of the Technische Universität Dortmund
(252K PDF) -- 23 pages -- November 27, 2008 Optimal Reinsurance Arrangements Under Tail Risk Measures
by Carole Bernard of the University of Waterloo, and
Weidong Tian of the University of North Carolina at Charlotte
(504K PDF) -- 17 pages -- November 23, 2008 Can Rating Agencies Look Through the Cycle?
by Gunter Löffler of the University of Ulm
(214K PDF) -- 31 pages -- October 2008 Measuring the Risk of Large Losses
by Kay Giesecke of Stanford University,
Thorsten Schmidt of the Universität Leipzig, and
Stefan Weber of Cornell University
(285K PDF) -- 15 pages -- Q4 2008 What Accounts for Time Variation in the Price of Default Risk?
by Ronald W. Anderson of the London School of Economics
(272K PDF) -- 36 pages -- August 2008 Rating Watchlists and the Informational Content of Rating Changes
by Christian Hirsch of Goethe-University Frankfurt, and
Christina E. Bannier of Frankfurt School of Finance and Management
(209K PDF) -- 40 pages -- September 2, 2008 Capital Allocation to Business Units and Sub-Portfolios: The Euler principle
by Dirk Tasche of Lloyds TSB Bank
(396K PDF) -- 22 pages -- June 22, 2008 Fitch Ratings 1991–2007 Global Structured Finance Transition and Default Study
by Stephanie K. Mah of Fitch Ratings, and
Mariarosa Verde of Fitch Ratings
(585K PDF) -- 36 pages -- April 18, 2008 Forced Selling of Fallen Angels
by Brent W. Ambrose of Pennsylvania State University,
Nianyum (Kelly) Cai of the University of Michigan, Dearborn, and
Jean Helwege of Pennsylvania State University
(109K PDF) -- 35 pages -- March 14, 2008 The Cyclical Behavior of Default and Recovery Rates
by Kyriakos Chourdakis of FitchSolutions & University of Essex
(404K PDF) -- 31 pages -- March 2008 Do Unsolicited Ratings Contain a Strategic Rating Component? Evidence from S&P
by Christina E. Bannier of Frankfurt School of Finance and Management,
Patrick Behr of Goethe-University Frankfurt, and
André Güttler of the International University, Rheingaustr
(238K PDF) -- 30 pages -- February 28, 2008 Dynamic Credit Portfolio Management: Linking credit risk systems, securitization and standardised credit indices
by João Garcia of Dexia Group,
Serge Goossens of Dexia Bank, and
Jeroen Lamoot of Banking, Finance and Insurance Commission, CBFA
(2,800K PDF) -- 47 pages -- January 31, 2008 Linking Credit Risk Premia to the Equity Premium
by Tobias Berg of the Technische Universität München, and
Christoph Kaserer of the Technische Universität München
(437K PDF) -- 36 pages -- January 6, 2008 Laying off Credit Risk: Loan Sales versus Credit Default Swaps
by Christine A. Parlour of the University of California, Berkley, and
Andrew Winton of the University of Minnesota
(210K PDF) -- 27 pages -- November 17, 2007 Calibration of PD Term Structures: To be Markov or not to be
by Christian Bluhm of Credit Suisse, and
Ludger Overbeck of the University of Giessen
(425K PDF) -- 6 pages -- November 2007 Ownership Links, Leverage and Credit Risk
by Elisa Luciano of the Università di Torino, and
Giovanna Nicodano of the Università di Torino
(458K PDF) -- 47 pages -- November 2007 Capital Allocation for Credit Portfolios with Kernel Estimators
by Dirk Tasche of Fitch Ratings, QR
(366K PDF) -- 21 pages -- November 2007 An Integrated Model for Hybrid Securities
by Sanjiv R. Das of Santa Clara University, and
Rangarajan K. Sundaram of New York University
(274K PDF) -- 17 pages -- October 2007 Hedging under the Heston Model with Jump-to-Default
by Peter Carr of Bloomberg LP & Courant Institute of Mathematical Sciences, and
Wim Schoutens of Katholieke Universiteit Leuven
(217K PDF) -- 12 pages -- September 21, 2007 Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration
by Ashay Kadam of City University, London, and
Peter Lenk of the University of Michigan
(273K PDF) -- 46 pages -- September 7, 2007 Capital Structure Arbitrage: Model choice and volatility calibration
by Claus Bajlum of Danmarks Nationalbank & Copenhagen Business School, and
Peter Tind Larsen of the University of Aarhus
(542K PDF) -- 52 pages -- August 29, 2007 Credit Rating Dynamics and Markov Mixture Models
