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Undated material is presented at the end, although it may be more recent than other items
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- 2160577 Credit and basket default swaps
by Dilip B. Madan & Michael Konikov & Mircea Marinescu - 2160578 Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study
by Xinzheng Huang & Cornelis W. Oosterlee & Mâcé Mesters - 2160579 Parameterizing credit risk models
by Alfred Hamerle & Daniel Rösch - 2160580 Credit risk concentrations under stress
by Gabriel Bonti & Michael Kalkbrener & Christopher Lotz & Gerhard Stahl - 2160581 Modeling exposure at default, credit conversion factors and the Basel II Accord
by Ross Taplin & Huong Minh To and Jarrad Hee - 2160582 Forwards and European options on CDO tranches
by John Hull and Alan White - 2160583 Firm value, diversified capital assets, and credit risk: towards a theory of default correlation
by Willi Semmler & Lucas Bernard & Lars Grüne - 2160584 A simple multifactor "factor adjustment" for the treatment of credit capital diversification
by Juan Carlos Garcia Cespedes & Juan Antonio de Juan Herrero & Alex Kreinin & Dan Rosen - 2160585 Markovian credit transition probabilities under inequality constraints: the US portfolio 1984–2004
by George A. Christodoulakis - 2160586 Fitting the CDO correlation skew: a tractable structural jump-diffusion model
by Søren Willemann - 2160587 Private firm default probabilities via statistical learning theory and utility maximization
by Xuelong Zhou & Jinggang Huang & Craig Friedman & Robert Cangemi & Sven Sandow - 2160588 On the relationship between credit rating announcements and credit default swap spreads for European reference entities
by Thorsten Lehnert & Frederick Neske - 2160589 Benchmarking low-default portfolios to third-party ratings
by Carsten Franz and Claudia Lawrenz - 2160590 Incorporating equity derivatives into the CreditGrades model
by Robert Stamicar* & Christopher C. Finger* - 2160591 Systematic and idiosyncratic risk in syndicated loan portfolios
by Erik Heitfield & Steve Burton & Souphala Chomsisengphet - 2160592 The Lévy Libor model with default risk
by Ernst Eberlein & Wolfgang Kluge & Philipp J. Schönbucher - 2160593 A model of corporate bond pricing with liquidity and marketability risk
by Pierre Tychon & Vincent Vannetelbosch - 2160594 The underlying dynamics of credit correlations
by Arthur Berd & Robert Engle & Artem Voronov - 2160595 Financially motivated model performance measures
by Craig Friedman & Sven Sandow - 2160596 Computing the credit loss distribution in the Gaussian copula model: a comparison of methods
by Paul Glasserman & Jesus Ruiz-Mata - 2160597 Basel requirements of downturn loss given default: modeling and estimating probability of default and loss given default correlations
by Peter Miu & Bogie Ozdemir - 2160598 Default intensity and expected recovery of Japanese banks and the government: new evidence from the CDS market
by Yoichi Ueno & Naohiko Baba - 2160599 Dependent credit migrations
by Alexander J. McNeil & Jonathan P. Wendin - 2160600 Adjusting corporate default rates for rating withdrawals
by Richard Cantor & David T. Hamilton - 2160601 Correlation between default events and loss given default and downturn loss given default in Basel II
by Zailong Wan & Ashish Dev - 2160602 Generalized maximum expected utility models for default risk: a comparison of models with different dependence structures
by Stephan Höcht & Rudi Zagst - 2160603 Practical and theoretical challenges in validating Basel parameters: key learnings from the experience of a Canadian bank
by Peter Miu and Bogie Ozdemir - 2160604 Portfolio losses in factor models: term structures and intertemporal loss dependence
by Leif Andersen - 2160605 Default and recovery rates of Asia-Pacific corporate bond issuers, 1990–2003
by Praveen Varma - 2160607 Credit default swaps with counterparty risk: a calibrated Markov model
