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• The Elements of Statistical Learning: Data Mining, Inference, and Prediction
• Default / Credit Risk Resources - Papers
  • Papers about Credit Pricing and Credit Spreads
    • A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
      • JEL Classification
        • JEL C21
        • JEL C28
        • JEL E52
        • JEL F47
        • JEL L93
        • JEL M4
        • JEL N20
      • JEL G12
      • JEL G13
      • JEL E43
    • Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
    • Term Structure Modelling of Defaultable Bonds
    • The Joint Estimation of Term Structures and Credit Spreads
      • JEL C13
    • Valuation Models for Default-Risky Securities: An Overview
    • Modeling Term Structures of Defaultable Bonds
    • Credit Spreads and Interest Rates: A Cointegration Approach
    • Explaining the Rate Spread on Corporate Bonds
    • Estimating the Price of Default Risk
    • Floating-Fixed Credit Spreads
    • Predicting Credit Spreads
    • The Direct Approach to Debt Option Pricing
    • Treasury yields and corporate bond yield spreads
    • Term Structures of Credit Spreads with Incomplete Accounting Information
    • Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
    • Swap Rates and Credit Quality: Supplementary Results
    • A Comparison of Bond Pricing Models in the Pricing of Credit Risk
      • JEL C23
      • JEL C24
    • Counterparty Risk and the Pricing of Defaultable Securities
    • Fixed Income Pricing
    • Convertible Bonds with Market Risk and Credit Risk
    • Defaultable Term Structure Models with Fractional Recovery of Par
    • A Model of Corporate Bond Prices with Dynamic Capital Structure
    • Ratings-Based Pricing and Stochastic Spreads
    • A LIBOR Market Model with Default Risk
    • A Framework for Valuing Corporate Securities
    • Corporate Bonds: Valuation, Hedging, and Optimal Call and Default Policies
    • The Market Price of Risk in Interest Rate Swaps: The roles of default and liquidity risks
    • Do Credit Spreads Reflect Stationary Leverage Ratios?
    • Structural Models of Corporate Bond Pricing: An empirical analysis
    • Factors Affecting the Yields on Noninvestment Grade Bond Indices: A cointegration analysis
      • JEL C31
      • JEL C52
      • JEL G10
    • Equity Volatility and Credit Yield Spreads
    • Modelling European Credit Spreads
    • The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
      • JEL B13
    • Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models
      • JEL G11
    • An Empirical Investigation in Credit Spread Indices
      • JEL C14
      • JEL C22
      • JEL E40
      • JEL G20
    • Default and Information
    • The Term Structure of Credit Risk: Estimates and Specification Tests
    • Utility-Based Pricing of Defaultable Bonds and Decomposition of Credit Risk
      • JEL C65
      • JEL D52
      • JEL G33
    • Estimating Structural Bond Pricing Models
    • Liquidation Triggers and the Valuation of Equity and Debt
      • JEL G32
    • The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps
    • A Model for Pricing Stocks and Bonds with Default Risk
    • Term Structure Dynamics in Theory and Reality
    • Is Default Event Risk Priced in Corporate Bonds?
    • Equity Volatility and Corporate Bond Yields
    • How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?
    • Bond Pricing with Default Risk
    • Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
      • JEL G14
      • JEL G15
    • Bond Prices, Default Probabilities and Risk Premiums
    • An Empirical Comparison of Credit Spreads Between the Bond Market and the Credit Default Swap Market
    • Testing Merton's Model for Credit Spreads on Zero-Coupon Bonds
    • The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
      • JEL F34
    • Defaultable Game Options in a Hazard Process Model
    • How Downward-Sloping are Demand Curves for Corporate Bonds?
    • Stochastic Volatility Effects on Defaultable Bonds
    • The Components of Corporate Credit Spreads
    • A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads
    • Default Premia on European Government Debt
      • JEL E44
      • JEL F35
      • JEL F36
      • JEL H63
    • A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure
    • The Dynamics of Corporate Credit Spreads
      • JEL C4
      • JEL E4
    • The Pricing of Unexpected Credit Losses
      • JEL C32
    • The Valuation of Corporate Liabilities: Theory and Tests
    • Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk
    • Valuing Euro Rating-Triggered Step-Up Telecom Bonds
    • An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
      • JEL C53
    • Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices
    • Pricing Collateralized Swaps
    • Pricing Corporate Securities under Noisy Asset Information
    • Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier
    • Explaining the Level of Credit Spreads: Option-implied jump risk premia in a firm value model
    • Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk
    • Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
    • Corporate Bond Credit Spreads and Forecast Dispersion
    • Detecting Regime Shifts in Corporate Credit Spreads
      • JEL C1
      • JEL C61
      • JEL E32
    • Affine Model for Credit Risk Analysis
      • JEL C41
      • JEL G21
    • Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
    • Do Macroeconomic Variables Matter for the Pricing of Default Risk? Evidence from the Residual Analysis of the Reduced-Form Model Pricing Errors
    • Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
    • The Market Price of Credit Risk: The impact of asymmetric information
    • Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
    • Information Precision and the Term Structure of Credit Spreads: An Empirical Examination
    • Credit Spreads and Incomplete Information
    • Using Yield Spreads to Estimate Expected Returns on Debt and Equity
    • Hybrid Derivatives Pricing Under the Potential Approach
    • Pricing the Risk of Default: Are Bonds Enough?
    • Adverse Selection, Moral Hazard and the Term Structure of Default
    • Credit Spread Changes within Switching Regimes
    • Valuation of Default Sensitive Claims Under Imperfect Information
    • Individual Stock-Option Prices and Credit Spreads
    • A Dynamic Programming Approach for the Valuation of Callable Corporate Bonds within the CIR Framework
    • A Model for Counterparty Risk with Geometric Attenuation Effect and the Valuation of CDS
    • Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes
    • Modeling the Dynamics of Credit Spreads with Stochastic Volatility
    • Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
    • A General Framework for Pricing Credit Risk
    • Can Structural Models Price Default Risk? Evidence from Bond and Credit Derivative Markets
    • Determents of Euro Term Structure of Credit Spreads
      • JEL E45
    • Pricing Corporate Bonds with Dynamic Default Barriers
      • JEL G28
    • Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
      • JEL C33
      • JEL C51
    • An Integrated Pricing Model for Defaultable Loans and Bonds
      • JEL C15
      • JEL C69
    • Default Risk in Corporate Yield Spreads
    • Decomposing Swap Spreads
    • From Default Probabilities to Credit Spreads: Credit risk models do explain market prices
    • On the Relation Between Credit Spread Puzzles and the Equity Premium Puzzle
    • Indifference Pricing and Hedging of Defaultable Claims
    • Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
      • JEL C0 & C00
    • Credit Risk Spreads in Local and Foreign Currencies
    • Pricing Corporate Bonds in an Arbitrary Jump-Diffusion Model Based on an Improved Brownian-bridge Algorithm
    • Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks
    • Derivative Pricing Based on Time Series Models of Default Probabilities (Master's Thesis)
    • Pricing Options on Defaultable Stocks
      • JEL G1
    • Randomized Structure Model of Credit Spreads
    • Volatiltiy and Jump Risk Premia in Emerging Market Bonds
    • Credit Derivatives and Loan Pricing
    • Credit Risk and Market Risk: Analyzing US Credit Spreads
    • Pricing and Hedging Options on Defaultable Assets
    • Pricing of Default Risk Revisited: Corporate bond spread as a proxy for default risk
    • Credit Market Shocks and Economic Fluctuations: Evidence from corporate bond and stock markets
    • Fallen Angels and Price Pressure
    • A Framework for Valuing Corporate Securities
    • pp_price121
    • Pricing Abstracts
      • On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
      • Some Empirical Estimates of the Risk Structure of Interest Rates
      • Pricing Swap Default Risk
      • The Pricing of Risky Debt When Interest Rates are Stochastic
      • Firm and Guarantor Risk, Risk Contagion, and the Interfirm Spread...
      • The Term Structure of Credit Spreads with Jump Risk
      • Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994
      • Pricing Derivatives on Financial Securities Subject to Credit Risk
      • A Simple Approach to Valuing Risky Fixed and Floating Rate Debt
      • The Default Risk of Swaps
      • The Maturity Structure of Corporate Debt
      • Time-Varying Return and Risk in the Corporate Bond Market
      • An Econometric Model of the Term Structure of Interest-Rate Swap Yields
      • Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
      • The Valuation of Multiple Claim Insurance Contracts
      • The Relation between Risk and Optimal Debt Maturity and the Value of Leverage
      • A Three-Factor Defaultable Term Structure Model
      • The Relation Between Treasury Yields and Corporate Bond Yield Spreads
      • The Slope of the Credit Yield Curve for Speculative-Grade Issuers
      • How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?