by Halina Frydman of New York University, and
Til Schuermann of the Federal Reserve Bank of New York & University of Pennsylvania
(412K PDF) -- 32 pages -- August 2007 What Credit Ratings Mean
by Credit Policy Group of Fitch Ratings
(191K PDF) -- 15 pages -- August 2007 Adaptive Importance Sampling for Credit Risk Measurement
by Claudia Strauch of Ulm University
(409K PDF) -- 19 pages -- July 10, 2007 The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations
by François Coppens of the National Bank of Belgium,
Fernando González of the European Central Bank, and
Gerhard Winkler of Oesterreichische Nationalbank
(1,463K PDF) -- 42 pages -- July 2007 Interaction of Market and Credit Risk: An analysis of inter-risk correlation and risk aggregation
by Klaus Böcker of UniCredit Group, and
Martin Hillebrand of Munich University of Technology
(252K PDF) -- 25 pages -- June 27, 2007 Fitch CDS Implied Ratings (CDS-IR) Model
by Alexander Reyngold of FitchSolutions, QR,
Ahmet E. Kocagil of FitchSolutions, QR, and
Greg M. Gupton of FitchSolutions, QR
(564K PDF) -- 14 pages -- June 13, 2007 Pricing and Hedging in the Presence of Extraneous Risks
by Pierre Collin-Dufresne of the University of California Berkeley, and
Julien Hugonnier of the Swiss Finance Institute & HEC Université de Lausanne
(415K PDF) -- 24 pages -- June 2007 Compound Scenarios: An efficient framework for integrated market-credit risk
by Ben De Prisco of Algorithmics, Inc.,
Ian Iscoe of Algorithmics, Inc.,
Yijun Jiang of Algorithmics, Inc., and
Helmut Mausser of Algorithmics, Inc.
(659K PDF) -- 32 pages -- May 9, 2007 How Much Credit in Credit Risk Models?
by Gary van Vuuren of Fitch Ratings,
Krishnan Ramadurai of Fitch Ratings,
Greg M. Gupton of Fitch Ratings, QR,
Eileen Fahey of Fitch Ratings,
Ian Linnell of Fitch Ratings,
David Marshall of Fitch Ratings,
Kim Olson of Algorithmics, Inc., and
Diane Reynolds of Algorithmics, Inc.
(218K PDF) -- 15 pages -- May 8, 2007 Mathematics in Financial Risk Management
by Ernst Eberlein of the Universität Freiburg,
Rüdiger Frey of the Universität Leipzig,
Michael Kalkbrener of Deutsche Bank AG, and
Ludger Overbeck of Universität Giessen
(381K PDF) -- 25 pages -- March 31, 2007 Tightening Credit Standards: The Role of Accounting Quality
by Philippe Jorion of the University of California at Irvine,
Charles Shi of the University of California at Irvine, and
Sanjian Zhang of Lehigh University
(335K PDF) -- 51 pages -- March 2007 Portfolio Optimization with a Defaultable Security
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Inwon Jang of Merrimack College
(246K PDF) -- 21 pages -- February 27, 2007 Apples and Pears: The comparison of risk capital and required return in financial institutions
by Alistair Milne of City University, London & Bank of Finland, and
Mario Onorato of Algorithmics, Inc. & City University, London
(266K PDF) -- 42 pages -- February 2007 Bond Durations: Corporates vs. Treasuries
by Holger Kraft of the University of Kaiserslautern, and
Claus Munk of the University of Southern Denmark
(260K PDF) -- 28 pages -- January 19, 2007 The Costs of Financial Distress across Industries
by Arthur Korteweg of the University of Chicago
(353K PDF) -- 68 pages -- January 15, 2007 Optimal Investment in a Defaultable Bond
by Peter Lakner of New York University, and
Weijian Liang of New York University
(368K PDF) -- 44 pages -- January 12, 2007 Leverage, Options Liabilities and Corporate Bond Pricing
by Hueng-Ming Huang of Syracuse University, and
Yildiray Yildirim of Syracuse University
(248K PDF) -- 38 pages -- January 10, 2007 Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
by An Chen of the University of Bonn
Michael Suchanecki of the University of Bonn
(327K PDF) -- 34 pages -- January 8, 2007 Rating Philosophies: Some Clarifications
by Zoltan Varsanyi of the Magyar Nemzeti Bank
(245K PDF) -- 16 pages -- January 2007 Default Risk Premia and Asset Returns
by Antje Berndt of Carnegie Mellon University,
Aziz A. Lookman of Carnegie Mellon University & FDIC, and
Iulian Obreja of Carnegie Mellon University
(429K PDF) -- 49 pages -- December 18, 2006 Affine Markov Chain Model of Multifirm Credit Migration
