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Top Ten Most Viewed Papers

These lists reflect the ranking of which pages on my site were most popularly viewed in the last two months.  I believe that a two month rolling window is a good balance between responsiveness and endurance.  Very short windows overly reflect merely which papers are newly posted.  These "top ten" lists show which pages have been most viewed.  Updated (November-1)

"All Time" Ranking is the ranking since March-2003 when I first started retaining records.

Current
Rank		"AllTime"
Rank		Top Ten Most Viewed Papers
11CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997
21491CDO 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
31384Recent Advances in Credit Risk Modeling
by Christian Capuano of the International Monetary Fund,
Jorge Chan-Lau of the International Monetary Fund,
Giancarlo Gasha of the International Monetary Fund,
Carlos Medeiros of the International Monetary Fund,
Andre Santos of the International Monetary Fund, and
Marcos Souto of the International Monetary Fund
(726K PDF) -- 32 pages -- August 2009
46On Default Correlation: A copula function approach
by David X. Li of The RiskMetrics Group
(219K PDF) -- 12 pages -- March 2000
55CreditRisk+ A Credit Risk Management Framework
by Tom Wilde of CSFB
(413K PDF) -- 72 pages -- October 1997
61525

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

71555

An EVT Primer for Credit Risk
by Valérie Chavez-Demoulin of EPF Lausanne, and
Paul Embrechts of ETH Zurich
(825K PDF) -- 46 pages -- May 25, 2009

8390Counterparty 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
(213K PDF) -- 19 pages -- October 3, 2008
91369

Counterparty Valuation Adjustment (CVA)
by Shahram Alavian of Lehman Brothers,
Jie Ding of Nomura,
Peter Whitehead of Deutche Bank, and
Leonardo Laudicina of Nomura
(230K PDF) -- 19 pages -- April 19, 2009

101568

Credit Dynamics in a First Passage Time Model with Jumps
by Natalie Packham of the Frankfurt School of Finance & Management,
Lutz Schlögl of Nomura International Plc, and
Wolfgang M. Schmidt of the Frankfurt School of Finance & Management
(564K PDF) -- 34 pages -- September 2009

Some All Time Favorites

"AllTime"
Rank		Current 
298Valuing Credit Default Swaps I: No Counterparty Default Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(368K PDF) -- 35 pages -- April 2000
346Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(305K PDF) -- 39 pages -- February 17, 2004
426The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
(243K PDF) -- 38 pages -- January 2004
729LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005
843Predicting Financial Distress of Companies: Revisiting the Z-Score and Zeta® Models
by Edward I. Altman of New York University
(135K PDF) -- 54 pages -- July 2000
9127Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(256K PDF) -- 34 pages --February 2004

 

Top Ten Most Viewed Abstracts

A reference/abstract is listed on my site (rather than a full downloadable paper) because: 1) its authorship pre-dates the common use of PDF formatting, or 2) it has been published and is no longer freely accessible in PDF format.  So you tend to see the older "classics" that have enduring value.  For example, I would guess that Merton[1974] is perhaps the most frequently cited reference on this site.  Updated (November-1)

1  Merton, Robert C.  "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates", Journal of Finance, Vol. 29, MIT (1974), pp. 449-470.

2 Fama, Eugene F. and Kenneth R. French, "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, University of Chicago, Vol. 33, No. 1, (Feb-1993), pp. 3-56.

3  Altman, Edward I., "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy", Journal of Finance, Vol. 23, No. 4, (September 1968), pp. 589-609.

4 Black, Fischer and Myron Scholes, "The Pricing of Option and Corporate Liabilities", The Journal of Political Economy, Vol. 81, No. 3, (May-Jun. 1973), pp. 637-654.

5 Myers, Stewart and Nicholal S. Majluf, "Corporate Financing and Investment Decisions when Firms have Information that Investors Do Not Have", Journal of Financial Economics, Vol. 13, No. 2, (June 1984), pp. 187-221.

6 Cox, John C, Jonathan E. Ingersoll, Jr., and Stephen A. Ross, "A Theory of the Term Structure of Interest Rates", Econometrica, Vol. 53, No. 2, (March 1985), pp. 385-407.

7 Neftci, Salih N., "Value at Risk Calculations, Extreme Events, and Tail Estimation", Journal of Derivatives, Vol. 7, (Spring 2000), pp. 23-38.

8  Jan Koopman, Siem, Roman Kräussl, André Lucas, and André Monteiro, "Credit Cycles and Macro Fundamentals", Journal of Empirical Finance, Vol. 16, No. 1, (January 2009), pp. 42-54.

9  Heath, David , Robert Jarrow, and Andrew Morton, "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation", Econometrica, (January 1992), Vol. 60, No. 1, pp 77-105.

10 Jarrow, Robert A. and Stuart M. Turnbull, "Pricing Derivatives on Financial Securities Subject to Credit Risk", Journal of Finance, Vol. 50, No. 1, (March 1995), pp. 53-85.

 

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