      • Pricing Bonds and Bond Options with Default Risk
      • Using Default Rates to Model the Term Structure of Credit Risk
      • The Default Premium and Corporate Bond Experience
      • The Value of an Option to Exchange One Asset for Another
      • The Valuation of Corporate Liabilities as Compound Options
      • Recursive Valuation of Defaultable Claims and the Timing of Resolution of Uncertainty
      • Valuing Corporate Securities: Some Effects of Bond Indenture Provisions
      • The Pricing of Options and Corporate Liabilities
      • Pricing Risky Debt: An Empirical Comparison of the Longstaff and Schwartz and Merton Models
      • A Barrier Option Framework for Corporate Security Valuation
      • Valuing Risky Fixed Rate Debt: An Extension
      • On the Pricing of Step-Up Bonds in the European Telecom Sector
      • Accounting Transparency and the Term Structure of Credit Spreads
      • Term Structure Movements and Pricing Interest Rate Contingent Claims
      • A Comparison of Merton's Option Pricing Model of Corporate Debt Valuation to the Use of Book Values
      • Revisiting the Slope of the Credit Spread Curve
      • A General Formula for Pricing Defaultable Claims
      • On the Term Structure of Default Premia in the Swap and LIBOR Markets
      • The Impact of Default Risk on the Prices of Options and Other Derivative Securities
      • Default Risk in Asset Pricing
      • On the Term Structure of Lending Interest Rates When a Fraction of Collateral is Recovered Upon Default
      • Macroeconomic Conditions, Firm Characteristics, and Credit Spreads
      • The Determinants of Credit Spread Changes
      • Pricing the Risks of Default
      • Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
      • Pricing the Risks of Default: A note on Madan and Unal
      • A Comparative Study of Structural Models of Corporate Bond Yields: An exploratory investigation
      • Pricing Equity Derivatives Subject To Bankruptcy
      • A Parametric Nonlinear Model of Term Structure Dynamics
      • Risk Aversion and the Yield of Corporate Debt
  • Papers about Credit Risk Modeling
    • Credit Risk Modeling at Major US Banking Institutions
    • A Comparative Anatomy of Credit Risk Models
      • JEL G31
    • A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
    • Estimation of a Reduced-Form Credit Portfolio Model and Extensions to Dynamic Frailties
    • Credit Risk Modelling: Current Practices and Applications
    • Integrating Interest Rate Risk and Credit Risk in Asset and Liability  Management
    • Portfolio Credit Risk
    • From CreditMetrics to CreditRisk+ and Back Again
    • Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk
    • Ratings-based Credit Risk Modelling: An empirical analysis
      • JEL L51
    • Some Elements of Rating-Based Credit Risk Modeling
    • A Comparative Analysis of Current Credit Risk Models
    • A Markov Model for the Term Structure of Credit Risk Spreads
    • A Comparison of Stochastic Default Rate Models
    • The Jarrow and Turnbull Default Risk Model - Evidence from the German Market
    • Analytical Value-At-Risk with Jumps and Credit Risk
    • A Generalized Framework for Credit Risk Portfolio Models
    • A Simplified Method for Calculating the Credit Risk of Lending Portfolios
    • Modelling of Default Risk: Mathematicals Tools
    • CreditMetrics
    • CreditRisk+ A Credit Risk Management Framework
    • Probabilistic Aspects of Default Risk Modeling
    • Credit Risk Modelling
    • Calculation of Higher Moments in CreditRisk+ with Applications
    • Factor Models for Portfolio Credit Risk
    • Calculating Value-at-Risk Contributions in CreditRisk+
    • Devil in the Parameters
    • Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality
    • Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy
    • Comparative Analysis of Alternative Credit Risk Models:
    • A Hybrid Genetic-Quantitative Method for Risk-Return Optimisation of Credit Portfolios
    • Credit Spread Bounds and their Implications for Credit Risk Modeling
    • Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
    • The Dependence of Recovery Rates and Defaults
    • Modeling Default Risk
    • Modelling of Default Risk: an Overview
    • VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
    • Credit Risk Modeling and Valuation: An Introduction
    • Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
      • JEL D81
    • Predictions of Default Probabilities in Structural Models of Debt
      • JEL G0
    • A One-Parameter Representation of Credit Risk and Transition Matrices
    • Large Portfolio Losses
    • Tail Behavior of Credit Loss Distributions for General Latent Factor Models
      • JEL G29
      • JEL C19
    • Merton's Model, Credit Risk, and Volatility Skews
    • Credit Risk Modeling With Misreporting and Incomplete Information
    • Modeling Credit Risk with Partial Information
    • Partial Information, Default Hazard Process, and Default-Risky Bonds
    • Extreme Tails for Linear Portfolio Credit Risk Models
    • Multi-Period Defaults and Maturity Effects on Economic Capital in a Ratings-Based Default-Mode Model
    • Credit Risk Contributions to Value-at-Risk and Expected Shortfall
    • Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
      • JEL C63
    • Monte Carlo Simulation of Economic Capital Requirement And Default Protection Premium
    • Unifying Discrete Structural Credit Risk Models and Reduced-Form Models
    • The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models
    • On Modelling Credit Risk Using Arbitrage Free Models
    • Perpetual Convertible Bonds with Credit Risk
    • Modeling the Distance-to-Default Process of a Firm
    • Optimal Default Boundary in Discrete Time Models
    • Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions
    • Probability of Loss on Loan Portfolio
    • Limiting Loan Loss Probability Distribution
    • Modelling Dynamic Portfolio Credit Risk
    • Modeling Default Risk: A new structural approach
    • A Framework for Collateral Risk Control Determination
      • JEL E50
      • JEL E58
    • Calculating Credit Risk Capital Charges with the One-factor Model
    • A Radial Basis Function Approach to Credit Barrier Model
    • Building a Credit Risk Valuation Framework for Loan Instruments
    • Interacting Defaults and Counterparty Risk: a Markovian Approach
    • An Extension of the Jarrow-Lando-Turnbull Model to Random Recovery Rate
    • Computation of VaR and VaR Contribution in the Vasicek Portfolio Credit Loss Model: A Comparative Study
    • Modelling Credit Risk in Indian Bond Markets
    • Multi-Period Corporate Failure Prediction With Stochastic Covariates
    • Numerically Stable Computation of CreditRisk+
    • Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives
    • Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications
      • JEL F3 & F30
    • Forecasting Credit Portfolio Risk
    • Essentials of Credit Portfolio Management
    • A Structural Credit-Risk Model based on a Jump Diffusion
      • JEL C16
    • Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
    • The Correlation-Neutral Measure for Portfolio Credit
    • Credit Risk and Macroeconomic Dynamics
    • Structural Versus Reduced Form Models: A New Information Based Perspective
    • A New Framework for Dynamic Credit Portfolio Loss Modeling
    • A Multi-period Corporate Credit Model---An Intrinsic Valuation Approach
      • JEL G3
    • Dependent Credit Migrations
      • JEL C35
    • Credit Risk Models II: Structural Models
    • Credit Risk Models III: Reconciliation Reduced - Structural Models
    • Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities
    • CreditRisk+ by Fast Fourier Transform
    • Replication of Defaultable Claims within the Reduced-Form Framework
    • Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims
    • Comonotonic Default Quote Paths for Basket Evaluation
    • Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model
    • A Simple Multi-Factor "Factor Adjustment" for the Treatment of Credit Capital Diversification
    • A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
    • Estimating Structural Bond Pricing Models via Simulated Maximum Likelihood
    • On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models
    • Analytic Improvement of the Saddle-point Approximation and Spread Risk Attribution in a Portfolio of Tranches
    • Shape Factor Models in Credit Risk
    • Tail Approximation for Credit Risk Portfolios with Heavy-tailed Risk Factors
    • Risk Measurement with Integrated Market and Credit Portfolio Models
    • A Note on Lando's Formula and Conditional Independence
    • Discrete Credit Barrier Models
    • On Bias of Testing Merton's Model
    • Firm Heterogeneity and Credit Risk Diversification
    • Credit Risk Modelling Using Time-Changed Brownian Motion
    • Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
    • Credit Risk Models with Incomplete Information
    • A Multivariate Jump-Driven Financial Asset Model
    • Assessing Credit with Equity: A CEV Model with Jump to Default
    • The Skewed t Distribution for Portfolio Credit Risk
    • Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
    • A Queueing Network Approach to Portfolio Credit Risk
    • Default Risk and Hazard Process
    • Measuring Marginal Risk Contributions in Credit Portfolios
      • Approximation Theorems of Mathematical Statistics
    • On the Brody-Hughston-Macrina Approach to Modeling of Defaultable Term Structure
    • Dependent Events and Changes of Time
    • Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model
    • Predictions Based on Certain Uncertainties - A Bayesian Credit Portfolio Approach
    • The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
      • JEL C43
    • On the Applicability of Fourier Based Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk
    • How Good is Merton Model at Assessing Credit Risk? Evidence from India
    • A Cash Flow Based Corporate Credit Portfolio Analysis: A conditional independent default approach
    • Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
    • Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects
    • Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure
    • Credit Risk - A structural model with jumps and correlations
    • Credit Risk: Modeling and Application
    • Beyond Hazard Rates: A new framework for credit-risk modeling
    • Default Intensity and Expected Recovery of Japanese Banks and "Government": New Evidence from the CDS Market
    • Modeling Defaultable Securities with Recovery Risk
    • A Structural Model with Unobserved Default Boundary
    • Modeling Credit Risk for SMEs: Evidence from the US market
    • Credit Risk in a Network Economy
    • Reduced Form Modelling for Credit Risk
    • Jumps in Intensity Models
      • JEL C60
    • Credit Risk in Pure Jump Structural Models
    • Correlated Default Modeling with a Forest of Binomial Trees
    • A Jump to Default Extended CEV Model: An application of Bessel processes
    • Bankruptcy, Counterparty Risk, and Contagion
    • Don't Fall from the Saddle: the importance of higher moments of credit loss distributions
    • Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
    • Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
    • Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence
    • Correlation Structures of Correlated Binomial Models and Implied Default Distribution
    • Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions
      • JEL G24
    • A Simple Jump to Default Model
    • Valuation of Risky Debt: a Multi-Period Bayesian Framework
      • JEL C11
    • Defaultable Options in a Markovian Intensity Model of Credit Risk
    • Modeling Portfolio Defaults Using Hidden Markov Models with Covariates
    • On the Term Structure of Loss Distributions: A forward model approach
    • Dynamic Models of Portfolio Credit Risk: A Simplified Approach
    • Common Poisson Shock Models: Applications to insurance and credit risk modelling
    • Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model
    • A New Structural Approach to the Default Risk of Companies
    • Cross- and Autocorrelation in Multi-period Credit Portfolio Models
    • An Integrated Market and Credit Risk Portfolio Model
    • Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios
    • Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
    • Economic Capital Assessment via Copulas: Aggregation and Allocation of Different Risk Types
    • Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
    • Enhancing CreditRisk+
    • Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program
    • On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
      • JEL G18
    • Flexing the Default Barrier
    • Computational Techniques for Basic Affine Models of Portfolio Credit Risk
    • On the Parameterization of the CreditRisk+ Model for Estimating Credit Portfolio Risk
    • Modeling the Distribution of Credit Losses with Observable and Latent Factors
      • JEL E32
    • Convertible Bonds in a Defaultable Diffusion Model
    • Dynamic Credit Portfolio Modelling in Structural Models with Jumps
    • Portfolio Credit: Top Down vs. Bottom Up Approaches
    • Credit Risk Modeling with Affine Processes
    • Immersion Property and Credit Risk Modelling
    • A Useful Result on First Passage OU Process
    • Randomization in the Default Boundary Problem
    • Credit Risk Assessment Considering Variations in Exposure: Application to commitment lines
    • Strategic Default Jump as Impulse Control in Continuous Time
      • JEL C73
      • JEL D82
    • Measuring and Marking Counterparty Risk
    • A Novel Methodology for Credit Portfolio Analysis: Numerical approximation approach
    • Risk Contributions of Systematic Factors in Portfolio Credit Risk Models
    • The Distribution of Loan Portfolio Value
    • Modeling the Loss Distribution
    • Inverse CIR and Semi-Affine Intensity-based Modeling on Credit Risk
    • In Search of Hybrid Models for Credit Risk: from Leland-Toft to Carr-Linetsky
    • A Note on Fitting Markov Operator Credit Risk Models
    • Dynamic Default Rates
    • Extracting Systematic Factors in a Continuous-time Credit Migration Model
    • Portfolio Credit Risk: A model of correlated credit losses dynamics and the inverse-gamma approximation
    • Specification Analysis of Structural Credit Risk Models
    • Up and Down Credit Risk
    • Climbing Down from the Top: Single name dynamics in credit top down models
    • A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
      • JEL C02
      • JEL D40
    • Counterparty Valuation Adjustment (CVA)
    • Measuring Portfolio Credit Risk Correctly: Why parameter uncertainty matters
    • Rating Philosophy and Dynamic Properties of Internal Rating Systems: A general framework and an application to backtesting
    • Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses
    • What Happens After a Default: A conditional density approach
    • Range of Practices and Issues in Economic Capital Frameworks
    • Bankruptcy Codes, Liquidation Timing, and Debt Valuation
      • JEL C72
    • Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries
      • JEL G38
    • Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks
    • Credit Migration Risk Modelling
    • A Credit Risk Model Incorporating Microstructural Dependencies and Stochastic Recovery
    • How to Gauge the Default Risk? An empirical application of structural-form models
    • pp_model205
    • Models
      • A Trinomial Model of Bonds with Default Risk
      • On Measuring Credit Risks of Derivative Instruments
      • The Intersection of Market and Credit Risk
      • The New Talk of the Town: CreditMetrics™, A Credit Value-at-Risk Approach
      • Credit Risk in the Traditional Banking Book: A VaR approach...
