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. Measuring the Risk of Large Losses
by Kay Giesecke of Stanford University,
Thorsten Schmidt of the Universität Leipzig, and
Stefan Weber of Cornell University
(585K PDF) -- 15 pages -- Q4 2008
#2. Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus of the University of Leipzig
(360K PDF) -- 22 pages -- September 29, 2008
#3. Graphical Models for Correlated Defaults
by I. Onur Filiz of the University of California, Berkeley,
Xin Guo of the University of California, Berkeley,
Jason Morton of the University of California, Berkeley, and
Bernd Sturmfels of the University of California, Berkeley
(866K PDF) -- 30 pages -- September 21, 2008
#4. Rating Watchlists and the Informational Content of Rating Changes
by Christian Hirsch of Goethe-University Frankfurt, and
Christina E. Bannier of Commerzbank & Frankfurt School of Finance and
Management
(209K PDF) -- 40 pages -- September 2, 2008
#5. On Correlation Effects and Default Clustering in Credit Models
by Antje Berndt of Carnegie Mellon University,
Peter Ritchken of Case Western Reserve University, and
Zhiqiang Sun of Case Western Reserve University
(902K PDF) -- 57 pages -- September 2008
#6. Macro-model-based Stress Testing of Basel II Capital Requirements
by Esa Jokivuolle of the Bank of Finland,
Kimmo Virolainen of the Bank of Finland, and
Oskari Vähämaa of the Bank of Finland
(1,390K PDF) -- 30 pages -- September 2008
#7. Multi-Scale Time-changed Birth Processes For Pricing Multi-name Credit Derivatives
by Erhan Bayraktar of the University of Michigan, and
Bo Yang of the University of Michigan
(254K PDF) -- 16 pages -- September 2008
#8. The Credit Crunch of 2007: What went wrong? Why? What lessons can be learned?
by John C. Hull of the University of Toronto
(390K PDF) -- 15 pages -- September 2008
#9. Self-exciting Corporate Defaults: Contagion vs. frailty
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(512K PDF) -- 40 pages -- August 29, 2008
#10. Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven
(233K PDF) -- 18 pages -- August 25, 2008
#11. Lévy Density Based Intensity Modeling of the Correlation Smile
by Balakrishna Bannur -- Unaffiliated
(183K PDF) -- 15 pages -- August 17, 2008
#12. Bond Implied CDS Spread and CDS-Bond Basis
by Richard Zhou of the Depository Trust & Clearing Corporation
(184K PDF) -- 11 pages -- August 15, 2008
#13. New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
by Dale F. Gray of the International Monetary Fund,
Robert C. Merton of Harvard Business School, and
Zvi Bodie of Boston University
(230K PDF) -- 33 pages -- August 11, 2008
#14. On CDO Tranche Pricing when Copula is Nearly Comonotone
by Andrey Chirikhin of HSBC
(323K PDF) -- 21 pages -- August 8, 2008
#15. CDO Tranche Sensitivities in the Gaussian Copula Model
by Chao Meng of Louisiana State University, and
Ambar Sengupta of Louisiana State University
(256K PDF) -- 15 pages -- August 2008
#16. Portfolio Credit Risk: A Model of Correlated Credit Losses Dynamics and the Inverse-Gamma Approximation
by Ridha M. Mahfoudhi of Laval University & National Bank of Canada
(426K PDF) -- 34 pages -- August 2008
#17. Default and the Maturity Structure in Sovereign Bonds
by Cristina Arellano of the University of Minnesota & Federal Reserve Bank of Minneapolis, and
Ananth Ramanarayanan of the Federal Reserve Bank of Dallas
(1,478K PDF) -- 42 pages -- August 2008
#18. CVA Calculation for CDS on Super Senior ABS CDO
by Hui Li of AIG
(70K PDF) -- 4 pages -- August 2008
#19. Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
by Péter Dobránszky of Finalyse SA, FORTIS Bank & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(216K PDF) -- 14 pages -- July 29, 2008
#20. The Discrete Gamma Pool Model
by Peter Jäckel of ABN AMRO
(2,100K PDF) -- 23 pages -- July 20, 2008
