  Site Guide for Default Risk .com
 The Elements of Statistical Learning: Data Mining, Inference, and Prediction
 Default / Credit Risk Resources  Papers
 Papers about Credit Pricing and Credit Spreads
 Papers about Credit Risk Modeling
 Credit Risk Modeling at Major US Banking Institutions
 A Comparative Anatomy of Credit Risk Models
 A JumpDiffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
 Estimation of a ReducedForm 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
 Ratingsbased Credit Risk Modelling: An empirical analysis
 Some Elements of RatingBased 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 ValueAtRisk 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 ValueatRisk 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 GeneticQuantitative Method for RiskReturn Optimisation of Credit Portfolios
 Credit Spread Bounds and their Implications for Credit Risk Modeling
 RiskNeutral and Actual Default Probabilities with an Endogenous Bankruptcy JumpDiffusion 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
 Predictions of Default Probabilities in Structural Models of Debt
 A OneParameter Representation of Credit Risk and Transition Matrices
 Large Portfolio Losses
 Tail Behavior of Credit Loss Distributions for General Latent Factor Models
 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 DefaultRisky Bonds
 Extreme Tails for Linear Portfolio Credit Risk Models
 MultiPeriod Defaults and Maturity Effects on Economic Capital in a RatingsBased DefaultMode Model
 Credit Risk Contributions to ValueatRisk and Expected Shortfall
 Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
 Monte Carlo Simulation of Economic Capital Requirement And Default Protection Premium
 Unifying Discrete Structural Credit Risk Models and ReducedForm Models
 The Extended GeskeJohnson Model and Its Consistency with Reduced Form Models
 On Modelling Credit Risk Using Arbitrage Free Models
 Perpetual Convertible Bonds with Credit Risk
 Modeling the DistancetoDefault Process of a Firm
 Optimal Default Boundary in Discrete Time Models
 Taken to the Limit: Simple and Notsosimple 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
 Calculating Credit Risk Capital Charges with the Onefactor 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 JarrowLandoTurnbull 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
 MultiPeriod 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
 Forecasting Credit Portfolio Risk
 Essentials of Credit Portfolio Management
 A Structural CreditRisk Model based on a Jump Diffusion
 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
 The CorrelationNeutral 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 Multiperiod Corporate Credit ModelAn Intrinsic Valuation Approach
 Dependent Credit Migrations
 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 ReducedForm 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 MultiFactor "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 Saddlepoint Approximation and Spread Risk Attribution in a Portfolio of Tranches
 Shape Factor Models in Credit Risk
 Tail Approximation for Credit Risk Portfolios with Heavytailed 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 TimeChanged Brownian Motion
 Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
 Credit Risk Models with Incomplete Information
 A Multivariate JumpDriven 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 ReducedForm 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
 On the BrodyHughstonMacrina 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 MultiState Latent Factor Intensity Model for Credit Rating Transitions
 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 ShotNoise Effects
 Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Rollover Debt Structure
 Credit Risk  A structural model with jumps and correlations
 Credit Risk: Modeling and Application
 Beyond Hazard Rates: A new framework for creditrisk 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
 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 InterestRates 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
 A Simple Jump to Default Model
 Valuation of Risky Debt: a MultiPeriod Bayesian Framework
 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 Multiperiod Credit Portfolio Models
 An Integrated Market and Credit Risk Portfolio Model
 Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios
 TwoDimensional 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 TopDown 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
 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
 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
 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 SemiAffine Intensitybased Modeling on Credit Risk
 In Search of Hybrid Models for Credit Risk: from LelandToft to CarrLinetsky
 A Note on Fitting Markov Operator Credit Risk Models
 Dynamic Default Rates
 Extracting Systematic Factors in a Continuoustime Credit Migration Model
 Portfolio Credit Risk: A model of correlated credit losses dynamics and the inversegamma 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
 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 WaveletsBased 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
 Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries
 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 structuralform models
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 Models
 Papers about Credit Derivatives and Credit Sales
 Papers about Colateralized Debt Obligations (CDOs)
 Papers about Credit: (Correlations / Portfolio Effects / Diversification)
 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
 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
 Debtorinpossession 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 27Year 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
 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 Buyouts in Distress
 Recovery of Face Value at Default: Empirical evidence and implications for credit risk pricing
 Recovery Rates in the Leasing Industry
 The RiskAdjusted Cost of Financial Distress
 What Do We Know About LossGivenDefault?
 Recovery Rates from Distressed Debt  Empirical Evidence from Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings
 Does Industrywide Distress Affect Defaulted Firms?  Evidence from Creditor Recoveries
 Is Bargaining in Chapter 11 Costly?
 An analysis of bankruptcy bargaining in the U.S.
 Optimal Stochastic Recovery for Base Correlation
 The Choice Among Traditional Chapter 11, Prepackaged Bankruptcy, and OutofCourt 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.