      • Building Models For Credit Spreads
      • A Remark on Default Risk Models
      • A Markov Chain Model for Valuing Credit Risk Derivatives
      • Unifying Discrete Structural Models and Reduced-form Models in Credit Risk using a Jump-diffusion Process
      • On Models of Default Risk
      • On Cox Processes and Credit Risky Securities
      • Expected Loss and Fair Value Over the Credit Cycle
      • Modeling Correlated Market and Credit Risk in Fixed Income Portfolios
      • Analysis of Default Data Using Hidden Markov Models
      • Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings
      • Credit Risk Optimization with Conditional Value-at-Risk Criterion
      • An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios
      • An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System
      • Value at Risk Calculations, Extreme Events, and Tail Estimation
  • Papers about Credit Derivatives and Credit Sales
    • A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
    • Credit Derivatives in Banking: Useful Tools for Loan Risk Management?
    • Credit Derivatives: New Financial Instruments for Controlling Credit Risk
    • Pricing Credit Risk Derivatives
    • Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model
    • Default Implied Volatility for Credit Spread
    • Dynamic Modelling of Single-name Credits and CDO Tranches
    • A Tree Implementation of a Credit Spread Model for Credit Derivatives
    • Valuing Credit Default Swaps I: No Counterparty Default Risk
    • Contagion in Latin America: an Analysis of Credit Derivatives
    • Pricing Credit Derivatives with Uncertain Default Probabilities
    • Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data
    • Credit Switch
    • Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
    • Modelling Dependence for Credit Derivatives with Copulas
    • A Simple Model for Valuing Default Swaps when both Market and Credit Risk are Correlated
    • Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach
    • Pricing Default Swaps: Empirical Evidence
    • An Overview of Credit Derivatives
    • On Risk Neutral Pricing of CDOs
    • The Valuation of Default-Triggered Credit Derivatives
    • On The Pricing of Credit Spread Options: a Two Factor HW-BK Algorithm
    • Collateralised Debt Obligations
    • Valuation of Credit Default Swap and Swaptions
    • A Rating-based Model for Credit Derivatives
    • Basket Default Swaps, CDO's and Factor Copulas
    • The Valuation of Credit Default Swap Options
    • Credit Risk and Credit Derivatives in Banking
    • The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
    • Debt Subordination and The Pricing of Credit Default Swaps
    • Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
    • An Empirical Study of Credit Default Swaps
      • JEL G22
    • A Note on Survival Measures and the Pricing of Options on Credit Default Swaps
    • A Brief Review of "The Basis"
    • Pricing Baskets using Gaussian Copula and BET Methodology: a Market Test
    • Credit Derivatives in Emerging Markets
    • Joint Default and Recovery Risk Estimation: An Application to CDS Data
    • Credit Risk Transfer
    • First-to-Default Valuation
    • Credit Risk Derivatives and Competition in the Loan Market: (Simplified Version)
    • Copula Functions and their Application in Pricing and Risk Managing Multiame Credit Derivative Products
    • CDO Modeling: Techniques, Examples and Applications
    • An Empirical Analysis of the Dynamic Relationship Between Investment-grade Bonds and Credit Default Swaps
    • Candidate Market Models and the Calibrated CIR++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters
    • Hedging of Credit Derivatives in Models with Totally Unexpected Default
    • Credit Risk Modeling with Gaussian Random Fields
    • Composite Basket Model
    • A Comparison Between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing
    • Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
      • JEL C2
    • Default Risk Sharing Between Banks and Markets: The contribution of collateralized debt obligations
      • JEL D74
    • An Extended Market Model for Credit Derivatives
    • The Determinants of Credit Default Swap Premia
    • A Note on Efficient Pricing and Risk Calculation of Credit Basket Products
    • Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Loan Obligations
    • CDO rating methodology: Some thoughts on model risk and its implications
    • Credit Swap Valuation
    • Insider Trading in Credit Derivatives
      • JEL D8
    • Arbitrage-Free Price Ranges for nth-to-Default Swaps
    • Pricing Credit Default Swaps under Lévy Models
    • Constant Maturity Credit Default Swap Pricing with Market Models
    • Comparing BET and Copulas for Cash Flows CDO's
      • JEL G19
    • On Rating Cash Flow CDO's using the BET Techinique
    • An Evaluation of the Base Correlation Framework for Synthetic CDOs
      • JEL E47
    • Fast CDO Computations in the Affine Markov Chain Model
    • Pricing Equity Default Swaps
    • Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
    • The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model
    • Credit Default Swaps with Counterparty Risk: A Calibrated Markov Model
    • Valuing Credit Derivatives
    • A Comparative Analysis of CDO Pricing Models
      • JEL D46
      • JEL D84
      • JEL M41
    • Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms
    • Credit Default Swap Valuation with Counterparty Risk
    • Model Risk in Copula Based Default Pricing Models
    • Risk-Neutral Correlations in the Pricing and Hedging of Basket Credit Derivatives
    • Understanding and Hedging Risks in Synthetic CDO Tranches
    • Pricing and Trading Credit Default Swaps in a Hazard Process Model
    • Credit Default Swap Valuation: An application to Spanish firms
    • Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation
    • Arbitrage Pricing of Single-Name Credit Derivatives
    • Valuation of Basket Credit Derivatives in the Credit Migrations Environment
    • PDE Approach to Valuation and Hedging of Credit Derivatives
    • Valuing Credit Derivatives Using an Implied Copula Approach
    • Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives
    • Credit Risk Models IV: Understanding and pricing CDOs
    • Credit Default Swap Prices as Risk Indicators of Large German Banks
    • A Correlation Bridge between Structural Models and Reduced Form Models for Multiname Credit Derivatives
    • A Dynamic Approach to the Modelling of Correlation Credit Derivatives Using Markov Chains
    • Structuring and Rating Cash-flow CDOs with Rating Transition Matrices
    • Pricing and Rating CDOs of Equity Default Swaps with NGARCH-M Copulae
    • The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing
    • How Much Do Banks Use Credit Derivatives to Reduce Risk
    • Collateralized Debt Obligations Pricing and Factor Models: A new methodology using Normal Inverse Gaussian distributions
    • An Incomplete-Market Model for Collateralized Debt Obligations
    • The Forward Loss Model: A dynamic term structure approach for the pricing of portfolio credit derivatives
    • Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
    • Fitting the CDO Correlation Skew: A tractable structural jump-diffusion model
    • Implied Correlations in CDO Tranches
    • Dynamic Copula Processes: A new way of modelling CDO tranches
    • Modeling of Contagion Effects and their Influence to the Pricing of Basket Credit Derivatives
    • Pricing Multi-Name Default Swaps with Counterparty Risk
    • Efficient Pricing Routines of Credit Default Swaps in a Structural Default Model with Jumps
    • Pricing CDOs with Correlated Variance Gamma Distributions
    • Exact Replication of k-th-to-Default Swaps with First-to-Default Swaps
    • CDO Squared Pricing Using Gaussian Mixture Model with Transformation of Loss Distribution
    • Accounting Transparency and the Term Structure of Credit Default Swap Spreads
    • An Integro-differential Equation for Pricing CDO
    • A Dynamic Programming Approach for Pricing CDS and CDS Options
    • CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions
    • Levy Process Dynamic Modelling of Single-Name Credits and CDO Tranches
    • CDS Calibration with Tractable Structural Models Under Uncertain Credit Quality
    • The Pricing of Credit Default Swaps During Distress
    • The Information Content of Option-Implied Volatility for Credit Default Swap Valuation
    • An Efficient Approach to Valuation of Credit Basket Products and Ratings Triggered Step-up Bonds
    • An Implied Loss Model
    • A Generic One Factor Levy Model for Pricing Synthetic CDOs
    • The Delivery Option in Credit Default Swaps
    • An Empirical Analysis of the Pricing of Collateralized Debt Obligations
    • Optimal Static Hedging of Defaults in CDOs
    • The J.P. Morgan Guide to Credit Derivatives
    • Multiscale Intensity Models for Single Name Credit Derivatives
    • Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
    • Are European Corporate Bond and Default Swap Markets Segmented?
    • Overpricing in Emerging Market Credit-Default-Swap Contracts: Some evidence from recent distress cases
      • JEL K33
      • JEL K41
    • A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket
    • A Semi-Analytical Parametric Model for Dependent Defaults
    • An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors
    • Credit Barrier and Dynamic Correlation Techniques for Pricing CDOs of SMEs
    • Credit Derivatives with Recovery of Market Value for Multiple Firms
    • On Copulas and their Application to CDO Pricing
    • A Note on the Risk Management of CDOs
    • .
