I'm really quite pleased and honored to work with a very fine team of researchers. I have made a point of being quite familiar with their work and would be remiss if I didn't share this with you ... Updated: November 1st
I want to underscore that this list reflects the traffic and visitor preferences of the folks that come to DefaultRisk.com. To see the "Top Ten" of visitors to Fitch's own website, see here.
#1. Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(220K PDF) -- 19 pages -- May 16, 2008
#2. Fitch Equity Implied Rating and Probability of Default Model
by Bo Liu of Fitch Ratings, QR,
Ahmet E. Kocagil of Fitch Ratings, QR, and
Greg M. Gupton of Fitch Ratings, QR
(489K PDF) -- 19 pages -- June 13, 2007
#3. Defaults Surge, Recoveries Sink in 2009: Understanding the Fundamental and Cyclical Drivers of Corporate Recovery Rates
by Mariarosa Verde of Fitch Ratings,
Eric Rosenthal of Fitch Ratings,
Timothy Greening of Fitch Ratings, and
Mark Oline of Fitch Ratings
(188K PDF) -- 17 pages -- July 6, 2009
#4. A Universal Spreadsheet for Bank Analysis
by Jane Cates of Fitch Ratings,
Bridget Gandy of Fitch Ratings,
Doris Hoffmann of Fitch Ratings,
Peter Shaw of Fitch Ratings,
Michael Steinbarth of Fitch Ratings, and
Peter Tebbutt Fitch Ratings
(295K PDF) -- 15 pages -- April 14, 2009
#5. Dynamic Factor Copula Model
by Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics, Inc., and
Wanhe Zhang of the University of Toronto
(182K PDF) -- 22 pages -- July 6, 2009
#6. Basel II’s Proposed Enhancements: Focus on concentration risk
by Martin Hansen of Fitch Ratings,
Krishnan Ramadurai of Fitch Ratings,
Roger Merritt of Fitch Ratings,
Ian Linnell of Fitch Ratings,
John Olert of Fitch Ratings, and
Stuart Jennings of Fitch Ratings
(177K PDF) -- 16 pages -- April 16, 2009
#7. Charting a Course Through the CDS Big Bang
by Johan Beumee of FitchSolutions,
Damiano Brigo of FitchSolutions,
Gareth Stoyle of FitchSolutions, and
Daniel Schiemert of FitchSolutions
(110K PDF) -- 13 pages -- April 7, 2009
#8. Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
by Damiano Brigo of FitchSolutions & Banca IMI, and
Andrea Pallavicini of Banca IMI
(206K PDF) -- 17 pages -- March 22, 2007
#9. Basel II Correlation Values: An empirical analysis of EL, UL and the IRB Model
by Martin Hansen of Fitch Ratings,
Gary van Vuuren of Fitch Ratings,
Krishnan Ramadurai of Fitch Ratings, and
Mariarosa Verde of Fitch Ratings
(220K PDF) -- 17 pages -- May 19, 2008
#10. Fitch CDS Implied Ratings (CDS-IR) Model
by Alexander Reyngold of FitchSolutions, QR,
Ahmet E. Kocagil of FitchSolutions, QR, and
Greg M. Gupton of FitchSolutions, QR
(564K PDF) -- 14 pages -- June 13, 2007