by Tom R. Hurd of McMaster University, and
Alexey Kuznetsov of McMaster University
(1,206K PDF) -- 32 pages -- December 15, 2006 Distribution-Invariant Risk Measures, Entropy, and Large Deviations
by Stefan Weber of Cornell University
(246K PDF) -- 24 pages -- December 4, 2006 Capital Structure, Credit Risk, and Macroeconomic Conditions
by Dirk Hackbarth of Washington University,
Jianjun Miao of Boston University, and
Erwan Morellec of the University of Lausanne & CEPR
(374K PDF) -- 32 pages --December 2006 Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds
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, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(282K PDF) -- 22 pages -- November 28, 2006 An Efficient Monte Carlo Method for a Large and Nongranular Credit Portfolio
by Hideaki Higo of the Bank of Japan
(348K PDF) -- 34 pages -- November 2006 An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications
by Andrea Macrina of King's College London
(732K PDF) -- 136 pages -- October 24, 2006 The Organization of Credit Risk Management in Banks: Hard versus Soft Information
by Brigitte Godbillon-Camus of the Université Robert Schuman, and
Christophe J. Godlewski of the Université Louis Pasteu
(194K PDF) -- 24 pages -- October 2, 2006 Bank Behavior with Access to Credit Risk Transfer Markets
by Benedikt Goderis of Oxford University,
Ian W. Marsh of Cass Business School,
Judit Vall Castello of Maastricht University, and
Wolf Wagner of Tilburg University
(174K PDF) -- 28 pages -- October 2006 Are Corporates' Target Leverage Ratios Time-Dependent?
by Cho-Hoi Hui of the Hong Kong Monetary Authority
Chi-Fai Lo of the Chinese University of Hong Kong, and
Ming-Xi Huang of the Chinese University of Hong Kong
(227K PDF) -- 17 pages -- September 2006 Importance Sampling for Integrated Market and Credit Portfolio Models
by Peter Grundke of the University of Cologne
(404K PDF) -- 45 pages -- September 2006 Fitch Ratings Global Corporate Finance 1990–2005 Transition and Default Study
by Charlotte L. Needham of Fitch Ratings, and
Mariarosa Verde of Fitch Ratings
(412K PDF) -- 19 pages -- August 3, 2006 Valuation of Capital Structure using Simulation Techniques
by Yevgeny Goncharov Florida State University, and
Yaacov Kopeliovich of MEAG New York
(3,392K PDF) -- 18 pages -- August 1, 2006 Default Estimation for Low Default Portfolios
by Nicholas M. Kiefer of Cornell University
(219K PDF) -- 28 pages -- August 2006 Capital Allocation for Portfolio Credit Risk
by Paul H. Kupiec of the Federal Deposit Insurance Corporation
(871K PDF) -- 35 pages -- August 2006 Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
by Stephan Tilke of the University of Regensburg
(189K PDF) -- 15 pages -- August 2006 Risk and Return in Fixed-income Arbitrage: Nickels in front of a steamroller?
by Jefferson Duarte of the University of Washington,
Francis Longstaff of the University of California, Los Angeles, and
Fan Yu of the University of California, Irving
(532K PDF) -- 43 pages -- July 6, 2006 Optimal Bank Capital with Costly Recapitalization
by Samu Peura of Sampo plc, and
Jussi Keppo of the University of Michigan
(497K PDF) -- 39 pages -- July 2006 Default Risk, Shareholder Advantage and Stock Returns
by Lorenzo Garlappi of the University of Texas at Austin,
Tao Shu of the University of Texas at Austin, and
Hong Yan of the University of Texas at Austin and SEC
(311K PDF -- 48 pages -- July 2006 The Rating Process
by Credit Policy Group of Fitch Ratings
(173K PDF) -- 10 pages -- July 2006 Measuring Provisions for Collateralised Retail Lending
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong,
Tak-Chuen Wong of the Hong Kong Monetary Authority, and
Po-Kong Man of the Chinese University of Hong Kong
(383K PDF) – 19 pages -- July 2006 After VaR: The Theory, Estimation, and Insurance Applications of Quantile-based Risk Measures
by Kevin Dowd of Nottingham University, and
David Blake of Cass Business School
(187K PDF) -- 39 pages -- June 2006 The Role of Support and Joint Probability Analysis in Bank Ratings
by Gerry Rawcliffe of Fitch Ratings
et.at.