by Michael B. Walker* - 2160608 Validation of credit rating systems using multi-rater information
by Kurt Hornik & Rainer Jankowitsch & Manuel Lingo & Stefan Pichler & Gerhard Winkler - 2160609 Merton's model, credit risk and volatility skews
by John C. Hull & Izzy Nelken & Alan D. White - 2160610 The pricing implications of counterparty risk for non-linear credit products
by Stuart M. Turnbull - 2160611 Extensions to the Gaussian copula: random recovery and random factor loadings
by Leif Andersen & Jakob Sidenius - 2160612 Capital structure arbitrage and market timing under uncertainty and trading noise
by Jorge R. Sobehart & Sean C. Keenan - 2160613 Affine Markov chain model of multifirm credit migration
by T. R. Hurd & A. Kuznetsov - 2160614 Hedging of basket credit derivatives in credit default swap market
by Tomasz R. Bielecki & Monique Jeanblanc & Marek Rutkowski - 2160615 Linear and non-linear credit scoring by combining logistic regression and support vector machines
by Tony Van Gestel & Bart Baesens & Peter Van Dijcke & Johan A. K. Suykens and Joao Garcia - 2160616 Beyond the Gaussian copula: stochastic and local correlation
by X. Burtschell & J. Gregory and J.-P. Laurent - 2160617 CDO rating methodology: some thoughts on model risk and its implications
by Ingo Fender and John Kiff - 2160618 Credit portfolio risk and probability of default confidence sets through the business cycle
by Stefan Trück* & Svetlozar T. Rachev - 2160619 Measuring sectoral diversification in an asymptotic multifactor framework
by Dirk Tasche - 2160620 Expected loss and fair value over the credit cycle
by Daniel Philps & Solomon Peters - 2160621 Analytic calculation of conditional default statistics and risk contributions using the Ensemble method
by Kevin E. Thompson & Alistair McLeod - 2160654 Credit rating accuracy and incentives
by Robert Jarrow & Liheng Xu - 2160655 Tail-risk management: an investor's perspective
by Vineer Bhansali - 2160656 Evaluating the performance of Static versus Dynamic models of credit default: evidence from long-term Small Business Administration-guarenteed loans
by Dennis Glennon & Peter Nigro - 2160657 Pricing and hedging collateralized loan obligations with implied factor models
by Jovan Nedeljkovic & Dan Rosen & David Saunders - 2160658 An improved multivariate Markov chain model for credit risk
by Wai-Ki Ching & Tak-Kuen Siu & Li-min Li & Hao Jiang & Tang Li - 2160659 Estimating EAD for retail exposures for Basel II purposes
by Vytautas Valvonis - 2160660 Extracting systematic factors in a continuous-time credit migration model
by Harley Thompson & Jonathan Harris - 2160661 Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - 2160662 A note on the survival probability in CreditGrades
by Rüdiger Kiesel & Luitgard A. M. Veraart - 2160663 Problems & Solutions
by Michael Ong - 2160664 Modeling credit exposure for collateralized counterparties
by Michael Pykhtin - 2160665 Credit spreads explained
by Dominic O’Kane & Saurav Sen - 2160666 Corporate bond defaults are consistent with conditional independence
by Florian Kramer & Gunter Löffler - 2160667 Benchmarking the incremental risk charge
by Christopher C. Finger - 2160668 Accurate allocation of risk capital in credit portfolios
by Jan W. Kwiatkowski & D. James Burridge - 2160669 Underwriting versus economy: a new approach to decomposing mortgage losses
by Ashish Das & Roger M. Stein - 2160670 On recovery and intensity's correlation: a new class of credit risk models
by Raquel M. Gaspar & Irina Slinko - 2160671 Modeling basket credit default swaps with default contagion
by Helen Haworth & Christoph Reisinger - 2160672 A correlation estimation method for CDO equity
by Jeffrey Prince - 2160673 Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach
by Alexander Herbertsson - 2160674 Selecting credit portfolios for collateralized loan obligation transactions: a heuristic algorithm
by Simone Westerfeld & Frithjof Weber - 2160675 Modelling sector correlations with CreditRisk+: The common background vector model