    • Stochastic Intensity Modelling for Structured Credit Exotics
    • A Unified Approach to Credit Default Swaption and Constant Maturity Credit Default Swap Valuation
    • Loss Unit Interpolation in the Collateralized Debt Obligation Pricing Model
    • Considerations for Rating Commodities-Linked Credit Obligations ("CCOs")
    • Dynamic Copulas and Forward Starting Credit Derivatives
    • First Generation CPDO: Case Study on Performance and Ratings
    • BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
    • Inflation Indexed Credit Default Swaps
    • Valuation of Loan CDS Under Intensity Based Model
    • PDE Approach to the Valuation and Hedging of Basket Credit Derivatives
    • Let's Jump Together - Pricing of Credit Derivatives: From Index Swaptions to CPPIs
    • US Corporate Default Swap Valuation: The market liquidity hypothesis and autonomous credit risk
    • Recursive Valuation of Basket Default Swaps
    • Single Name Credit Default Swaptions Meet Single Sided Jump Models
    • An Exact Formula for Default Swaptions Pricing in the SSRJD Stochastic Intensity Model
    • Fast Valuation of Forward-Starting Basket Default Swaps
    • Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
    • A Unified Framework for Pricing Credit and Equity Derivatives
    • A Value at Risk Analysis of Credit Default Swaps
    • Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
    • Are Credit Default Swap Spreads Market Driven
    • Credit Default Swap Spreads and US Financial Market:  Investigating some dependence structure
    • Dynamic Pricing of Synthetic Collateralized Debt Obligations
    • Credit Risk Transfer: Developments from 2005 to 2007
    • Toward a New Framework and a Better Understanding of Credit Default Swaps
    • Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
    • A Simple Robust Link Between American Puts and Credit Insurance
    • Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
    • Counterparty Risk Valuation for CDS
    • CVA Calculation for CDS on Super Senior ABS CDO
    • Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate
    • Bond Implied CDS Spread and CDS-Bond Basis
    • Two Generic Frameworks for Credit Index Volatility Products and Their Application to Credit Index Options
    • Hedging of Credit Default Swaptions in a Hazard Process Model
    • Valuation of Credit Default Swaptions and Credit Default Index Swaptions
    • CDS Market Formulas and Models
    • Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
    • SoChi: A local moment surface pricing method of the basket credit products
    • Understanding Decreasing CDS Curves
    • Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering
    • Charting a Course Through the CDS Big Bang
    • Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults
    • pp_crdrv178
    • Credit Derivatives
      • Pricing Credit Derivatives with Rating Transitions
      • Credit Risk Derivatives
      • Saddlepoint Approximation Method for Pricing CDOs
      • Sources of Credit Risk: Evidence from Credit Default Swaps
      • The Pricing of Credit Risk Derivatives
  • Papers about Colateralized Debt Obligations (CDOs)
    • Credit Derivatives in an Affine Framework
    • Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
    • Utility Valuation of Multiname Credit Derivatives and Application to CDOs
    • Correlation Expansions for CDO Pricing
    • A Note on Markov Functional Loss Models
    • A Comparative Analysis of Correlation Skew Modeling Techniques for CDO Index Tranches
    • A Note on the Correlation Smile
    • Implied Expected Tranched Loss Surface from CDO Data
    • Implied Correlation in CDO Tranches: A Paradigm To Be Handled with Care
    • Forwards and European Options on CDO Tranches
    • Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models
    • Pricing Correlation-Dependent Derivatives Based on Exponential Approximations to the Hockey Stick
    • Lévy Simple Structural Models
    • A Structural Model for Credit-Equity Derivatives and Bespoke CDOs
    • CDO Squared: A Closer Look at Correlation
    • CDOs in Chains
    • Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
    • Loss Distribution Evaluation for Synthetic CDOs
    • Valuation of Forward Starting CDOs
    • Affine Point Processes and Portfolio Credit Risk
    • A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Levy Model
    • Higher Order Large Deviation Approximations Applied to CDO Pricing
    • Forward-Start CDO's, Options on CDO's, and Calibration
    • Markov Copulae Approach to Pricing and Hedging of Credit Index Derivatives and Ratings Triggered Step-Up Bonds
    • Minimum-Entropy Calibration of CDO Tranches
    • Risk Neutral versus Objective Loss Distribution and CDO Tranches Valuation
    • Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models
      • JEL C44
    • An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches
    • Using Distortions of Copulas to Price Synthetic CDOs
    • Hedging Default Risks of CDOs in Markovian Contagion Models
    • Pricing Tranched Credit Products with Generalized Multifactor Models
    • Copula Based Simulation Procedures for Pricing Basket Credit Derivatives
    • Optimal Leverage Function for CPDOs
    • Wiping the Smile Off Your Base (Correlation Curve)
    • Hedging of Basket Credit Derivatives in Credit Default Swap Market
    • Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
    • Estimating Tranche Spreads by Loss Process Simulation
    • Break on Through to the Single Side
    • CDO Evaluation Through Exact Simulation
    • Base Expected Loss explains Lévy Base Correlation Smile
    • Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
    • Credit Risk Analysis of Cashflow CDO Structures
    • Simultaneous Calibration to a Range of Portfolio Credit Derivatives with a Discrete-Time Multi-Step Markov Loss Model
    • Risk Premia in Structured Credit Derivatives
    • Lévy Base Correlation Explained
    • CDO Models - Towards the Next Generation: Incomplete Markets and Term Structure
    • Advanced Credit Portfolio Modeling and CDO Pricing
    • Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
    • A Top-down Approach to Multi-name Credit
    • CDO Pricing with Nested Archimedean Copulas
    • Interacting Particle Systems for the Computation of CDO Tranche Spread with Rare Defaults
    • Dynamic Conditioning and Credit Correlation Baskets
    • Structured Finance CDOs and Event of Default Risk
    • Dynamic Copulas: Applications to finance and economics
      • JEL C30
    • The Static Hedging of CDO Tranche Correlation Risk
    • Comparing Some Alternative Lévy Base Correlation Models for Pricing and Hedging CDO Tranches
    • The Discrete Gamma Pool Model
    • Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
    • Hedging and Asset Allocation for Structured Products
    • Risk Transfer with CDOs
    • CDO Loss Termucture Expansions in a Fatal-Shock Framework
    • An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches
    • Optimal Dynamic Hedging of Cliquets
    • Pricing Distressed CDOs with Base Correlation and Stochastic Recovery
    • Modeling of CPDOs Identifying Optimal and Implied Leverage
    • How has CDO Market Pricing Changed During the Turmoil: Evidence from CDS index tranches
    • Lévy Density Based Intensity Modeling of the Correlation Smile
    • Arbitrage-free Loss Surface Closest to Base Correlations
    • On CDO Tranche Pricing when Copula is Nearly Comonotone
    • Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
    • CDO Tranche Sensitivities in the Gaussian Copula Model
    • A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs
    • Risk Analysis of Collateralized Debt Obligations
    • CDO Mapping with Stochastic Recovery
    • A Multi-Portfolio Model for Bespoke CDO Pricing, Part I: Methodology
    • Do Not Forget the Cancellation: Marking-to-market and hedging LCDX tranches
    • Valuation of Loan CDS and Synthetic Loan CDO with Prepayment Risk
    • Pricing Basket Default Swaps in a Tractable Shot-noise Model
    • On Break-even Correlation: The way to price structured credit derivatives by replication
    • Bank Monitoring Incentives and Optimal CDOs
    • The Risk of Tranches Created from Residential Mortgages
    • Pricing Distressed CDOs with Stochastic Recovery
    • Pricing and Hedging CLOs with Implied Factor Models
    • CDOs, How far should we depart from Gaussian copulas?
    • .
    • Collateralized Debt Obligations
      • CDO Pricing with Factor Models: Survey and Comments
      • Semi-analytic Approaches to Collateralized Debt Obligation Modelling
      • CDO Parameters Estimation Using Market Prices
  • Papers about Credit: (Correlations / Portfolio Effects / Diversification)
    • Simulating Correlated Defaults
    • Default Correlation: An Analytical Result
    • Correlation - the hidden risk in Collateralized Debt Obligations
    • Dependent Defaults in Models of Portfolio Credit Risk
    • On Default Correlation: A Copula Function Approach
    • Integrating Correlations
    • Evaluating "Correlation Breakdowns" During Periods of Market Volatility
    • Correlation: Pitfalls and Alternatives
    • Modelling Default Correlation in Bond Portfolios
    • The Effects of Default Correlation on Corporate Bond Credit Spreads
    • Valuing Credit Default Swaps II: Modeling Default Correlations
    • Remarks on Pricing Correlation Products
    • Default Risk and Diversification: Theory and Empirical Implications
    • Correlation and Dependence in Risk Management: Properties and Pitfalls
    • Linear Correlation Estimation
    • What Are the Sources of Country and Industry Diversification?
    • Modelling Dependent Defaults
    • Aggregation of Correlated Risk Portfolios: Models & Algorithms
    • Modelling Dependence with Copulas and Applications to Risk Management
    • On Approximation of Copulas
    • Modelling Dependencies in Credit Risk Management
    • Copula-Dependent Default Risk in Intensity Models
    • Firm Value, Diversified Capital Assets, and Credit Risk: Towards a Theory of Default Correlation
    • Correlated Default with Incomplete Information
    • Copula from the Limit of a Multivariate Binary Model
    • A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
    • Estimating Credit Contagion in a Standard Factor Model
    • Default Probabilities and Default Correlations
    • A Simple Exponential Model for Dependent Defaults
    • Beyond Correlation: Extreme Co-movements Between Financial Assets
      • JEL C12
    • Correlated Default Processes: A Criterion-Based Copula Approach
    • Correlated Default Risk
    • Credit Contagion and Aggregate Losses
    • Default Correlation in Reduced-Form Models
    • Dependent Defaults and Credit Migrations
    • Cyclical Correlations, Credit Contagion, and Portfolio Losses
    • Credit Chains and the Propagation of Financial Distress
    • Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany
    • Gaussian Copula Approximations and Their Applications
    • How Does Systematic Risk Impact US Credit Spreads? A Copula Study
    • Credit Contagion and Credit Risk
    • Business and Default Cycles for Credit Risk
    • Competition and Diversification Effects in Supply Chains with Supplier Default Risk
    • Correlation of Default Events: Some New Tools
    • Factor Copulas: Totally External Defaults
    • Excessive Variation of Risk Factor Correlations and Volatilities
    • Macroeconomic Dynamics and Credit Risk: A Global Perspective
      • JEL E17
    • Determinants of the Asset Correlations of German Corporations and Implications for Regulatory Capital
    • Extreme Events and Multi-Name Credit Derivatives
    • Correlation at First Sight
    • Correlated Defaults in Intensity-Based Models
    • A Simple Model of Credit Contagion
    • In the Core of Correlation
    • Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
    • Correlated Defaults and the Valuation of Defaultable Securities
    • Common Failings: How Corporate Defaults are Correlated
    • An Infinite Factor Model for Credit Risk
    • Pricing Swap Credit Risk with Copulas
    • Modelling Correlations in Portfolio Credit Risk
    • The Implications of Implied Correlation
    • Credit Risk Enhancement in a Network of Interdependent Firms
    • Double Default Correlation
    • Modeling Default Dependence with Threshold Models
    • Asset Correlations: A Literature Review and Analysis of the Impact of Dependent Loss Given Defaults
    • Default Correlation: From Definition to Proposed Solutions
    • Credit Risk Models I: Default Correlation in Intensity Models
    • Information-Driven Default Contagion
    • Which Archimedean Copula is the Right One?