(140K PDF) -- 12 pages -- May 31, 2006 International Structured Finance Rating Comparability Survey
by Mariarosa Verde of Fitch Ratings,
Ian Rasmussen of Fitch Ratings,
Robert Grossman of Fitch Ratings, and
Huxley Somerville of Fitch Ratings
(243K PDF) -- 13 pages -- May 16, 2006 Should Banks Be Diversified? Evidence from individual bank loan portfolios
by Viral V. Acharya of the London Business School,
Iftekhar Hasan of the Rensselaer Polytechnic Institute, and
Anthony Saunders of New York University
(301K PDF) -- 58 pages -- May 2006 Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11
by Mark Broadie of Columbia University,
Mikhail Chernov of Columbia University, and
Suresh Sundaresan of Columbia University
(376K PDF) -- 52 pages -- May 2006 Time to Change - Rating Changes and Policy Implications
by Peter N. Posch of the University of Ulm
(675K PDF) -- 44 pages -- April 2, 2006 1986-2002 Credit Risk Loss Experience Study: Private Placement Bonds
by the Private Placement Committee of the Society of Actuaries
(1,902K PDF) -- 289 pages -- April 2006 Estimating Continuous Time Transition Matrices From Discretely Observed Data
by Yasunari Inamura of the Bank of Japan
(351K PDF) -- 41 pages -- April 2006 Nonparametric Estimation for Non-homogeneous semi-Markov Processes: An application to credit risk
by André Lucas of Vrije Universiteit Amsterdam,
André Monteiro of Vrije Universiteit Amsterdam, and
Georgi Smirnov of the University of Porto
(608K PDF) -- 43 pages -- March 13, 2006 Graphical Data Representation in Bankruptcy Analysis
by Wolfgang K. Härdle of Humboldt-Universität zu Berlin,
Rouslan A. Moro of Humboldt-Universität zu Berlin, and
Dorothea Schäfer of the German Institute for Economic Research
(1,961K PDF) -- 24 pages -- February 24, 2006 Pricing and Hedging of Contingent Credit Lines
by Elena Loukoianova of the International Monetary Fund,
Salih N. Neftci of CUNY, and
Sunil Sharma of the International Monetary Fund
(1,082K PDF) -- 26 pages -- January 2006 The Influence of FX Risk on Credit Spreads
by Philippe Ehlers of ETH Zürich, and
Philipp Schönbucher of ETH Zürich
(372K PDF) -- 35 pages -- January 2006 The Cost of Distress: Survival, Truncation Risk and Valuation
by Aswath Damodaran of New York University
(948K PDF) -- 50 pages -- January 2006 Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles
by Alexander David of the University of Calgary
(669K PDF) -- 59 pages -- December 2005 Better Predictions of Income Volatility Using a Structural Default Model
by Roger M. Stein of Moody's Investors Service, and
Felipe Jordão of Moody's Investors Service
(787K PDF) -- 29 pages -- November 26, 2005 Time Series Properties of a Rating System based on Financial Ratios
by Ulrich Krüger of Deutsche Bundesbank,
Martin Stötzel of the Universität Karlsruhe, and
Stefan Trück of the Universität Karlsruhe
(926K PDF) -- 60 pages -- November 23, 2005 Measuring Default Risk Premia from Default Swap Rates and EDFs
by Antje Berndt of Carnegie Mellon University,
Rohan Douglas of Quantifi LLC,
Darrell Duffie of Stanford University,
Mark Ferguson of Quantifi LLC, and
David Schranz of CIBC
(889K PDF) -- 56 pages -- November 15, 2005 Bank Lines of Credit in Corporate Finance: An Empirical Analysis
by Amir Sufi of the University of Chicago
(173K PDF) -- 48 pages -- October 24, 2005 The Pricing Implications of Counterparty Risk for Non-linear Credit Products
by Stuart M. Turnbull of the University of Houston
(200K PDF) -- 39 pages -- October 21, 2005 Heterogeneity in Ratings Migration
by Ashay Kadam of the City University, London, and
Peter Lenk of the University of Michigan
(502K PDF) -- 29 pages -- October 17, 2005 Global Business Cycles and Credit Risk
by M. Hashem Pesaran of the University of Cambridge,
Til Schuermann of the Federal Reserve Bank of New York & Wharton Financial Institutions Center, and
Björn-Jakob Treutler of Mercer Oliver Wyman
(837K PDF) -- 61 pages -- September 2005 Efficient Monte Carlo Methods for Convex Risk Measures in Portfolio Credit Risk Models
by Jörn Dunkel of the Max-Planck-Institute, and
Stefan Weber of Cornell University
(315K PDF) -- 27 pages -- August 25, 2005 Testing Homogeneity of Time-Continuous Rating Transitions
by Rafael Weißbach of Dortmund University of Technology,
Patrick Tschiersch of WestLB, and
Claudia Lawrenz of WestLB
(244K PDF) -- 20 pages -- August 23, 2005 Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies
by Tor Jacobson of Sveriges Riksbank,
Jesper Lindé of Sveriges Riksbank, and
Kasper Roszbach of Sveriges Riksbank
(325K PDF) -- 33 pages -- August 5, 2005 New Predicting the Credit Cycle with an Autoregressive Model
by Steffi Höse of Technische Universität Dresden, and
Konstantin Vogl of Technische Universität Dresden
(790K PDF) -- 18 pages -- August 2, 2005 A Conditional Valuation Approach for Path-Dependent Instruments