by Matthias Fischer & Christian Dietz - 2160676 Book Review: Credit Risk Modeling: Theory and Applications
by Donald R. van Deventer - 2160677 Pricing counterparty risk at the trade level and credit valuation adjustment allocations
by Michael Pykhtin & Dan Rosen - 2160678 An approximation for credit portfolio losses
by Rüdiger Frey & Monika Popp & Stefan Weber - 2160679 An empirical implementation of CreditGrades
by Andy Jia-Yuh Yeh - 2160680 The value of non-financial information in SME risk management
by Edward I. Altman & Gabriele Sabato & Nicholas Wilson - 2160681 Approximating independent loss distributions with an adjusted binomial distribution
by Dominic O’Kane - 2160682 An introduction to pricing correlation products using a pair-wise correlation matrix
by Sam Whitehill - 2160683 Toward a clear understanding of the systemic risks of large institutions
by Jeffrey Rosenberg - 2160684 Credit default swap trees
by Ridha Mahfoudhi - 2160685 Problems & Solutions: Recovery Swaps and CDO Deltas
by Michael Ong - 2160686 CDO pricing with factor models: survey and comments
by Leif Andersen & Jakob Sidenius - 2160687 Development and validation of credit scoring models
by Dennis Glennon & Nicholas M. Kiefer & C. Erik Larson & Hwan-sik Choi - 2160688 From actual to risk-neutral default probabilities: Merton and beyond
by Tobias Berg - 2160689 The systematic and idiosyncratic modules of bankruptcy risk
by Dror Parnes - 2160690 The re-emergence of distressed exchanges in corporate restructurings
by Edward I. Altman & Brenda Karlin - 2160691 Valuing CDOs of bespoke portfolios with implied multi-factor models
by Dan Rosen & David Saunders - 2160692 CDO pricing with expected loss parametric interpolation
by Guillaume Bernis - 2160694 Credit default model for a dynamically changing economy
by Patrik Andersson - 2160695 Bond prices, default probabilities and risk premiums
by John Hull & Mirela Predescu & Alan White - 2160696 Lead-lag relationships and rating convergence among credit rating agencies
by Andre Güttler - 2160697 Balance sheet exposures leading towards the credit crunch in global investment banks
by Omar Masood - 2160698 Maturity adjustments under asymptotic single risk factor models: a comparative analysis
by Eric McCoy - 2160699 Analytical pricing of basket default swaps in a dynamic Hull-White framework
by Frédéric D. Vrins - 2160700 Is credit risk really higher in Islamic banks?
by Aniss Boumediene - 2160701 Instant default, upfront concession and CDS index basis
by Haiyun Zhang - 2160702 Bootstrapping default probability curves
by Lawrence S. J. Luo - 2160703 A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
by Tomasz R. Bielecki & Andrea Vidozzi & Luca Vidozzi - 2160704 Measuring and managing risk in innovative financial instruments
by Stuart M. Turnbull - 2160705 Issues in the pricing of synthetic CDOs
by Christopher C. Finger - 2160706 Better ingredients
by Christopher Finger & Robert Stamicar - 2160707 Modeling credit spreads with the Cheyette model and its application to credit default swaptions
by Kalina Natcheva-Acar & Sarp Kaya Acar & Martin Krekel - 2160708 Problems & Solutions: Probabilities of Default
by Michael Ong - 2160709 Pricing constant maturity credit default swaps under jump
by Henrik Jönsson & Wim Schoutens - 2160710 A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios
by Trond Reitan & Kjersti Aas - 2160711 Generalized beta regression models for random loss-given-default
by Xinzheng Huang and Cornelis W. Oosterlee - 2160712 Valuing LCDS cancelability
by Terry Benzschawel & Julio DaGraca & Abhinav Kamra & Joe Yu - 2160713 Modeling multi-period corporate default probability when hazard ratios decay
by Jinggang Huang & Craig Friedman - 2160714 Treatment of double default effects within the granularity adjustment for Basel II
by Sebastian Ebert & Eva Lütkebohmert - 2160715 Multi-year dynamics for forecasting economic and regulatory capital in banking