    • Is Firm Interdependence within Industries Important for Portfolio Credit Risk?
      • JEL C34
      • JEL D61
    • Non-parametric Estimation of Elliptical Copulae With Application to Credit Risk
    • Credit Risk Assessment via Copulas: Association Invariance and Risk Neutrality
    • Tails of Credit Default Portfolios
      • JEL G39
    • Do We Need to Worry About Credit Risk Correlation?
    • The Impact of Stock Returns Volatility on Credit Default Swap Rates: A copula study
    • Dynamic Credit Correlation Modelling
    • Beyond the Gaussian Copula: Stochastic and local correlation
    • The Importance of Simultaneous Jumps in Default Correlation (job market paper)
    • The Underlying Dynamics of Credit Correlations
    • Probability of Default as a Function of Correlation: The problem of non-uniqueness
    • Dynamic Credit Correlation Modeling
    • Sampling from Archimedean Copulas
    • Effects of Economic Interactions on Credit Risk
    • Tools for sampling Multivariate Archimedean Copulas
    • Extreme VaR Scenarios in Higher Dimensions
    • Infinite-mean Models and the LDA for Operational Risk
    • Frailty Correlated Default
    • Correlated Binomial Models and Correlation Structures
    • Coping with Copulas
    • Modeling Correlated Defaults: First passage model under stochastic volatility
    • Explaining Base Correlation Skew Using NG (Normal-Gamma) Process
    • Copulas from Infinitely Divisible Distributions: Applications to Credit Value at Risk
    • Correlated Random Walks and the Joint Survival Probability
    • A Comparative Empirical Study of Asset Correlations
    • Cross-Border Bank Contagion In Europe
    • Perturbed Gaussian Copula
    • Misspecified Copulas in Credit Risk Models - How Good Is Gaussian
    • Copula Methods vs Canonical Multivariate Distributions: the multivariate Student T distribution with general degrees of freedom
    • Time-changed Birth Processes and Multi-name Credit Derivatives
    • Default Correlation and Its Effect on Portfolios of Credit Risk
    • Extending Gaussian Copula with Jumps to Match Correlation Smile
    • Delayed Default Dependency and Default Contagion
    • The Grouped t-copula with an Application to Credit Risk
    • Simulation Based Approach for Measuring Concentration Risk
    • Modelling Default Contagion using Multivariate Phase-type Distributions
    • Default Contagion in Large Homogeneous Portfolios
    • Factor Models for Credit Correlation
    • Confidence Sets for Asset Correlation
    • Lévy Base Correlation
    • New Families of Copulas Based on Periodic Functions
    • Comparison Results for Credit Risk Portfolios
    • Dependency without Copulas or Ellipticity
    • Migration Dependence Among the US Business Sectors
    • The Core Factor: A fast and accurate factor reduction technique
    • Study of Dependence for Some Stochastic Processes
    • Premia for Correlated Default Risk
    • Infectious Default Model with Recovery and Continuous Limits
    • Large Portfolio Losses: A dynamic contagion model
    • Forecasting Cross-Sections of Frailty-Correlated Default
    • Self-exciting Corporate Defaults: Contagion vs. frailty
    • Are Default Correlations Time Dependent? A Bayesian approach
    • Default Correlations and the Effect of Estimation Errors on Risk Figures
    • Asset Correlations and Credit Portfolio Risk: An empirical analysis
    • Systemic Credit Risk: What is the market telling us?
    • Credit Contagion from Counterparty Risk
    • Linking Global Economic Dynamics to a South African Specific Credit Portfolio
    • Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
    • Multi-Scale Time-changed Birth Processes for Pricing Multi-name Credit Derivatives
    • Graphical Models for Correlated Defaults
    • On Correlation Effects and Default Clustering in Credit Models
    • Double t Copula Pricing of Structured Credit Products: Practical aspects of a trustworthy implementation
    • Properties of Hierarchical Archimedean Copulas
      • JEL C46
    • Multivariate Extremes and the Aggregation of Dependent Risks: Examples and counter-examples
    • Correlation in Corporate Defaults: Contagion or conditional independence?
    • pp_corr134
    • Correlations
      • Modern Portfolio Theory: Can it Work for Commercial Loans?
      • Default Correlation and Credit Analysis
      • Risk Management of Correlation Products
      • Impact of Correlated Default Risk on Credit Portfolios
      • A Multivariate Exponential Distribution
      • Corporate Credit-Risk Dynamics
      • An Analysis of Default Correlations and Multiple Defaults
      • Infectious Defaults
      • Firm Defaults and the Correlation Effect
      • On the Probabilities of Correlated Defaults: a First Passage Time Approach
      • A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios
  • Papers about Recovery Rates / Loss Given Default
    • Why is Bank Debt Senior? A Theory of Asymmetry and Claim Priority Based on Influence Costs
    • Absolute Priority Rule Violations, Credit Rationing, and Efficiency
    • Absolute Priority Rule Violations in Bankruptcy
    • Do Airlines in Chapter 11 Harm Their Rivals?: Bankruptcy and Pricing Behavior in U.S. Airline Markets
    • Recovering Your Money: Insights Into Losses From Defaults
    • Recovery Ratios and Survival Times for Corporate Bonds
    • A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans
    • Market Dynamics and Investment Performance of Distressed and Defaulted Debt Securities
    • Bankruptcy Auctions: Costs, Debt Recovery, and Firm Survival
      • JEL G34
      • JEL K22
    • Collateral, Renegotiation and the Value of Diffusely Held Debt
    • The Importance of Bank Seniority for Relationship Lending
    • Regimes, Recoveries and Loan Ratings: the importance of insolvency legislation
    • Recovery Trends: Any Usefulness Whatsoever?
    • Valuation of Bankrupt Firms
    • Do Economic Downturns Have an Impact on the Loss Given Default of Mobile Lease Contracts? An Empirical Study for the German Leasing Market
    • Bank Loan Loss Given Default
    • On Recovery And Intensity Correlation: A new class of credit risk models
    • Choosing the Discount Factor for Estimating Economic LGD
    • Debtor-in-possession financing: Size does matter
    • An Empirical Analysis of Bond Recovery Rates: Exploring A Structural View of Default
    • Measuring Loss on Latin American Defaulted Bank Loans: A 27-Year Study of 27 Countries
    • Recovery Rates: The Search for Meaning
    • Pricing the Risk of Recovery in Default with APR Violation
    • Suddenly Structure Mattered: Insights into Recoveries of Defaulted Debt
    • Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina
    • The Paradox of Priority
    • Depressing Recoveries
    • Analyzing and Explaining Default Recovery Rates
    • The Resolution of Financial Distress
    • LossCalc: Moody's Model for Predicting Loss Given Default (version 1)
    • Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
      • JEL C5
    • Debt Recoveries for Corporate Bankruptcies
    • Bankrupt Bank Loan Recoveries
    • Defaulted Bank Loan Recoveries
    • The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
    • Secured Creditor Recovery Rates from Management Buy-outs in Distress
    • Recovery of Face Value at Default: Empirical evidence and implications for credit risk pricing
    • Recovery Rates in the Leasing Industry
    • The Risk-Adjusted Cost of Financial Distress
    • What Do We Know About Loss-Given-Default?
    • Recovery Rates from Distressed Debt - Empirical Evidence from Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings
    • Does Industry-wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries
    • Is Bargaining in Chapter 11 Costly?
      • JEL C78
    • An analysis of bankruptcy bargaining in the U.S.
    • Optimal Stochastic Recovery for Base Correlation
    • The Choice Among Traditional Chapter 11, Prepackaged Bankruptcy, and Out-of-Court Restructuring
    • Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption
    • Resolving Financial Distress by way of a Contract: an Empirical Study of Small UK Companies
    • Double Impact: Credit Risk Assessment and Collateral Value
    • Structural Recovery of Face Value at Default
    • The Costs of Bankruptcy: Chapter 7 Cash Auctions vs. Chapter 11 Bargaining
    • The Firm's Reorganization Decision: Empirical Evidence from Canada
    • Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence
    • Systematic Risk in Recovery Rates - An Empirical Analysis of U.S. Corporate Credit Exposures
    • Bankruptcy Resolution in Japan: Corporate Reorganization vs. Civil Rehabilitation
    • Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany, and the U.K.