by Dante Lomibao of Bank of America, and
Steven Zhu of Bank of America
(284K PDF) -- 18 pages -- August 2005 Economic Benefit of Powerful Credit Scoring
by Andreas Blöchlinger of Credit Suisse, and
Markus Leippold of the Swiss Banking Institute, University of Zürich
(579K PDF) -- 42 pages -- July 20, 2005 Confidence Intervals for Probabilities of Default
by Samuel Hanson of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(388K PDF) -- 44 pages -- July 19, 2005 A Model of Credit Risk Optimal Policies, and Asset Prices
by Suleyman Basak of the London Business School, and
Alex Shapiro of New York University
(1,007K PDF) -- 52 pages -- July 2005 Stock Market Performance and the Term Structure of Credit Spreads
by Andriy Demchuk of the Swiss Banking Institute, and
Rajna Gibson of the Swiss Banking Institute
(388K PDF) -- 60 pages -- June 2005 Credit Portfolio Risk and PD Confidence Sets through the Business Cycle
by Stefan Trück of the Universität Karlsruhe, and
Svetlozar T. Rachev of the Universität Karlsruhe & the University of California, Santa Barbara
(350K PDF) -- 35 pages -- May 31, 2005 Risk Contributions in an Asymptotic Multi-Factor Framework
by Dirk Tasche of Deutsche Bundesbank
(368K PDF) -- 22 pages -- May 20, 2005 "Surprise" in Distress Announcements: Evidence from Equity and Bond Markets
by Navneet Arora of Moody' KMV,
Jeffrey R. Bohn of Moody' KMV, and
Fanlin Zhu of Moody' KMV
(394K PDF) -- 38 pages -- May 12, 2005 How to Invest Optimally in Corporate Bonds: A reduced-form approach
by Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(538K PDF) -- 35 pages -- May 10, 2005 A Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements
by Damiano Brigo of Banca IMI,
Massimo Masetti of Banca IMI
(264K PDF) -- 31 pages -- May 4, 2005 The Relationship Between Default Prediction and Lending Profits: Integrating ROC analysis and loan pricing
by Roger M. Stein of Moody's KMV
(359K PDF) -- 24 pages -- May 2005 Forecasting Extreme Financial Risk
by Kay Giesecke of Cornell University, and
Lisa Goldberg of MSCI Barra
(375K PDF) -- 22 pages -- April 11, 2005 Implied Migration Rates from Credit Barrier Models
by Claudio Albanese of Imperial College London,
Oliver X. Chen of the National University of Singapore
(493K PDF) -- 38 pages -- March 11, 2005 Modelling the Economic Value of Credit Rating Systems
by Rainer Jankowitsch of Vienna University of Economics and Business Administration, and
Stefan Pichler of Vienna University of Economics and Business Administration
(258K PDF) -- 38 pages -- March 2005 The Effects of Rating through the Cycle on Rating Stability, Rating Timeliness and Default Prediction Performance
by Edward I. Altman of the New York University, and
Herbert A. Rijken of Vrije Universiteit Amsterdam
(236K PDF) -- 39 pages -- March 2005 Non-Linear Effects of Bond Rating Changes
by Philippe Jorion of the University of California at Irvine, and
Gaiyan Zhang of the University of California at Irvine
(166K PDF) -- 34 pages -- March 2005 Optimal Credit Limit Management Under Different Information Regimes
by Markus Leippold of the University of Zürich,
Paolo Vanini of the University of Zürich & Zürcher Kantonalbank, and
Silvan Ebnoether of Zürcher Kantonalbank
(466K PDF) -- 29 pages -- February 27, 2005 A General Approach to Integrated Risk Management with Skewed Fat-tailed Risks
by Joshua Rosenberg of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(641K PDF) – 69 pages -- February 4, 2005 Accounting Fraud and the Pricing of Corporate Liabilities Structural Models with Garbling
by Angelo Baglioni of the Catholic University of the Sacred Heart, and
Umberto Cherubini of the University of Bologna
(408K PDF) -- 33 pages -- February 2005 Predicting Agency Rating Movements with Spread Implied Ratings
by Jianming Kou of the University of Reading, and
Simone Varotto of the University of Reading
(816K PDF) -- 31 pages -- December 22, 2004 Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
by Edward Altman of New York University,
Amar Gande of Vanderbilt University, and
Anthony Saunders of New York University
(266K PDF) -- 45 pages -- December 2004 Why Do Firms Pay for Bond Ratings When They Can Get Them for Free? (Job Market Paper)
by Yingjin Hila Gan of the University of Pennsylvania
(175K PDF) -- 51 pages -- November 21, 2004 Measurement, Estimation and Comparison of Credit Migration Matrices
by Yusuf Jafry of the Risk Integrated Group, and
Til Schuermann of the Federal Reserve Bank of New York
(441K PDF) -- 37 pages -- November 2004 Ratings Versus Market-based Measures of Default Risk in Portfolio Governance
by Gunter Löffler of the University of Ulm
(254K PDF) -- 38 pages -- November 2004 Tail Approximations for Portfolio Credit Risk
by Paul Glasserman of Columbia Business School
(1,230K PDF) -- 33 pages -- October 2004 Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies?
