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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 (October-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
12CreditMetrics™ -- 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
21396CVA Calculation for CDS on Super Senior ABS CDO
by Hui Li of AIG
(70K PDF) -- 4 pages -- August 2008
31431Joint 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
4114Recovery Rates, Default Probabilities and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos Gonzalez-Aguado of CEMFI
(329K PDF) -- 37 pages -- June 17, 2008
542

Optimal Stochastic Recovery for Base Correlation
by Salah Amraoui of BNP PARIBAS, and
Sebastien Hitier of BNP PARIBAS
(351K PDF) -- 15 pages -- June 2008

68CreditRisk+ A Credit Risk Management Framework
by Tom Wilde of CSFB
(413K PDF) -- 72 pages -- October 1997
7153

Fitch Equity Implied Rating and Probability of Default Model
by Bo Liu of Fitch Ratings, QR,
Ahmet E. Kocagil of Fitch Ratings, QR, and
Greg M. Gupton of Fitch Ratings, QR
(489K PDF) -- 19 pages -- June 13, 2007

845Dynamic Models of Portfolio Credit Risk: A simplified approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(348K PDF) -- 53 page -- April 2008
91238Counterparty 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
(239K PDF) -- 19 pages -- May 28, 2008
101313

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

Some All Time Favorites

"AllTime"
Rank		Current 
127Valuing 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
375Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(305K PDF) -- 39 pages -- February 17, 2004
417The 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
535LossCalc 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
674Predicting 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
7106Valuation 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 the most frequently sited reference on this site.  Updated (October-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.  [Introduction]

2  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. [Abstract]

3 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.  [Abstract]

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. [Abstract]

5  Lucas, André, Pieter Klaassen, Peter Spreij, and Stefan Straetmans, "An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios", Journal of Banking & Finance, Vol. 25, No. 9, (September 2001), pp. 1635-1664. [Abstract]

6  Wu, Chunchi and Chih-Hsien Yu, "Risk Aversion and the Yield of Corporate Debt", Journal of Banking & Finance, Vol. 20, No. 2, (March 1996), pp. 267-281. [Abstract]

7  Valuzis, Mantas, "On the Probabilities of Correlated Defaults: a First Passage Time Approach", Nonlinear Analysis: Modelling and Control, Vol. 13, No. 1, (March 2008), pp. 117-133. [Abstract]

8 Israel, Robert B., Jeffrey S. Rosenthal, and Jason Z. Wei, "Finding Generators for Markov Chains via Empirical Transition Matrices with Applications to Credit Ratings", Mathematical Finance, Vol. 11, No. 2, (April 2001), pp. 245-265. [Abstract]

9  Linetsky, Vadim, "Pricing Equity Derivatives Subject To Bankruptcy", Mathematical Finance, Vol. 16, No. 2, (April 2006), pp. 255-282. [Abstract]

10  Jarrow, Robert A. and Stuart M. Turnbull. "Pricing Derivatives on Financial Securities Subject to Credit Risk", Journal of Finance, Vol. L, No. 1, Cornell University, and Queen's University (Canada) (Mar-1995), pp. 53-85.  [Abstract]

 

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