      • JEL G30
    • The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates
    • Reputation and the Market for Distressed Firm Debt
    • Corporate Bankruptcy Reorganizations: Estimates from a Bargaining Model
    • Measuring LGD on Commercial Loans: An 18-Year Internal Study
    • Theory and Evidence On the Resolution of Financial Distress
    • Multiple Lenders and Corporate Distress: Evidence on debt restructuring
    • LossCalc v2: Dynamic Prediction of LGD
    • Credit Risk, Default Loss, and the Economics of Bankruptcy
    • A Note on Forecasting Aggregate Recovery Rates with Macroeconomic Variables
    • The Direct Costs of Corporate Reorganization: An Empirical Examination of Professional Fees in Large Chapter 11 Cases
    • Modeling the Recovery Rate in a Reduced Form Model
    • Recovery Rates of Bank Loans: Empirical Evidence for Germany
    • Advancing Loss Given Default Prediction Models: How the quiet have quickened
    • Band Loan Losses-Given-Default: A case study
    • Recovery Rates, Default Probabilities and the Credit Cycle
    • Modeling the Term Structure of Defaultable Bonds under Recovery Risk
    • Implied Recovery
    • Separating the Components of Default Risk: A Derivative-Based Approach (Job Market Paper)
    • Credit Information from Equity Option Prices
    • Recovery Ratings: Exposing the Components of Credit Risk
    • Recovery Ratings Reveal Diverse Expectations for Loss in the Event of Default
    • A Multifactor Approach for Systematic Default and Recovery Risk
    • The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
    • (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
    • Joint Estimation of Default and Recovery Risk: A Simulation Study
    • How Much of a Haircut? Options-based structural modeling of defaulted bond recovery rates
    • Discount Rate for Workout Recoveries: An empirical study
    • Bank Loan-Loss Provisioning: Methodology and Application
    • Loss Given Default Implied by Cross-sectional No Arbitrage (Job Market Paper)
    • Generalized Beta Regression Models for Random Loss-Given-Default
    • Bank Loan and Bond Recovery Study: 1997-2000
    • Implied Market Loss Given Default in the Czech Republic: Structural-model approach
    • Forecasting Bank Loans Loss-given-default
      • JEL G17
    • Recoveries
      • Defaulted Bonds: Demand, Supply and Performance, 1987-1992
      • Does the Bond Market Predict Bankruptcy Settlements?
      • The Pricing of Bonds in Bankruptcy and Financial Restructuring
      • Risk and Return in Defaulted Bonds
      • Bonds in Default: Is Patience a Virtue?
      • Do Seniority Provisions Protect Bondholders' Investments?
      • Security Pricing and Deviations from the Absolute Priority Rule in Bankruptcy Proceedings
      • Measuring Loss on Defaulted Bank Loans: A 24-Year Study
      • Anatomy of Financial Distress: An Examination of Junk-Bond Issuers
      • Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds
      • Mergers as a Means of Restructuring Distressed Firms: An Empirical Investigation
      • The Losses Realized in Bank Failures
      • Default Parameter Estimation Using Market Prices
      • How Long Do Junk Bonds Spend in Default?
      • A Note on Noise in the Market for Bankrupt Firms' Securities
      • Severity of Loss in the Event of Default in Small Business and Larger Consumer Loans
      • Resolution of Financial Distress: Debt Restructurings via Chapter 11, Prepackaged Bankruptcies, and Workouts
      • The Role of Collateral in Credit Markets with Imperfect Information
      • Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios
      • An Empirical Investigation of U.S. Firms in Reorganization
      • A Comparison of Financial Recontracting in Distressed Exchanges and Chapter 11 Reorganizations
      • The Role of Collateral in a Model of Debt Renegotiation
      • Effects of Bankruptcy Court Protection on Asset Sales
      • Sources of Gains to Shareholders from Bankruptcy Resolution
      • Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence
      • Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Issuers: 1983-2003
      • On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities
      • The Dynamics of Default and Debt Reorganization
      • High-Yield Default Losses and the Return Performance of Bankrupt Debt
      • Collateral Damage
      • When Do Banks Take Equity in Debt Restructurings?
      • Debtor-in-possession Financing and the Resolution of Uncertainty in Chapter 11 Reorganizations
  • Papers about Credit Regulation: (Discussions / Pronouncements)
    • A New Capital Adequacy Framework
    • Credit Risk Rating at Large U.S. Banks
    • Range of Practice in Banks' Internal Ratings Systems
    • Financial Innovation and the Management and Regulation of Financial Institutions
    • Risk-Based Capital Standards and the Riskiness of Bank Portfolios
    • Principles for the Management of Credit Risk
    • Best Practices for Credit Risk Disclosure
    • Credit Ratings and Complementary Sources of Credit Quality Information
    • Sound Credit Risk Management and the Use of Internal Credit Risk Ratings at Large Banking Organizations
    • Sound Practices for Managing Liquidity in Banking Organisations
    • Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature
    • Sound Practices for Loan Accounting and Disclosure
    • Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
    • Policy implications of the Federal Reserve study of credit risk models at major US banking institutions
      • JEL G2
    • Industry Practices in Credit Risk Modeling and Internal Capital Allocations
    • Regulatory Implications of Credit Risk Modelling
    • Do Capital Adequacy Requirements Reduce Risks in Banking?
    • The New Basel Capital Accord: an explanatory note
    • A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
    • Basel II Correlation Values: An empirical analysis of EL, UL and the IRB Model
    • Public Disclosure and Bank Failures
      • JEL D28
    • Banking and Securitization
    • Incorporating Equity Market Information into Supervisory Monitoring Models
    • Using Credit Risk Models for Regulatory Capital: Issues and Options
    • The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size
    • A Guide to Choosing Absolute Bank Capital Requirements
    • Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy
    • Risk Trading, Network Topology, and Banking Regulation
    • Credit Risk Transfer and Financial Sector Performance
    • Credit Risk Models: An Application to Deposit Insurance Pricing
    • An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
    • Rating System Dynamics and Bank-Reported Default Probabilities under the New Basel Capital Accord
    • Loan Pricing under Basel Capital Requirements
    • Loan-Portfolio Quality and the Diffusion of Technological Innovation
      • JEL O31
    • Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach
    • Credit Risk Factor Modeling and the Basel II IRB Approach
    • The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model
    • Using Securities Market Information for Bank Supervisory Monitoring
    • Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different
    • Assessing Credit Loss Distributions: Bayesian Multi-Period Model vs. Basel II Model
    • Economic and Regulatory Capital in Banking: What is the Difference?
    • Background Note on LGD Quantification
    • Capital Allocation for Securitizations with Uncertainty in Loss Prioritization
    • Equity and Bond Market Signals as Leading Indicators of Bank Fragility
    • Market Indicators Bank Fragility and Indirect Market Discipline
    • Forward-Looking Estimation of Default Probabilities with Italian Data
    • The Basel II IRB approach revisited: do we use the correct model?
    • International Convergence of Capital Measurement and Capital Standards: A Revised Framework
    • Guidance on Paragraph 468 of the Framework Document
    • Implementing Basel II in Retail Banking: A simple statistical approach
    • On Sovereign Credit Migration: Small-sample properties and rating evolution
    • Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs
    • Regulatory Treatment of the Double Default Effect under the New Basel Accord: How conservative is it
    • A Loss Default Simulation Model of the Federal Bank Deposit Insurance Funds
    • The Use of Portfolio Credit Risk Models in Central Banks
    • Credit Concentration Risk: Extended multi-factor adjustment IRB model
    • Estimating Spillover Risk Among Large EU Banks
    • Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework
    • Innovations in Credit Risk Transfer: Implications for Financial Stability
    • Measuring Concentration Risk for Regulatory Purposes
    • What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches
    • Monitoring Banking Sector Risks: An applied approach
      • JEL F37
    • Direct Calibration of Maturity Adjustment Formula from Average Cumulative Issuer-Weighted Corporate Default Rates
    • Basel II Second Pillar: An analytical VaR with contagion and sectorial risks
    • The Turner Review: A regulatory response to the global banking crisis
    • Proposed Enhancements to the Basel II Framework
    • Basel II's Proposed Enhancements: Focus on concentration risk
    • A New Capital Regulation for Large Financial Institutions
    • Monitoring Banking Sector Risks: An applied approach
    • Supervisory
      • Why do contagion effects vary among bank failures?
      • Testing for Market Discipline in the European Banking Industry: Evidence from subordinated debt issues
      • Strengthening banks' market discipline and leveling the playing field: Are the two compatible?
      • An Analysis of European Banks' SND Issues and its Implications for the Design of a Mandatory Subordinated Debt Policy
      • The Basel Committee Proposals for a New Capital Accord: Implications for Italian banks
      • Capital Requirements and Business Cycle Regimes: Forward-looking modelling of default probabilities
      • A Risk-factor Model Foundation for Ratings-based Bank Capital Rules
      • Credit Risk Transfer and Contagion
  • Papers about Testing Credit Risk Models
    • A Nonparametric Test for Credit Rating Refinements
    • Pitfalls in Tests for Changes in Correlations
    • Evaluating Credit Risk Models
    • Validation of Internal Rating Systems and PD Estimates
    • Stress Testing: A Review of Key Concepts
    • Testing Density Forecasts, with Applications to Risk Management
    • A Coherent Framework for Stress-Testing
    • Stress Testing by Large Financial Institutions: Current Practice and Aggregation Issues
    • From Value at Risk to Stress Testing: The Extreme Value Approach
    • The Effects of Estimation Error on Measures of Portfolio Credit Risk
    • An Alternative Method for Testing Credit Risk Models
    • Testing for Rating Consistency in Annual Default Rates
    • Defaultable Security Valuation and Model Risk
    • Evaluating credit risk models: A critique and a proposal
    • Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
    • An International Survey of Stress Tests
    • Consultative Paper on Credit Stress-Testing
    • A Practical Approach to Validating a PD Model
    • Goodness-of-Fit Test for Event Forecasting
    • Testing Rating Accuracy
    • Testing Probability Calibrations: Application to credit scoring models
    • Metrics for Comparing Credit Migration Matrices
    • ARE THE PROBABILITIES RIGHT?
    • Identifying Threshold Effects in Credit Risk Stress Testing
    • Uses and Misuses of Measures for Credit Rating Accuracy
    • A Traffic Lights Approach to PD Validation
    • Optimal Simultaneous Validation Tests of Default Probabilities, Dependencies, and Credit Risk Models
    • Measuring the Discriminative Power of Rating Systems
    • An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies
    • Evaluating the Forecasts of Risk Models
    • Validating Default Probabilities on Short Time Series
    • Global Sensitivity Analysis for Latent Factor Credit Risk Models
    • Benchmarking Model of Default Probabilities of Listed Companies
    • Confidence Intervals for the Area under the ROC Curve
    • Stress Testing at Major Financial Institutions: Survey results and practice
    • Evidence on the Incompleteness of Merton-type Structural Models for Default Prediction
    • Studies on the Validation of Internal Rating Systems
    • Macro Stress and Worst Case Analysis of Loan Portfolios
    • Quantitative Validation of Rating Models for Low Default Portfolios through Benchmarking
    • Macro Stress Tests and History-Based Stressed PD: The case of Hong Kong
    • Myth and Reality of Discriminatory Power for Rating Systems
    • Discriminatory Power: An obsolete validation criterion?