by Christophe J. Godlewski of LaRGE, Université Robert Schuman
(187K PDF) -- 27 pages -- August 31, 2004 Spectral Capital Allocation
by Ludger Overbeck of the Institute of Mathematics, University of Giessen & HypoVereinbank
(111K PDF) -- 12 pages -- July 27, 2004 Accounting Quality and Debt Contracting
by Sreedhar T. Bharath of the University of Michigan,
Jayanthi Sunder of Northwestern University, and
Shyam V. Sunder of Northwestern University
(214K PDF) -- 48 pages -- July 2004 Structural Models in Consumer Credit
by Fabio Wendling Muniz de Andrade of EAESP-FGV / SERASA – Brazil, and
Lyn Thomas of the University of Southampton
(183K PDF) -- 29 pages -- July 2004 Market Dynamics Associated with Credit Ratings: A Literature Review
by Fernando Gonzalez of the European Central Bank,
François Haas of the Banque De France,
Ronald Johannes of the Bank Of England,
Mattias Persson of Sveriges Riksbank,
Liliana Toledo of the Banco De España,
Roberto Violi of the Banca D'italia,
Carmen Zins of Deutsche Bundesbank, and
Martin Wieland of Deutsche Bundesbank
(600K PDF) -- 40 pages -- June 2004 A Simple Model for Credit Migration and Spread Curves
by Li Chen of Princeton University, and
Damir Filipović of the Federal Office of Private Insurance, Switzerland
(257K PDF) -- 28 pages -- May 26, 2004 Asset Allocation with Dependent Default Risk
by K.C. Cheung of the University of Hong Kong, and
H. Yang of the University of Hong Kong
(258K PDF) -- 22 pages -- May 18, 2004 Mean- Variance Hedging of Defaultable Claims
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
(300K PDF) -- 31 pages -- May 1, 2004 Avoiding the Rating Bounce: Why rating agencies are slow to react to new information
by Gunter Löffler of the University of Ulm
(122K PDF) -- 31 pages -- May 2004 Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds
by Stephen M. Schaefer of the London Business School, and
Ilya A. Strebulaev of the London Business School
(235K PDF) -- 37 pages -- May 2004 Default Risk in Equity Returns
by Maria Vassalou of Columbia University, and
Yuhang Xing of Columbia University
(224K PDF) -- 38 pages -- April 2004 Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures
by Pascal François of HEC Montreal, and
Erwan Morellec of the University of Lausanne, University of Rochester, & FAME
(159K PDF) -- 25 pages -- April 2004 How Rating Agencies Achieve Rating Stability
by Edward I. Altman of New York University, and
Herbert A. Rijken of Vrije Universiteit Amsterdam
(617K PDF) -- 45 pages -- April 2004 Market Completeness in the Presence of Default Risk
by Nordine Bennani of Société Générale, and
Monique Jeanblanc of the Université d'Evry
(187K PDF) -- 16 pages -- April 2004 An Internal Ratings Migration Study
by Michel Araten of JP Morgan Chase,
Michael Jacobs Jr. of JP Morgan Chase,
Peeyush Varshney of JP Morgan Chase, and
Claude R. Pellegrino of JP Morgan Chase
(52K PDF) -- 6 pages -- April 2004 Risk Management, Capital Structure and Lending at Banks
by A. Sinan Cebenoyan of Hofstra University, and
Philip E. Strahan of Boston College
(257K PDF) -- 25 pages -- January 2004 Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk
by Paul Glasserman of Columbia University, and
Jingyi Li of Columbia University
(195K PDF) -- 9 pages -- December 7, 2003 Default- and Call-Adjusted Duration for Corporate Bonds
by Gady Jacob of the University of Manitoba, and
Gordon S. Roberts of York University
(281K PDF)-- 25 pages -- December 2003 What is a More Powerful Model Worth?