 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 18Year 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 LossesGivenDefault: 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 DerivativeBased 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? Optionsbased structural modeling of defaulted bond recovery rates
 Discount Rate for Workout Recoveries: An empirical study
 Bank LoanLoss Provisioning: Methodology and Application
 Loss Given Default Implied by Crosssectional No Arbitrage (Job Market Paper)
 Generalized Beta Regression Models for Random LossGivenDefault
 Bank Loan and Bond Recovery Study: 19972000
 Implied Market Loss Given Default in the Czech Republic: Structuralmodel approach
 Forecasting Bank Loans Lossgivendefault
 Recoveries
 Papers about Credit Regulation: (Discussions / Pronouncements)
 Papers about Testing Credit Risk Models
 Papers about Credit Scoring
 Sovereign Risk
 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 bidask 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
 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 CreditDefault Swap Market
 Corporate Yield Spreads and Bond Liquidity
 Insolvency or Liquidity Squeeze? Explaining Very ShortTerm 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 Multiperiod Corporate Shortterm Credit Risk Model
 Multiperiod Corporate Shortterm Credit Risk Assessment: A statedependent 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
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 Liquidity
 Computer Codes
 Quant. Methods
 Papers About Other Credit Risk Research
 Analyzing Alternative Intraday Credit Policies in RealTime Gross Settlement Systems
 Information Systems for Risk Management
 Toward a Better Estimation of WrongWay 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 GridBased Methods for Estimating Value at Risk of FixedIncome 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?
 Wrong Way ExposureAre 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 MultiFactor, Markov Chain Model for Credit Migrations and Credit Spreads
 Credit Portfolio Risk and PD Confidence Sets through the Business Cycle
 MeanVariance 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 Nonlinear Credit Products
 Understanding Aggregate Default Rates of High Yield Bonds
 Debtorinpossession Financing and Bankruptcy Resolution: Empirical Evidence
 Default and CallAdjusted 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, Fattailed Risks
 Of Moody's and Merton: a structural model of bond rating transitions
 19862002 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)
 Simulating Historical Ratings Transition Matrices for Credit Risk Analysis in Mathematica
 Estimation in the Continuous Time Moverstayer Model with an Application to Bond Ratings Migration
 Ratings Versus Marketbased 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
 An Examination of Rating Agencies' Actions Around the InvestmentGrade Boundary
 Risk Management, Capital Structure and Lending at Banks
 VarianceCovariance 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
 What is a More Powerful Model Worth?
 An Analytic Approach to Rating Transitions
 Tail Approximations for Portfolio Credit Risk
 The Informational Content and Accuracy of Implied Asset Volatility as a Measure of Total Firm Risk
 Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies
 Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk
 Loan Equivalents for Revolving Credits and Advised Lines
 Measuring Default Risk Premia from Default Swap Rates and EDFs
 Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds
 The Future of Securitization
 Value at Risk Bounds for Portfolios of Nonnormal Returns
 Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
 Bond Durations: Corporates vs. Treasuries
 Time to Change  Rating Changes and Policy Implications
 Stock Market Performance and the Term Structure of Credit Spreads
 A Simple Model for Credit Migration and Spread Curves
 Optimal Bank Capital with Costly Recapitalization
 Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
 Market Dynamics Associated with Credit Ratings: A Literature Review
 Measurement, Estimation and Comparison of Credit Migration Matrices
 Ownership Links, Leverage and Credit Risk
 Pricing and Hedging of Contingent Credit Lines
 An Internal Ratings Migration Study
 Structural Models in Consumer Credit
 The Organization of Credit Risk Management in Banks: Hard versus Soft Information
 Accounting Quality and Debt Contracting
 Market Completeness in the Presence of Default Risk
 The Anatomy of the High Yield Bond Market
 Analysis of Length of Time Spent in Chapter 11 Bankruptcy
 Regularization Algorithms for Transition Matrices
 An Integrated Model for Hybrid Securities
 Pricing Vulnerable BlackScholes Options with Dynamic Default Barriers
 Avoiding the Rating Bounce: Why rating agencies are slow to react to new information
 Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles
 Forecasting Extreme Financial Risk
 How Ratings Agencies Achieve Rating Stability
 Spectral Capital Allocation
 What Do We Know about Capital Structure? Some Evidence from International Data
 NonLinear Effects of Bond Rating Changes
 Interaction of Market and Credit Risk: An analysis of interrisk correlation and risk aggregation
 Implied Migration Rates from Credit Barrier Models
 A Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements
 Risk Contributions in an Asymptotic MultiFactor Framework
 How to Invest Optimally in Corporate Bonds: A reducedform approach
 Confidence Intervals for Probabilities of Default
 Credit Rating Dynamics and Markov Mixture Models
 Importance Sampling for Integrated Market and Credit Portfolio Models
 Measuring the Risk of Large Losses
 Hedging under the Heston Model with JumptoDefault
 Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11
 A Conditional Valuation Approach for PathDependent Instruments
 Efficient Monte Carlo Methods for Convex Risk Measures in Portfolio Credit Risk Models
 Predicting the Credit Cycle with an Autoregressive Model
 Default Risk, Shareholder Advantage and Stock Returns
 Tightening Credit Standards: The Role of Accounting Quality
 Implications of Correlated Default For Portfolio Allocation to Corporate Bonds
 Global Business Cycles and Credit Risk
 Time Series Properties of a Rating System based on Financial Ratios
 Bank Lines of Credit in Corporate Finance: An Empirical Analysis
 Heterogeneity in Ratings Migration
 The Effects of Rating through the Cycle on Rating Stability, Rating Timeliness and Default Prediction Performance
 Capital Structure, Credit Risk, and Macroeconomic Conditions
 Economic Benefit of Powerful Credit Scoring
 Fitch Ratings Global Corporate Finance 19902005 Transition and Default Study
 Nonparametric Estimation for Nonhomogeneous semiMarkov Processes: An application to credit risk
 Risk and Return in Fixed Income Arbitrage: Nickels in front of a steamroller?
 Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
 After VaR: The Theory, Estimation, and Insurance Applications of Quantilebased Risk Measures
 Are Corporates' Target Leverage Ratios TimeDependent?
 Default Episodes in the 90s: Factbook and Preliminary Lessons
 Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
 International Structured Finance Rating Comparability Survey
 The Costs of Financial Distress across Industries
 Valuation of Capital Structure using Simulation Techniques
 An Efficient Monte Carlo Method for a Large and Nongranular Credit Portfolio
 Fitch Ratings 19912007 Global Structured Finance Transition and Default Study
 Calibration of PD Term Structures: To be Markov or not to be
 Graphical Data Representation in Bankruptcy Analysis
 Optimal Investment in a Defaultable Bond
 Rating Philosophies: Some Clarifications
 Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration
 Leverage, Options Liabilities and Corporate Bond Pricing
 Capital Allocation for Portfolio Credit Risk
 Apples and Pears: The comparison of risk capital and required return in financial institutions
 An InformationBased Framework for Asset Pricing: XFactor Theory and its Applications
 Mathematics in Financial Risk Management
 Calibrating LowDefault Portfolios, using the Cumulative Accuracy Profile
 Default Estimation for Low Default Portfolios
 How Much Credit in Credit Risk Models?
 Capital Structure Arbitrage: Model choice and volatility calibration
 Default Risk Premia and Asset Returns
 Fitch CDS Implied Ratings (CDSIR) Model
 Predicting Agency Rating Movements with Spread Implied Ratings
 The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations
 The Rating Process
 What Credit Ratings Mean
 Bank Behavior with Access to Credit Risk Transfer Markets
 Capital Allocation to Business Units and SubPortfolios: The Euler principle
 DistributionInvariant Risk Measures, Entropy, and Large Deviations
 Laying off Credit Risk: Loan Sales versus Credit Default Swaps
 Compound Scenarios: An efficient framework for integrated marketcredit risk
 Modelling the Economic Value of Credit Rating Systems
 Linking Credit Risk Premia to the Equity Premium
 Dynamic Credit Portfolio Management: Linking credit risk systems, securitization and standardised credit indices
 Why Do Firms Pay for Bond Ratings When They Can Get Them for Free? (Job Market Paper)
 Do Unsolicited Ratings Contain a Strategic Rating Component? Evidence from S&P
 Affine Processes and Applications in Finance
 The Cyclical Behavior of Default and Recovery Rates
 Testing Homogeneity of TimeContinuous Rating Transitions
 The Credit Crunch of 2007: What went wrong? Why? What lessons can be learned?
 Rating Watchlists and the Informational Content of Rating Changes
 Can Rating Agencies Look Through the Cycle?
 Optimal Reinsurance Arrangements Under Tail Risk Measures
 A Likelihood Ratio Test for Stationarity of Rating Transitions
 Optimal Investment with Counterparty Risk: A defaultdensity modeling approach
 Does a Central Clearing Counterparty Reduce Counterparty Risk?
 Wavelet Analysis of Business Cycles for Validation of Probability of Default: What is the influence of the current credit crisis on model validation?
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 pp_other180
 Other Abstracts
 The Priority Structure of Corporate Liabilities
 Stochastic Equity Volatility Related to the Leverage Effect
 Analyzing Rating Transitions and Rating Drift with Continuous Observations
 Multiple Ratings and Credit Standards: Differences of Opinion in the Credit Rating Industry
 Corporate Debt Value, Bond Covenants, and Optimal Capital Structure
 Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
 A Theory of Workouts and the Effects of Reorganization Law
 The Effect of Bankruptcy Protection on Investment: Chapter 11 as a Screening Device
 Default Risk and the Duration of Zero Coupon Bonds
 Transactions Costs and Capital Structure Choice: Evidence from Financially Distressed Firms
 Bank Information Monopolies and the Mix of Private and Public Debt Claims
 The Loan Commitment as an Optimal Financing Contract
 Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds
 Optimal Maturity Structure with Multiple Debt Claims
 Assessing Credit Risk in a Financial Institution's OffBalance Sheet Commitments
 Asymmetric Information, Collateral, and Moral Hazard
 Credit Risk in Private Debt Portfolios
 The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?
 Asset Efficiency and Reallocation Decisions of Bankrupt Firms
 Is the Risk of Bankruptcy a Systematic Risk?
 Differences of Opinion and Selection Bias in the Credit Rating Industry
 Split Ratings and the Pricing of Credit Risk
 The Role of Subordination and Industrial Bond Ratings
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