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)
International Banks’ Ratings with an Indicator Variable for Country Effects
by Roman Matousek of London Metropolitan University,
Chris Stewart of London Metropolitan University, and
Gary van Vuuren of Fitch Ratings
(220K PDF) -- 19 pages -- May 2009 A Universal Spreadsheet for Bank Analysis
by Jane Cates of Fitch Ratings,
Bridget Gandy of Fitch Ratings,
Doris Hoffmann of Fitch Ratings,
Peter Shaw of Fitch Ratings,
Michael Steinbarth of Fitch Ratings, and
Peter Tebbutt Fitch Ratings
(295K PDF) -- 15 pages -- April 14, 2009 Predicting Bank Failures Using a Simple Dynamic Hazard Model
by Rebel A. Cole of DePaul University, and
Qiongbing Wu of the University of Newcastle
(159K PDF) -- 30 pages -- April 13, 2009 On the Determinants of the Implied Default Barrier
by Georges Dionne HEC Montréal, and
Sadok Laajimi of HEC Montréal
(299K PDF) -- 46 pages -- April 8, 2009 Incorporating the Dynamics of Leverage into Default Prediction
by Gunter Löffler of Universität Ulm, and
Alina Maurer of Universität Ulm
(368K PDF) -- 28 pages -- April 2009 Dynamic Bank Runs
by Zhiguo He University of Chicago, and
Wei Xiong of Princeton University
(488K PDF) -- 53 pages -- March 25, 2009 Financial and Economic Determinants of Firm Default
by Giulio Bottazzi of the Università di Pisa,
Marco Grazzi of the Università di Pisa,
Angelo Secchi of the Università di Pisa, and
Federico Tamagni of the Università di Pisa
(384K PDF) -- 42 pages -- January 8, 2009 Estimating a Financial Distress Rating System for Spanish Firms with a Simple Hazard Model
by Christian E. Castro of the Universitat de les Illes Balears
(355K PDF) -- 55 pages -- June 11, 2008 An Empirical Evaluation of Structural Credit Risk Models
by Nikola A Tarashev of the Bank for International Settlements
(674K PDF) -- 53 pages -- March 2008 Default Estimation and Expert Information
by Nicholas M. Kiefer of Cornell University
(240K PDF) -- 34 pages -- February 7, 2008 Credit Risk Models for Managing Bank's Agricultural Loan Portfolio
by Arindam Bandyopadhyay of the National Institute of Bank Management, Pune, India
(379K PDF) -- 19 pages -- October 12, 2007 When Do Firms Default? A Study of the Default Boundary
by Sergei A. Davydenko of the London Business School
(475K PDF) -- 53 pages -- August 1, 2007 Estimating Probabilities of Default With Support Vector Machines
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
(742K PDF) -- 24 pages -- May 27, 2007 Evaluation of Default Risk for the Brazilian Banking Sector
by Marcelo Y. Takami of Banco Central do Brasil, and
Benjamin M. Tabak of Banco Central do Brasil
(339K PDF) -- 36 pages -- May 2007 An Early Warning Model for EU Banks with Detection of the Adverse Selection Effect
by Olivier Brossard of IEP Toulouse & Université Toulouse 1,
Frédéric Ducrozet of Paris Sciences Economiques & Crédit Agricole SA, and
Adrian Roche of Université Paris X & Crédit Agricole SA
(495K PDF) -- 24 pages -- April 2007 Credit Risk Drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
by Diana Bonfim of Banco de Portugal
(558K PDF) -- 48 pages -- March 2007 Credit Scoring and Competitive Pricing of Default Risk
by Satyajit Chatterjee of the Federal Reserve Bank of Philadelphia,
Dean Corbae of the University of Texas at Austin, and
José-Víctor Ríos-Rull of the University of Pennsylvania & CAERP
(413K PDF) -- 38 pages -- January 2007 Reverse Engineering Banks Financial Strength Ratings Using Logical Analysis of Data
by Peter L. Hammer of Rutgers University,
Alexander Kogan of Rutgers University, and
Miguel A. Lejeune of Carnegie Mellon University
(375K PDF) -- 31 pages -- January 2007 Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress
by Isabelle Distinguin of the Université de Limoges,
Philippe Rous of the Université de Limoges, and
Amine Tarazi of the Université de Limoges
(580K PDF) -- 26 pages -- October 2006 Estimation of the Default Risk of Publicly Traded Canadian Companies
by Georges Dionne of HEC Montréal,
Sadok Laajimi of HEC Montréal,
Sofiane Mejri of HEC Montréal, and
Madalina Petrescu of HEC Montréal
(605K PDF) -- 63 pages -- August 2006 Estimating Default Barriers from Market Information
by Hoi Ying Wong of the Chinese University of Hong Kong, and
Tsz Wang Choi of Citic Kawah Bank
(212K PDF) -- 25 pages -- July 11, 2006 Default Prediction of Various Structural Models
by Ren-Raw Chen of Rutgers University,
Shing-yang Hu of National Taiwan University, and
Ging-Ging Pan of National Ping-Tung University of Sciences and Technologies
(407K PDF) -- 51 pages -- July 21, 2006 The Effect of Fair vs. Book Value Accounting on Banks
by Katrin Burkhardt of Bundesverband Deutscher Banken, and
Roland Strausz of the Free University Berlin
(222K PDF) -- 27 pages -- July 3, 2006 Estimating Probabilities of Default for German Savings Banks and Credit Cooperatives
by Daniel Porath of the University of Applied Sciences at Mainz
(371K PDF) -- 20 pages -- July 2006 Fundamentals-Based Estimation of Default Probabilities: A Survey
by Jorge A. Chan-Lau of the International Monetary Fund
(425K PDF) -- 20 pages -- June 2006 Bank Failure Prediction: A Two-Step Survival Time Approach
by Michael Halling of the University of Vienna, and
Evelyn Hayden of the Austrian National Bank
(1,244K PDF) -- 31 pages -- May 2006 Multi-period Bayesian Bankruptcy Prediction: Using financial ratios and the maturity schedule of long-term debt
by Leonid Philosophov of the Moscow Committee of Bankruptcy Affairs,
Jonathan Batten of Macquarie University, and
Vladimir Philosophov (Independent)
(1,208K PDF) -- 34 pages -- January 5, 2006 Thresholds for Ratings' Forecast Default Probabilities: A mean squared error based approach
by Guido Bichisao of the European Investment Bank,
E. Grillo,
M. Marchesi of the European Commission, and
C. Zucca of the European Investment Bank
(147K PDF) -- 18 pages -- December 12, 2005 The END: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability
by Jorge A. Chan-Lau of the International Monetary Fund
Toni Gravelle of the Bank of Canada
(477K PDF) -- 17 pages -- December 2005 Mapping Corporate Drift towards Default: A study of distance to default of Indian corporates
by Arindam Bandyopadhyay of the National Institute of Bank Management (NIBM), India
(171K PDF) -- 25 pages -- November 4, 2005 Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation
by João Eduardo Fernandes of Banco BPI
(668K PDF) -- 73 pages -- October 2005 Estimating Probabilities of Default for Low Default Portfolios
by Katja Pluto of Deutscche Bundesbank, and
Dirk Tasche of Deutsche Bundesbank
(335K PDF) -- 20 pages -- July 28, 2005 Efficiency of Machine Learning Techniques in Bankruptcy Prediction
by Sotos B. Kotsiantis of the Technological Educational Institute of Patras,
Dimitris Tzelepis of the Technological Educational Institute of Patras,
Evangelos P. Koumanakos of the National Bank of Greece, and
Vasilios Tampakas of the Technological Educational Institute of Patras
(104K PDF) -- 11 pages -- July 11, 2005 Improving the Comparability of Insolvency Predictions
by Martin Bemmann of Technische Universität Dresden
(1,638K PDF) -- 152 pages -- June 23, 2005 Predicting Bankruptcy with Support Vector Machines
by Wolfgang Härdle of Humboldt-Universität zu Berlin,
Rouslan A. Moro of Humboldt-Universität zu Berlin & German Institute for Economic Research, and
Dorothea Schäfer of the German Institute for Economic Research
(905K PDF) -- 25 pages -- June 2005 Credit Scoring and the Sample Selection Bias
by Thomas Parnitzke of the University of St. Gallen
(179K PDF) -- 21 pages -- May 31, 2005 Bayesian Methods for Improving Credit Scoring Models
by Gunter Löffler of the University of Ulm,
Peter N. Posch of the University of Ulm, and
Christiane Schöne of the University of Ulm
(222K PDF) -- 26 pages -- May 24, 2005 Time-to-Default: Life Cycle, Global and Industry Cycle Impacts
by Fabien Couderc of FAME and the University of Geneva, and
Olivier Renault of FERC, Warwick Business School
(1,690K PDF) -- 48 pages -- February 9, 2005 Forecasting Default with the KMV-Merton Model
by Sreedhar T Bharath of the University of Michigan, and
Tyler Shumway of the University of Michigan