      • JEL C45
    • Macro-model-based Stress Testing of Basel II Capital Requirements
    • Macro Stress-Testing on the Loan Portfolio of Japanese Banks
    • Estimating Discriminatory Power and PD Curves when the Number of Defaults is Small
    • Testing Abstracts
      • Evaluating Credit Risk Models Using Loss Density Forecasts
      • Benchmarking Default Prediction Models: Pitfalls and Remedies in Model Validation
      • Stress-Testing Credit Risk Parameters: An application to retail loan portfolios
      • The Meaning and Use of the Area under a Receiver Operating Characteristics (ROC) Curve
      • A Simple Generalisation of the Area Under the ROC Curve for Multiple Class Classification Problems
  • Papers about Credit Scoring
    • Bank Lending Policy, Credit Scoring and Loan Survival
    • Choosing Bankruptcy Predictors Using Discriminant Analysis, Logit Analysis, and Genetic Algorithms
    • Bank Failure Prediction: A Two-Step Survival Time Approach
    • Credit Risk Drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
      • JEL C25
    • Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology
    • Estimating Probabilities of Default With Support Vector Machines
      • JEL C45
    • Bank Failures, Financial Restrictions, and Aggregate Fluctuations
    • The Contribution of On-site Examination Ratings to an Empirical Model of Bank Failures
    • Forecasting Bankruptcy More Accurately: A simple hazard model
    • Staying Afloat When the Wind Shifts: External Factors and Emerging-Market Banking Crises
    • Estimating Default Probabilities Implicit in Equity Prices
    • Estimating a Financial Distress Rating System for Spanish Firms with a Simple Hazard Model
    • Option-Based Bankruptcy Prediction
    • Predicting Financial Distress of Companies: Revisiting the Z-Score and Zeta® Models
    • Capital Ratios as Predictors of Bank Failure
    • Moody's RiskCalc for Private US Banks
    • The Impact of Firm's Characteristics on Junk-Bond Default
    • Credit Risk Models for Managing Bank's Agricultural Loan Portfolio
      • JEL Q14
    • Estimation of Default Probability by Three-Factor Structural Model
    • A Model of Bankruptcy Prediction
    • From Fault Tree to Credit Risk Assessment: An Empirical Attempt
    • Capital Structure and the Prediction of Bankruptcy
    • Systematic and Idiosyncratic Risk in Middle-Market Default Prediction: A Study of the Performance of the RiskCalc™ and PFM™ Models
    • Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market
    • A Support Vector Machine Approach to Credit Scoring
    • Determinants of Financial Distress: What Drives Bankruptcy in a Transition Economy? The Czech Republic Case
      • JEL P21, P31, & P34
      • JEL K2
    • Classification and Rating of Firms in the Presence of Financial and Non-financial Information
    • Debt and Firm Vulnerability
    • Business Failure in UK and US Quoted Firms: Impact of Macroeconomic Instability and the Role of Legal Institutions
      • JEL L16
    • Evaluation of Default Risk for the Brazilian Banking Sector
    • Estimation of the Default Risk of Publicly Traded Canadian Companies
    • Prediction of Bank Failures Using Combined Micro and Macro Data
    • The Moody's KMV EDF™ RiskCalc™ v3.1 Model
    • The Effect of Fair vs. Book Value Accounting on Banks
    • Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores under Censoring
    • Alternative Methodologies in Studies on Business Failure: do they produce better results than the classical statistical methods?
    • The Identification of Corporate Distress in UK Industrials: A Conditional Probability Analysis Approach
    • Default Greeks Under an Objective Probability Measure
    • Estimating Probabilities of Default
    • An Empirical Test of Option Based Default Probabilities Using Payment Behaviour and Auditor notes
    • Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms
      • JEL D21
    • Predicting and Pricing the Probability of Default
    • Time-to-Default: Life Cycle, Global and Industry Cycle Impacts
    • Credit Scoring and Competitive Pricing of Default Risk
    • Estimating Probabilities of Default for Low Default Portfolios
    • Bayesian Methods for Improving Credit Scoring Models
    • Corporate Credit Risk Modeling: Quantitative rating system and probability of default estimation
    • Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration
    • Forecasting Default with the KMV-Merton Model
    • Corporate Credit Risk Modeling and the Macroeconomy
    • When Do Firms Default? A Study of the Default Boundary
    • Improving the Comparability of Insolvency Predictions
    • From Fault Tree to Credit Risk Assessment: A Case Study
    • Assessing a Knowledge-based Approach to Commercial Loan Underwriting
    • Efficiency of Machine Learning Techniques in Bankruptcy Prediction
    • Estimating Default Barriers from Market Information
    • Thresholds for Ratings' Forecast Default Probabilities: A mean squared error based approach
    • The END: A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability
    • Mapping Corporate Drift towards Default: A study of distance to default of Indian corporates
    • Multi-period Bayesian Bankruptcy Prediction: Using financial ratios and the maturity schedule of long-term debt
    • Fundamentals-Based Estimation of Default Probabilities: A Survey
    • Estimating Probabilities of Default for German Savings Banks and Credit Cooperatives
    • Default Prediction of Various Structural Models
    • Discriminant Analysis of Default Risk
    • Reverse Engineering Banks Financial Strength Ratings Using Logical Analysis of Data
      • JEL H81
      • JEL H81
    • Predicting Bankruptcy with Support Vector Machines
    • Fitch Equity Implied Rating and Probability of Default Model
    • Credit Scoring and the Sample Selection Bias
    • An Empirical Evaluation of Structural Credit Risk Models
    • Default Estimation and Expert Information
    • Financial and Economic Determinants of Firm Default
      • JEL D52
      • JEL D52
    • On the Determinants of the Implied Default Barrier
    • International Banks' Ratings with an Indicator Variable for Country Effects
    • A Universal Spreadsheet for Bank Analysis
    • Incorporating the Dynamics of Leverage into Default Prediction
    • Cr. Scoring
      • Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy
      • Assessing Financial Distress with Probabilistic Neural Networks
      • Firm Mortality: Using Market Indicators to Predict Survival
      • Corporate Distress Diagnosis - An International Comparison
      • Information Asymmetry and the Sinking Fund Provision
      • Credit Risk Assessment using Statistical and Machine Learning: Basic Methodology and Risk Modeling Applications
      • Count Data Models for a Credit Scoring System
      • Neural Networks in Corporate Failure Prediction: The UK Experience
      • Financial Ratios as Predictors of Failure
      • Assessing the Probability of Bankruptcy
  • Sovereign Risk
    • A Dynamic Model for Emerging Debt Markets: The Case of Hong Kong Corporate Credit Risk
    • Sovereign Debt Spreads in a Markov Switching Regime
      • JEL F32
    • Sovereign Credit Ratings
    • Determinants and Impact of Sovereign Credit Ratings
    • Emerging Market Risk and Sovereign Credit Ratings
    • The Pricing of Sovereign Risk: An Application of Option Theory
    • Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000 - 2002b
    • What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data
    • How Sovereign is Sovereign Credit Risk?
    • The Determinants of Sovereign Bond Credit Spreads Changes
    • Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
    • The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer
    • Public Default Dynamics
    • Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
    • Country Risk Ratings: Statistical and Combinatorial Nonrecursive Models
    • Anticipating Credit Events Using Credit Default Swaps, with an Application to Sovereign Debt Crises
    • Defaultable Debt, Interest Rates and the Current Account
      • JEL F41
    • Sovereign Risk in a Structural Approach - Evaluating Sovereign Ability-to-Pay and Probability of Default
    • Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
    • Sovereign Risk Premia
      • JEL F47
    • Debt Intolerance
      • JEL F31
    • Valuation Model of Defaultable Bond Values in Emerging Markets
    • A Risk Management Approach to Emerging Markets Sovereign Debt Sustainability with an Application to Brazilian Data
    • Default Risk and Income Fluctuations in Emerging Economies
    • Default and the Term Structure in Sovereign Bonds
    • A Non-Recursive Regression Model For Country Risk Rating
    • "Rules of Thumb" for Sovereign Debt Crises
      • JEL F33
    • Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
    • Estimating the Effects of Information Quality of Macro Aggregates on Sovereign Risk (Job Market Paper)
    • Determinants of Spreads on Sovereign Bank Loans: The role of credit history
    • Why are there Serial Defaulters? Quasi-experimental evidence from constitutions
    • Credit Derivatives and Sovereign Debt Crises
    • How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa
    • Sovereign Default, Interest Rates and Political Uncertainty in Emerging Markets
      • JEL F41
    • Predicting Sovereign Debt Crises Using Artificial Neural Networks: A comparative approach
    • Country Default Probabilities: Assessing and Backtesting
    • Political Risk and Firm Default Probability: Exploring export credits to high-risk countries
    • Sovereign Debt Crises and Credit to the Private Sector
    • Determinants of Sovereign Risk: Macroeconomic fundamentals and the pricing of sovereign debt
    • Sources of Sovereign Default Risk: An empirical analysis
    • Heterogeneous Borrowers in Quantitative Models of Sovereign Default
    • Measuring Sovereign Risk in Turkey: An application of the contingent claims approach
    • Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" Approach
      • JEL H62
      • JEL E62
    • A Stochastic Framework for Public Debt Sustainability Analysis
    • Default and the Maturity Structure in Sovereign Bonds
    • New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
    • Is it (Still) Mostly Fiscal? Determinants of sovereign spreads in emerging markets
      • JEL H30
    • Maturity, Indebtedness and Default Risk
    • pp_sover_49
    • Sovereign Abstracts
      • Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
      • Emerging Market Debt: Measuring credit quality and examining relative pricing
      • Modeling Country Risk Ratings Using Partial Orders
  • Papers about Liquidity Risk
    • A Simple Model of Liquidity Effects
    • Modeling Liquidity Risk: With Implications for Traditional Market Risk Measurement and Management
    • Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
    • The Effects of Market Segmentation and Illiquidity on Asset PricesThe Effects of Market Segmentation and Illiquidity on Asset Prices
    • Liquidity in U.S. Fixed Income Markets: A comparison of the bid-ask spread in corporate, government and municipal bond markets
    • Liquidating Illiquid Collateral (Job Market Paper)
    • Liquidity as a Choice Variable: A Lesson from the Japanese Government Bond Market
    • Commonality in Liquidity
      • JEL G23
    • Risk Aversion, Liquidity, and Endogenous Short Horizons
    • Order Imbalance, Liquidity, and Market Returns
    • Liquidity Dynamics Across Small and Large Firms
    • Liquidity and Credit Risk
    • Bank Runs, Deposit Insurance, and Liquidity
    • Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices
    • Measuring Treasury Market Liquidity
    • Asset Liquidity, Debt Valuation and Credit Risk
    • Can liquidity risk be subsumed in credit risk?
