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: June 1st
I want to underscore that this list reflects the traffic and visitor preferences of the folks to come to DefaultRisk.com. It is interesting to see the "Top Twenty papers" of the folks who go to the actual Fitch Ratings site:
FitchRatings: Top 20 Most-Viewed Reports
#1. Euler Allocation: Theory and Practice
by Dirk Tasche of Fitch Ratings, QFR, London
(269K PDF) -- 13 pages -- August 19, 2007
#2. Fitch Equity Implied Rating and Probability of Default Model
by Bo Liu of Fitch Ratings, QFR,
Ahmet E. Kocagil of Fitch Ratings, QFR, and
Greg M. Gupton of Fitch Ratings, QFR
(489K PDF) -- 19 pages -- June 13, 2007
#3. How Much Credit in Credit Risk Models?
by Gary van Vuuren of Fitch Ratings,
Krishnan Ramadurai of Fitch Ratings,
Greg M. Gupton of Fitch Ratings, QFR,
Eileen Fahey of Fitch Ratings,
Ian Linnell of Fitch Ratings,
David Marshall of Fitch Ratings,
Kim Olson of Algorithmics, Inc., and
Diane Reynolds of Algorithmics, Inc.
(218K PDF) -- 15 pages -- May 8, 2007
#4. Fitch CDS Implied Ratings (CDS-IR) Model
by Alexander Reyngold of Fitch Ratings, QFR,
Ahmet E. Kocagil of Fitch Ratings, QFR, and
Greg M. Gupton of Fitch Ratings, QFR
(239K PDF) -- 12 pages -- June 13, 2007
#5. Structured Finance CDOs and Event of Default Risk
by Elizabeth R. Nugent of Fitch Ratings
(74K PDF) -- 5 pages -- December 3, 2007
#6. A Brief Review of "The Basis"
by James Batterman of Fitch Ratings,
Ian Rasmussen of Fitch Ratings, and
David Yan of Fitch Ratings
(505K PDF) -- 12 pages -- January 10, 2008
#7. First Generation CPDO: Case Study on Performance and Ratings
by Alexandre Linden of Derivative Fitch (London),
Matthias Neugebauer of Derivative Fitch (London),
Stefan Bund of Derivative Fitch (London),
John Schiavetta of Derivative Fitch (New York),
Jill Zelter of Derivative Fitch (New York), and
Rachel Hardee of Derivative Fitch (Hong Kong)
(730K PDF) -– 18 pages -- April 18, 2007
#8. 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
#9. Understanding and Hedging Risks in Synthetic CDO Tranches
by Matthias Neugebauer of Fitch Ratings,
et. al.
(85K PDF) -- 7 pages -- August 4, 2006
#10. Fitch Ratings 1991–2007 Global Structured Finance Transition and Default Study
by Stephanie K. Mah of Fitch Ratings, and
Mariarosa Verde of Fitch Ratings
(585K PDF) -- 36 pages -- April 18, 2008