(583K PDF) -- 36 pages -- December 17, 2004 Corporate Credit Risk Modelling and the Macroeconomy
by Kenneth Carling of IFAU and Dalarna University,
Tor Jacobson of Riksbank,
Jesper Lindé of Riksbank, and
Kasper Roszbach Riksbank
(492K PDF) -- 32 pages -- December 3, 2004 Discriminant Analysis of Default Risk
by Aker Aragon of CARIFIN
(408K PDF) -- 18 pages -- October 21, 2004 From Fault Tree to Credit Risk Assessment: A Case Study
by Hayette Gatfaoui of the University of Technology, Sydney
(394K PDF) -- 32 pages -- September 2004 Predicting and Pricing the Probability of Default
by Alessio A. Saretto of the University of California Los Angeles
(311K PDF) -- 41 pages -- August 4, 2004 Default Greeks Under an Objective Probability Measure
by Tom E. S. Farmen of the Norwegian School of Science and Technology Management,
Stein-Erik Fleten of the Norwegian School of Science and Technology Management,
Sjur Westgaard of the Norwegian School of Science and Technology Management, and
Nico van der Wijst of the Norwegian School of Science and Technology Management
(344K PDF) -- 31 pages -- July 9, 2004 An Empirical Test of Option Based Default Probabilities Using Payment Behaviour and Auditor notes
by Tom E. S. Farmen of the Norwegian University of Science and Technology,
Sjur Westgaard of the Norwegian University of Science and Technology, and
Nico van der Wijst of the Norwegian University of Science and Technology
(171K PDF) -- 18 pages -- July 8, 2004 Estimating Probabilities of Default
by Til Schuermann of the Federal Reserve Bank of New York, and
Samuel Hanson of the Federal Reserve Bank of New York
(382K PDF) -- 36 pages -- July 2004 Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores under Censoring
by Holger Kraft of Fraunhofer ITWM
Gerald Kroisandt of Fraunhofer ITWM, and
Marlene Müller of Fraunhofer ITWM
(678K PDF) -- 22 pages -- June 29, 2004 Prediction of Bank Failures Using Combined Micro and Macro Data
by Chung-Hua Shen of National Cheng Chi University, and
Meng-Fen Hsieh of VanNung Institute of Technology
(2,141K PDF) -- 56 pages -- June 11, 2004 Alternative Methodologies in Studies on Business Failure: do they produce better results than the classical statistical methods?
by Sofie Balcaen of Ghent University, and
Hubert Ooche of Ghent University
(403K PDF) -- 40 pages -- June 2004 The Moody's KMV EDF™ RiskCalc™ v3.1 Model Next-Generation Technology for Predicting Private Firm Credit Risk
by Douglas W. Dwyer of Moody's KMV,
Ahmet E. Kocagil of Moody's KMV, and
Roger M. Stein of Moody's KMV
(280K PDF) -- 36 pages -- April 5, 2004 The Identification of Corporate Distress in UK Industrials: A Conditional Probability Analysis Approach
by Lin Lin of the National Chi-Nan University, and
Jenifer Piessi of King's College London & University of Stellenbosch
(583K PDF) -- 23 pages -- April 2004 Debt and Firm Vulnerability
by Jack Glen of the International Finance Corporation
(207K PDF) -- 22 pages -- April 2004 Business Failure in UK and US Quoted Firms: Impact of Macroeconomic Instability and the Role of Legal Institutions
by Arnab Bhattacharjee of the University of Cambridge,
C. Higson of the London Business School,
Sean Holly of the University of Cambridge, and
P. Kattuman of the University of Cambridge
(1,165K PDF) -- 42 pages -- March 17, 2004 Classification and Rating of Firms in the Presence of Financial and Non-financial Information
by Thomas Mählmann of the University of Cologne
(422K PDF) -- 23 pages -- February 2004 Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration
by Jin-Chuan Duan of the University of Toronto
Geneviève Gauthier of HEC (Montreal)
Jean-Guy Simonato of HEC (Montreal)
Sophia Zaanoun of HEC (Montreal)
(391K PDF) -- 25 pages -- October 2003 A Support Vector Machine Approach to Credit Scoring
by Tony Van Gestel of Dexia Group,
Bart Baesens of Katholieke Universiteit Leuven,
Joao Garcia of Dexia Group, and
Peter Van Dijcke of Dexia Bank Belgium
(333K PDF) -- 15 pages -- July 8, 2003 From Fault Tree to Credit Risk Assessment: An Empirical Attempt
by Hayette Gatfaoui of the University Paris I - Panthéon-Sorbonne