    • Liquidity Shocks and Equilibrium Liquidity Premia
    • Liquidation Risk
    • Comparing Possible Proxies of Corporate Bond Liquidity
    • Credit Ratings and Stock Liquidity
    • Asset Pricing with Liquidity Risk
    • Liquidity Black Holes
    • Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
    • Corporate Yield Spreads and Bond Liquidity
    • Insolvency or Liquidity Squeeze? Explaining Very Short-Term Corporate Yield Spreads
    • Demand Discovery and Asset Pricing
    • Liquidity Risk and Expected Stock Returns
    • Liquidity Risk and Arbitrage Pricing Theory
    • A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
    • A Solvency Based Multi-period Corporate Short-term Credit Risk Model
    • Multi-period Corporate Short-term Credit Risk Assessment: A state-dependent stochastic liquidity balance model
    • Liquidity Risk Premia in Corporate Bond Markets
    • Liquidity, Default, Taxes and Yields on Municipal Bonds
    • The interrelation of Liquidity Risk, Default Risk, and Equity Returns
    • How Do Banks Manage Liquidity Risk? Evidence from the equity and deposit markets in the Fall of 1998
    • Liquidity Risk in the Corporate Bond Markets
    • Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks
    • Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks
    • Excess Volatility of Corporate Bonds
    • Limited Arbitrage and Liquidity in the Market for Credit Risk
    • Latent Liquidity: A new measure of liquidity, with an application to corporate bonds
    • Hedging Credit: Equity liquidity matters
    • Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
    • Liquidity and Credit Default Swap Spreads
    • Cash Holdings and Credit Risk
    • pp_liqty_47
    • Liquidity
      • Liquidity, Maturity, and the Yields on U.S. Treasury Securities
      • Does the Liquidity of a Debt Issue Increase with Its Size? Evidence...
      • Liquidity, Information, and Infrequently Traded Stocks
      • How Much Can Marketability Affect Security Value?
      • Liquidation Values and Debt Capacity: A Market Equilibrium Approach
      • Liquidity, Taxes, and Short-Term Treasury Yields
      • Bond Price Data and Bond Market Liquidity
      • Ex Ante Bond Returns and the Liquidity Preference Hypothesis
      • The capital asset pricing model and the liquidity effect: A theoretical approach
      • Liquidity Risk, Liquidity Creation and Financial Fragility: A theory of banking
      • Liquidity and Credit Risk
      • Market Microstructure and Asset Pricing: On the compensation for illiquidity in stock returns
  • Computer Codes
    • The CreditMetrics Package
    • CDO model: Large Homogeneous Pool Model
    • CDO model: Large Homogeneous Pool Model, with Gauss-Hermite Integration
    • CDO model: Finite Homogeneous Pool Model
    • A Model for Longevity Swaps: Pricing life expectancy
    • European RMBS: Cashflow dynamics and key assumptions
    • Coping with Copulas: Managing tail risk
    • ISDA CDS Standard Model
    • pp_code_09
  • Quant. Methods
    • A Class of Symmetric Bivariate Uniform Distributions
    • Understanding Relationships Using Copulas
    • Multivariate Integral Perturbation Techniques - I (Theory)
    • Defining a Beta Distrubution Function for Construction Simulation
    • A Geometric Representation of the Frisch-Waugh-Lovell Theorem
    • .
    • Empirical Evidence on Volatility Estimators
      • JEL N2
    • Estimation of Variances of Averages Based on Overlapping Samples in Repeated Surveys
    • Unbiasedness in Least Quantile Regression
    • Regression Models for Ordinal Data
    • Bounds for Functions of Dependent Risks
    • Bounds for Functions of Multivariate Risks
    • Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool
    • Extreme Value Theory as a Risk Management Tool
    • Data Mining Procedures in Generalized Cox Regressions
    • Can a Coherent Risk Measure be Too Subadditive?
    • Sub-additivity Re-examined: The case for Value-at-Risk
    • On Exponential Approximation to the Hockey Stick Function
    • Quantile Mechanics
    • A Stochastic Processes Toolkit for Risk Management
    • Nested Simulation in Portfolio Risk Measurement
    • pp_quant_22
    • Quant. Methods Abstracts
      • The Extreme Value Method for Estimating the Variance of the Rate of Return
      • On the Estimation of Security Price Volatilities from Historical Data
      • Improving the Parkinson Method of Estimating Security Price Volatilities
      • Bayes-Stein Estimation for Portfolio Analysis
      • The Three Types of Factor Models: A Comparison of Their Explanatory Power
      • Sample Selection Bias as a Specification Error
      • A Comparative Study of Alternative Extreme-value Volatility Estimators
      • The Central Role of the Propensity Score in Observational Studies for Causal Effects
      • Slice Sampling
  • Papers About Other Credit Risk Research
    • Analyzing Alternative Intraday Credit Policies in Real-Time Gross Settlement Systems
    • Information Systems for Risk Management
    • Toward a Better Estimation of Wrong-Way Credit Exposure
    • Capital Allocation and Bank Management Based on the Quantification of Credit Risk
    • Parameterizing Credit Risk Models with Rating Data
    • The Role of Support and Joint Probability Analysis in Bank Ratings
    • The Equity Performance of Firms Emerging from Bankruptcy
    • Improving Counterparty Risk Management Practices
    • The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s
    • Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios
    • Risk and Valuation of Collateralized Debt Obligations
    • The Timing of Debt Issuance and Rating Migrations: Theory and Evidence
    • Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies?
      • JEL F39
    • Wrong Way Exposure-Are Firms Underestimating Their Credit Risk?
    • Modeling Credit Migration
    • Default and Recovery Rates of Corporate Bond Issuers: 2000
    • Pricing and Hedging in the Presence of Extraneous Risks
    • The Nature of Credit Risk: the effect of maturity, type of obligor, and country of domicile
    • Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults
    • A Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads
    • Credit Portfolio Risk and PD Confidence Sets through the Business Cycle
    • Mean-Variance Hedging of Defaultable Claims
    • "Surprise" in Distress Announcements: Evidence from Equity and Bond Markets
    • The Credit Risk of Japanese Banks during the Bubble Period: A Pilot Study of Macro Stress Simulation
    • Forced Selling of Fallen Angels
    • Portfolio Optimization with a Defaultable Security
    • Accounting Fraud and the Pricing of Corporate Liabilities: Structural models with garbling
    • The Pricing Implications of Counterparty Risk for Non-linear Credit Products
    • Understanding Aggregate Default Rates of High Yield Bonds
    • Debtor-in-possession Financing and Bankruptcy Resolution: Empirical Evidence
    • Default- and Call-Adjusted Duration for Corporate Bonds
    • Affine Markov Chain Model of Multifirm Credit Migration
    • Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolio
    • Measuring Provisions for Collateralised Retail Lending
    • Better Predictions of Income Volatility Using a Structural Default Model
    • A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks
    • Of Moody's and Merton: a structural model of bond rating transitions
    • 1986-2002 Credit Risk Loss Experience Study: Private Placement Bonds
    • Capital Allocation for Credit Portfolios with Kernel Estimators
    • Default Risk in Equity Returns
    • A Survey of Cyclical Effects in Credit Risk Measurement Models
    • The Cost of Distress: Survival, Truncation Risk and Valuation
    • Bank Lending Policy, Credit Scoring and Value at Risk
    • Estimating Continuous Time Transition Matrices From Discretely Observed Data
    • The Influence of FX Risk on Credit Spreads
    • Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective (Job Market Paper)
      • JEL D9
      • JEL D6
    • Simulating Historical Ratings Transition Matrices for Credit Risk Analysis in Mathematica
    • Estimation in the Continuous Time Mover-stayer Model with an Application to Bond Ratings Migration
    • Ratings Versus Market-based Measures of Default Risk in Portfolio Governance
    • Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures
    • Equity Returns Following Changes in Default Risk: New insights into the informational content of credit ratings
    • Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds
    • Inferring the Default Rate in a Population by Comparing Two Incomplete Default Databases
    • Is Banks' Cost of Equity Capital Different Across Countries? Evidence from the G10 Countries Major Banks
    • A Model of Credit Risk Optimal Policies, and Asset Prices
      • JEL D51
    • An Examination of Rating Agencies' Actions Around the Investment-Grade Boundary
    • Risk Management, Capital Structure and Lending at Banks
    • Variance-Covariance Based Risk Allocation in Credit Portfolios: Analytical approximation
    • Optimal Credit Limit Management Under Different Information Regimes
    • The Relationship Between Default Prediction and Lending Profits: Integrating ROC analysis and loan pricing
    • Spectral Risk Measures for Credit Portfolios
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    • pp_other179
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• The Credit Market Handbook: Advanced Modeling Issues
• Structured Credit Products: Pricing, Rating, Risk Management and Basel II
• Quantitative Risk Management: Concepts, Techniques, and Tools
• Paris-Princeton Lectures on Mathematical Finance 2003
• Active Credit Portfolio Management
• Modelling Extremal Events: for Insurance and Finance
• Extremes and Integrated Risk Management
• Selfsimilar Processes
• Collateralized Debt Obligations: Structures and Analysis
• Introduction to C++ for Financial Engineers: An Object-Oriented Approach
• Synthetic and Structured Assets
• Credit Derivatives: A Primer on Credit Risk, Modeling
• The Visual Display of Quantitative Information, 2nd edition
• Structured Credit Portfolio Analysis, Baskets and CDOs
• Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
• Credit Derivatives
• Sovereign Default Risk Valuation
• Integrating Market, Credit and Operational Risk: A Complete Guide for Bankers & Risk Professionals
• Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation
• Structured Finance and Insurance: The ART of Managing Capital and Risk
• Modeling Risk: Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, and Optimization Techniques
• Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
• Introduction to Structured Finance
• Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel
• Value at Risk, 3rd Ed.
• The Credit Default Swap Basis
• GARP FRM Readings
• Simulation Techniques in Financial Risk Management
• The Misbehavior of Markets: A Fractal View of Risk, Ruin & Reward
• When Genius Failed: The Rise and Fall of Long-Term Capital Management
• My Life as a Quant: Reflections on Physics and Finance
• Against the Gods: The Remarkable Story of Risk
• Heard on the Street: Quantitative Questions from Wall Street Job Interviews
• Fischer Black and the Revolutionary Idea of Finance
• Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets