Top Ten Most Viewed Authors

Here I list the ten most popularly "viewed" authors.  I find these names by summing the "hits" to all the pages with papers that they authored.  Then, taking these ten names, I list each researcher with their two most popular papers.  Remember, this is an exhibition, not a competition.  Please...no wagering.  Updated Septamber-1

1 Damiano Brigo:

• Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation

• Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation

2 Darrell Duffie:

• First-to-Default Valuation

• Affine Processes and Applications in Finance

3 Greg M. Gupton:

• CreditMetrics™ -- Technical Document

• Fitch Equity Implied Rating and Probability of Default Model

4 John Hull:

• An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches

• Valuing Credit Default Swaps I: No Counterparty Default Risk

5 Kay Giesecke:

• Dependent Events and Changes of Time

• Cyclical Correlations, Credit Contagion, and Portfolio Losses

6 Alan White:

• An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches

• Valuing Credit Default Swaps I: No Counterparty Default Risk

7 Monique JEANBLANC:

• Immersion Property and Credit Risk Modelling

• Reduced Form Modelling for Credit Risk

8 Edward I. Altman:

• The Equity Performance of Firms Emerging from Bankruptcy

• Defaulted Bonds: Demand, Supply and Performance, 1987-1992

9 Robert A. Jarrow:

• Modeling the Recovery Rate in a Reduced Form Model

• A Markov Model for the Term Structure of Credit Risk Spreads

10 Marek Rutkowski:

• Modelling of Default Risk: Mathematicals Tools

• Modelling of Default Risk: an Overview

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Last modified: September 29, 2008