(322K PDF) -- 23 pages -- June 2003 Estimating Default Probabilities Implicit in Equity Prices
by Tibor Janosi of Cornell University,
Robert Jarrow of Cornell University, and
Yildiray Yildirim of Syracuse University
(337K PDF) -- 38 pages -- Q1 2003 Systematic and Idiosyncratic Risk in Middle-Market Default Prediction: A Study of the Performance of the RiskCalc™ and PFM™ Models
by Roger M. Stein of Moody's|KMV,
Ahmet E. Kocagil of Moody's|KMV,
Jeff Bohn of Moody's|KMV, and
Jalal Akhavein of Moody's|KMV
(3,583K PDF) -- 40 pages -- February 2003 Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market
by Evelyn Hayden of the University of Vienna
(604K PDF) -- 44 pages -- February 2003 Estimation of Default Probability by Three-Factor Structural Model
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
(273K PDF) -- 14 pages -- October 10, 2002 Capital Structure and the Prediction of Bankruptcy
by Suzan Hol of the Norwegian University of Science and Technology,
Sjur Westgaard of the Norwegian University of Science and Technology, and
Nico van der Wijst of the Norwegian University of Science and Technology
(174K PDF) -- 20 pages -- July 2002 Moody's RiskCalc™ for Private US Banks
by Ahmet E. Kocagil of Moodys|KMV,
Alexander Reyngold of Moody's|KMV
Roger M. Stein of Moody's|KMV, and
Eduardo Ibarra of Moody's|KMV
(666K PDF) -- 28 pages -- July 2002 Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms
by Arnab Bhattacharjee of the Reserve Bank of India,
C. Higson of London Business School,
Sean Holly of the University of Cambridge, and
P. Kattuman of the University of Cambridge
(736K PDF) -- 34 pages -- March 5, 2002 Determinants of Financial Distress: What Drives Bankruptcy in a Transition Economy? The Czech Republic Case
by Lubomír Lízal of CERGE-EI & the Academy of Sciences of the Czech Republic
(344K PDF) -- 59 pages -- January 2002 A Model of Bankruptcy Prediction
by Eivind Bernhardsen of the Norges Bank
(545K PDF) -- 54 pages -- December 5, 2001 Capital Ratios as Predictors of Bank Failure
by Arturo Estrella of the Federal Reserve Bank of New York,
Sangkyun Park of the Federal Reserve Bank of New York, and
Stavros Peristiani of the Federal Reserve Bank of New York
(149K PDF) -- 22 pages -- July 2000 Forecasting Bankruptcy More Accurately: A simple hazard model
by Tyler Shumway of the University of Michigan
(185K PDF) -- 24 pages -- January 2001 Option-Based Bankruptcy Prediction
by Andreas Charitou of the University of Cyprus, and
Lenos Trigeorgis of the University of Cyprus
(100K PDF) -- 27 pages -- June 2000 Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology
by Emel Kahya of Rutgers University, and
Panayiotis Theodossiou of Rutgers University
(215K PDF) -- 23 pages -- December 1999 The Contribution of On-site Examination Ratings to an Empirical Model of Bank Failures
by David C. Wheelock of the Federal Reserve Bank of St. Louis, and
Paul W. Wilson of the University of Texas
(271K PDF) -- 29 pages -- November 1999 Bank Lending Policy, Credit Scoring and the Survival of Loans
by Kasper Roszbach of the Stockholm School of Economics
(1,031K PDF) -- 28 pages -- September 17, 1998 Staying Afloat When the Wind Shifts: External Factors and Emerging-Market Banking Crises
by Barry Eichengreen of the International Monetary Fund, and
Andrew K. Rose of the University of California at Berkeley
(169K PDF) -- 46 pages -- December 10, 1997 Choosing Bankruptcy Predictors Using Discriminant Analysis, Logit Analysis, and Genetic Algorithms
by Barbro Back of Turku School of Economics and Business Administration,
Teija Laitinen of the University of Vaasa,
Kaisa Sere of the University of Kuopio,
Michiel van Wezel of Utrecht University, and
(75K PDF) -- 20 pages -- September 1996 Bank Failures, Financial Restrictions, and Aggregate Fluctuations: Canada and the United States, 1870-1913
by Stephen D. Williamson of the University of Western Ontario
(1,448K PDF) -- 22 pages --Summer 1989 The Impact of Firm's Characteristics on Junk-Bond Default
by Sam Ramsey Hakim of the University of Nebraska, and
David Shimko of the University of Southern California
(40K PDF) -- 9 pages -- Summer 1995 | 