by Roger M. Stein of Moody's KMV, and
Felipe Jordão of Moody's KMV
(211K PDF) -- 19 pages -- November 13, 2003 Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università "LUISS-Guido Carli",
Andrea Sironi of the Università "Luigi Bocconi", and
Cristiano Zazzara of Capitalia & Università "LUISS-Guido Carli"
(122K PDF) -- 29 pages -- August 2003 Equity Returns Following Changes in Default Risk: New insights into the informational content of credit ratings
by Maria Vassalou of Columbia University, and
Yuhang Xing of Columbia University
(389K PDF) -- 50 pages -- July 18, 2003 Debtor-in-possession Financing and Bankruptcy Resolution: Empirical Evidence
by Sandeep Dahiya of Georgetown University,
Kose John of New York University,
Manju Puric of Stanford University, and
Gabriel Ramírez of Kennesaw State University
(296K PDF) -- 22 pages -- July 2003 Pricing Vulnerable Black-Scholes Options with Dynamic Default Barriers
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong, and
Hon Chor Lee of the Chinese University of Hong Kong
(664K PDF) -- 8 pages -- Summer 2003 An Analytic Approach to Rating Transitions
by Carsten Binnenhei of Landesbank Baden-Wuerttemberg
(332K PDF) -- 23 pages -- June 3, 2003 The Informational Content and Accuracy of Implied Asset Volatility as a Measure of Total Firm Risk
by Stanislava M. Nikolova of the University of Florida
(215K PDF) -- 39 pages -- May 15, 2003 Spectral Risk Measures for Credit Portfolios
by Claudio Albanese of the University of Toronto, and
Stephan Lawi of the University of Toronto & the National University of Singapore
(379K PDF) -- 17 pages -- April 15, 2003 Inferring the Default Rate in a Population by Comparing Two Incomplete Default Databases
by Douglas W. Dwyer of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(309K PDF) -- 13 pages -- March 27, 2003 An Examination of Rating Agencies' Actions Around the Investment-Grade Boundary
by Richard Johnson of the Federal Reserve Bank of Kansas City
(394K PDF) -- 34 pages -- February 2003 Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective (Job Market Paper)
by Yuanfeng Hou of Yale University
(620K PDF) -- 53 pages -- January 2003 A Survey of Cyclical Effects in Credit Risk Measurement Models
by Linda Allen of the University of New York, and
Anthony Saunders of New York University
(312K PDF) -- 43 pages -- January 2003 Estimation in the Continuous Time Mover-stayer Model with an Application to Bond Ratings Migration
by Halina Frydman of New York University, and
Ashay Kadam of the University of Michigan Business School
(547K PDF) -- 24 pages -- December 19, 2002 Simulating Historical Ratings Transition Matrices for Credit Risk Analysis in Mathematica
by Mark S. Coleman of the Chatham Research Alliance
(1,589K PDF) -- 9 pages -- October 28, 2002 Affine Processes and Applications in Finance
by Darrell Duffie of Stanford University,
Damir Filipović of Princeton University, and
Walter Schachermayer of the Vienna University of Technology
(492K PDF) -- 59 pages -- September 24, 2002 Implications of Correlated Default For Portfolio Allocation to Corporate Bonds
by Mark B. Wise of the California Institute of Technology, and
Vineer Bhansali of PIMCO
(171K PDF) -- 18 pages -- September 3, 2002 Default Episodes in the 90s: Factbook and Preliminary Lessons
by Federico Sturzenegger of the Universidad Torcuato Di Tella
(603K PDF) -- 93 pages -- June 2002 The Economics of the Bank and of the Loan Book
by Stephen Kealhofer of Moody's|KMV
(951K PDF) -- 33 pages -- May 1, 2002 Is Banks' Cost of Equity Capital Different Across Countries? Evidence from the G10 Countries Major Banks
by Aurelio Maccario of the Università Luiss,
Andrea Sironi of the Università Bocconi, and
Cristiano Zazzara of the Università Luiss"
(357K PDF) -- 33 pages -- May 2002 Of Moody's and Merton: a structural model of bond rating transitions
by Michael Gordy of the Federal Reserve Board, and
Erik Heitfield of the Federal Reserve Board
(128K PDF) -- 24 pages -- June 4, 2001 Loan Equivalents for Revolving Credits and Advised Lines
by Michel Araten of JPMorgan Chase & Co., and
Michael Jacobs Jr. of JPMorgan Chase & Co.
(41K PDF) -- 6 pages -- May 2001 Value at Risk Bounds for Portfolios of Non-normal Returns
by Elisa Luciano of the University of Turin and ICER, Turin, and
Marina Marena of the University of Eastern Piedmont and ICER, Turin
(346K PDF) -- 22 pages --April 1, 2001 Regularization Algorithms for Transition Matrices
by Alexander Kreinin of Algorithmics, and
Marina Sidelnikova of Algorithmics
(324K PDF) -- 18 pages -- March 2001 Default and Recovery Rates of Corporate Bond Issuers: 2000
by David T. Hamilton of Moody's Investors Service,
Greg M. Gupton of Moody's Investors Service, and
Alexandra Berthault of Moody's Investors Service
(1,383K PDF) -- 60 pages -- February 2001 Analysis of Length of Time Spent in Chapter 11 Bankruptcy
by Jesus Orbe of the Universidad del Pais Vasco,
Eva Ferreira of the Universidad del Pais Vasco, and
Vicente Núñez-Antón of the Universidad del Pais Vasco
(201K PDF) -- 20 pages -- January 9, 2001 Parameterizing Credit Risk Models with Rating Data
by Mark Carey of the Federal Reserve Board of Governors, and
Mark Hrycay of Advertising.com
(497K PDF) -- 93 pages -- October 18, 2000 The Credit Risk of Japanese Banks during the Bubble Period: A Pilot Study of Macro Stress Simulation
by Tokiko Shimizu of the Bank of Japan, and
Shigenori Shiratsuka of the Bank of Japan
(906K PDF) -- 17 pages -- October 2000 Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios
by Michael S. Gibson of the Federal Reserve Board, and
Matthew Pritsker of the Federal Reserve Board
(231K PDF) -- 31 pages -- March 23, 2000 Modeling Credit Migration
by Cynthia McNulty of J.P. Morgan, and
Ron Levin of J.P. Morgan
(82K PDF) -- 12 pages -- March 17, 2000 A Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads
by Jason Z. Wei of the University of Toronto
(156K PDF) -- 29 pages -- February 21, 2000 Toward a Better Estimation of Wrong-Way Credit Exposure
by Christopher C. Finger of The RiskMetrics Group
(75K PDF) -- 19 pages -- February 2000 The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s
by Steven B. Kamin of the Bank for International Settlements, and
Karsten von Kleist of the Bank for International Settlements
(156K PDF) -- 48 pages -- November 1999 The Nature of Credit Risk: the effect of maturity, type of obligor, and country of domicile
by Patricia Jackson of the Bank of England, and
William Perraudin of Birkbeck College
(202K PDF) -- 13 pages -- November 1999 The Timing of Debt Issuance and Rating Migrations: Theory and Evidence
by Dan Covitz of the Federal Reserve Board of Governors, and
Paul Harrison of the Federal Reserve Board of Governors
(108K PDF) -- 45 - pages -- September 1999 Wrong Way Exposure-Are Firms Underestimating Their Credit Risk?
by Arnon Levy of J.P. Morgan Securities
(58K PDF) -- 13 pages -- August 25, 1999 Improving Counterparty Risk Management Practices
by Counterparty Risk Management Policy Group
(159K PDF) -- 61 pages -- July 1999 Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults
by Gordon Delianedis of the University of California, Los Angeles, and
Robert Geske of the University of California, Los Angeles
(863K PDF) -- 41 pages -- May 1999 The Equity Performance of Firms Emerging from Bankruptcy
by Allan C. Eberhart of Georgetown University,
Edward I. Altman Stern of New York University, and
Reena Aggarwal of Georgetown University
(99K PDF) -- 23 pages -- November 1998 Capital Allocation and Bank Management Based on the Quantification of Credit Risk
by Kenji Nishiguchi of Sakura Bank, Limited,
Hiroshi Kawai of Sakura Bank, Limited, and
Takanori Sazaki of Sakura Bank, Limited
(217K PDF) -- 12 pages -- October 1998 Analyzing Alternative Intraday Credit Policies in Real-Time Gross Settlement Systems
by Craig Furfine and Jeff Stehm of the Federal Reserve Board
(1,308K PDF) -- 25 pages -- August 11, 1997 Information Systems for Risk Management
by Michael S. Gibson of the Federal Reserve Board
(55K PDF) -- 29 pages -- July 1997 What Do We Know about Capital Structure? Some Evidence from International Data
by Raghuram G. Rajan of the University of Chicago, and
Luigi Zingales of the University of Chicago
(2,423K PDF) -- 40 pages -- December 1995 Understanding Aggregate Default Rates of High Yield Bonds
by Jean Helwege of the Federal Reserve Bank of New York, and
Paul Kleiman of the Federal Reserve Bank of New York
(75K PDF) -- 6 pages -- May 1996 The Anatomy of the High Yield Bond Market
by Edward I. Altman of New York University
(119K PDF) -- 28 pages -- December 21, 1998 | 
