Top Ten Twenty Newest Papers!

This page started as a "Top Ten" list of the most recently authored papers.  But then people e-mailed to say that, "Although this was their favorite page..."  <Thanks!> they wanted the list to keep on going rather than cutting it off at only ten.  I think that would become a bit much, but I'm happy to lengthen it to a "Top Twenty".  Enjoy!

(What journal subscription can give you this level of immediate access to credit research?!?!)

And now the Top Ten Twenty:

#1. Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009

#2. Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions, and
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(314K PDF) -- 21 pages -- November 17, 2009

#3. Exact and Efficient Simulation of Correlated Defaults
by Kay Giesecke of Stanford University,
Hossein Kakavand of the Perot Group,
Mohammad Mousavi of Stanford University, and
Hideyuki Takada of Mizuho-DL Financial Technology
(279K PDF) -- 34 pages -- November 10, 2009

#4. A Dynamic Model for Credit Index Derivatives
by Louis Paulot of Sophis
(336K PDF) -- 32 pages -- November 9, 2009

#5. Analytical Framework for Credit Portfolios, Part I: Systematic Risk
by Mikhail Voropaev of ING Bank
(890K PDF) -- 11 pages -- November 2009

#6. A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs
by Andrei V. Lopatin of NumeriX, LLC
(496K PDF) -- 31 pages -- October 18, 2009

#7. Extension of Spot Recovery Model for Gaussian Copula
by Hui Li of AIG
(192K PDF) -- 20 pages -- October 17, 2009

#8. Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
by Igor Halperin of JP Morgan
(641K PDF) -- 41 pages -- October 14, 2009

#9. Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
by Rüdiger Frey of the Universität Leipzig, and
Jochen Backhaus of the Universität Leipzig
(304K PDF) -- 22pages -- October 6, 2009

#10. Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of the Bank of America,
Guillaume Horel of the Bank of America, and
Leandro Saita of Barclays Capital
(216K PDF) -- 35 pages -- October 2009

#11. CDO Pricing: Copula implied by risk neutral dynamics
by Sébastien Hitier of BNP Paribas, and
Eric Huber of Ecole Polytechnique
(359K PDF) -- 37 pages -- September 16, 2009

#12. Unintended Consequences of the Market Risk Requirement in Banking Regulation
by Jussi Keppo of the University of Michigan,
Leonard Kofman of the Bank of Montreal, and
Xu Meng of the University of Michigan
(354K PDF) -- 46 pages -- September 15, 2009

#13. Affine Point Processes and Portfolio Credit Risk
by Eymen Errais of Calypso,
Kay Giesecke of Stanford University, and
Lisa R. Goldberg of MSCI Barra
(324K PDF) -- 30 pages -- September 15, 2009

#14. Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier  of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009

#15. Measuring Concentration Risk for Regulatory Purposes
by Marc Gürtler of the Technical University at Braunschweig,
Martin Hibbeln of the Technical University at Braunschweig, and
Clemens Vöhringer of the Technical University at Braunschweig
(656K PDF) -- 49 pages -- September 5, 2009

#16. French Banks Amid the Global Financial Crisis
by Yingbin Xiao of the International Monetary Fund
(1,058K PDF) -- 23 pages -- September 4, 2009

#17. Stressing Rating Criteria Allowing for Default Clustering: The CPDO case
by Roberto Torresetti of Banco Bilbao Vizcaya Argentaria, and
Andrea Pallavicini of Banca Leonardo
(653K PDF) -- 37 pages -- September 4, 2009

#18. The Merton Structural Model and IRB Compliance
by Matej Jovan of the Bank of Slovenia
(239K PDF) -- 16 pages -- September 4, 2009

#19. Collections Policy Comparison in LGD Modelling
by Lyn C. Thomas of the University of Southampton,
Anna Matuszyk of the University of Southampton, and
Angela Moore of the University of Southampton
(478K PDF) -- 14 pages -- September 3, 2009

#20. Recovery Rates and Macroeconomic Conditions: The role of loan covenants
by Zhipeng Zhang of Boston College
(428K PDF) -- 59 pages -- September 2, 2009