by Daniel Rösch & Harald Scheule - 2160716 Pricing kth-to-default swaps in a Lévy-time framework
by Jan-Frederik Mai & Matthias Scherer - 2160717 Problems & Solutions: Financially Motivated Model Performance Measures
by The Journal of Credit Risk - 2160718 Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs
by Christoph Burgard & Mats Kjaer - 2160719 A brief note on implied historical loss given default
by Rogério F. Porto - 2160720 Market pricing of credit-linked notes: The case of retail structured products in Germany
by Andreas Rathgeber and Yun Wang - 2160721 On pricing risky loans and collateralized fund obligations
by Ernst Eberlein & Helyette Geman & Dilip B. Madan - 2160722 Asset correlations and credit portfolio risk: an empirical analysis
by Klaus Duellmann & Martin Scheicher & Christian Schmieder - 2160723 A statistical modeling approach to building an expert credit risk rating system
by Rasmus Waagepetersen - 2160724 Correlation and asset correlation in the structural portfolio model
by Jon Frye - 2160725 An evaluation of the base correlation framework for synthetic CDOs
by Søren Willemann - 2160726 Break on through to the single side
by Dilip B. Madan & Wim Schoutens - 2160727 Transfer risk under Basel Pillar 1
by Amit Agarwal & Paul Harrald & YinYee Kan & Peter Thompson - 2160728 An implied multi-factor model for bespoke collateralized debt obligation tranches and other portfolio credit derivatives
by Igor Halperin - 2160729 Credit value adjustment for credit default swaps via the structural default model
by Alexander Lipton & Artur Sepp - 2160730 The valuation of correlation-dependent credit derivatives using a structural model
by John Hull & Mirela Predescu & Alan White - 2160731 A multiname first-passage model for credit risk
by Don L. McLeish & Adam Metzler - 2160732 Recovery swaps
by Arthur M. Berd - 2160733 Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation
by Frédéric D. Vrins - 2160734 Book Review: An Introduction to Credit Risk Modeling
by Greg M. Gupton - 2160735 Risk-neutral correlations in the pricing and hedging of basket credit derivatives
by Michael B. Walker - 2160736 An extended CreditRisk+ framework for portfolio credit risk management
by Chulwoo Han & Jangkoo Kang - 2160737 Credit migration risk modeling
by Andreas Andersson & Paolo Vanini - 2160738 The credit crunch of 2007: what went wrong? Why? What lessons can be learned?
by John C. Hull - 2160739 Tests of the performance of structural models in bankruptcy prediction
by Frank J. Fabozzi & Ren-Raw Chen & Shing-Yang Hu & Ging-Ging Pan - 2160741 A technical note on the allocation of risk capital in credit
by Jan W. Kwiatkowski - 2160743 Book review: Measuring and managing credit risk
by Michel Crouhy - 2160744 On the estimation of credit exposures using regression-based Monte Carlo simulation
by Robert Schöftner - 2160745 A generalized credit value adjustment
by Mats Kjaer - 2160746 Simulation and estimation of loss given default
by Stefan Hlawatsch & Sebastian Ostrowski - 2160747 Granularity in a qualitative factor model
by Christian Gourieroux & Alain Monfort - 2164226 Approximating default probabilities with soft information
by Dror Parnes - 2164228 Pricing corporate loans under the risk-neutral measure
by Terry Benzschawel & Julio DaGraca and Cheng-Yen Lee - 2164229 The impact of counterparty risk on credit default swap pricing dynamics
by Stefan Morkoetter & Johanna Pleus and Simone Westerfeld - 2164240 New risk analysis tools with accounting changes: adjusted Z-score
by Seong Cho & Liang Fu and Yin Yu - 2164245 Credit loss and systematic loss given default
by Jon Frye and Michael Jacobs Jr. - 2186497 Modeling exposure at default and loss given default: empirical approaches and technical implementation
by Bill Huajian Yang and Mykola Tkachenko - 2186499 Double-exponential jump-diffusion processes: a structural model of an endogenous default barrier with a rollover debt structure
by Binh Dao and Monique Jeanblanc - 2186503 Two models of stochastic loss given default
by Simone Farinelli and Mykhaylo Shkolnikov - 2186506 Impact of factor models on portfolio risk measures: a structural approach
by Marcos Escobar & Tobias Frielingsdorf and Rudi Zagst - 2205634 Collateralized credit default swaps and default dependence: implications for the central counterparties
by Masaaki Fujii and Akihiko Takahashi - 2205640 A survey of loan credit default swap pricing models
by Michael Ong & Dan Li and David Lu - 2205658 An asset drop model as an alternative to the treatment of double defaults within the Basel framework
by Sebastian Ebert and Eva Lütkebohmert - 2205741 Recursive formulas for the default probability distribution with applications in Markov chain-based intensity models
by Daniel W.C. Miao and Ben M. Hambly - 2207057 Addendum to “Partial differential equation representations of derivatives with bilateral counterparty risk and funding costsâ€
by Christoph Burgard and Mats Kjaer - 2223823 Calibration of structural and reduced-form recovery models
by Alexander F. R. Koivusalo and Rudi Schäfer - 2223824 Bounds for rating override rates
by Dirk Tasche - 2223828 Optimal structuring of collateralized debt obligation contracts: an optimization approach
by Alexander Veremyev & Peter Tsyurmasto and Stan Uryasev - 2223831 Credit default swap spreads, fair-value spreads and interest rate dynamics
by Andy Jia-Yuh Yeh - 2253178 The survival analysis approach in Basel II credit risk management: modeling danger rates in the loss given default parameter
by Stefano Bonini and Giuliana Caivano - 2253183 Deriving consensus ratings of the big three rating agencies
by Bettina Grün & Paul Hofmarcher & Kurt Hornik & Christoph Leitner and Christoph Leitner - 2253231 Debt structure, market value of firm and recovery rate
by Min Qi and Xinlei Zhao - 2253235 Counterparty risk subject to additional termination event clauses
by Richard Zhou - 2275468 A nonparametric approach to incorporating incomplete workouts into loss given default estimates
by Grazia Rapisarda and David Echeverry - 2275476 A clusterized copula-based probability distribution of a counting variable for high-dimensional problems
by Enrico Bernardi and Silvia Romagnoli - 2275479 Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio
by Rafael Rodrigues Troiani - 2275483 Analytical solutions for the expected loss of a collateralized loan: a square root intensity process negatively correlated with collateral value
by Satoshi Yamashita and ToshinaoYoshiba - 2293814 Pricing of contingent convertibles under smile conform models
by José Manuel Corcuera & Jan de Spiegeleer & Albert Ferreiro-Castilla & Andreas E. Kyprianou & Dilip B. Madan and Wim Schoutens - 2293824 Recovery rate risk and credit spreads in a hybrid credit risk model
by Mathieu Boudreault & Geneviève Gauthier and Tommy Thomassin - 2293828 Sample selection bias in acquisition credit scoring models: an evaluation of the supplemental-data approach
by Irina Barakova & Dennis Glennon and Ajay Palvia - 2293833 Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
by Xiaolin Luo and Pavel V. Shevchenko - 2310088 The effect of training set selection when predicting defaulting small and medium-sized enterprises with unbalanced data
by Giovanna Menardi and Nicola Torelli - 2310092 The art of probability-of-default curve calibration
by Dirk Tasche - 2310096 Valuation differences between credit default swap and corporate bond markets
by Oliver Entrop & Richard Schiemert and Marco Wilkens - 2335467 Dynamic affordability assessment: predicting an applicant’s ability to repay over the life of the loan
by Katarzyna Bijak & Lyn C. Thomas and Christophe Mues - 2335472 Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model
by Yongwoong Lee and Ser-Huang Poon - 2335475 Backtesting counterparty risk: how good is your model?
by Ignacio Ruiz - 2335478 Usage and exposures at default of corporate credit lines: an empirical study
by Janet Yinqing Zhao & Douglas W. Dwyer and Jing Zhang - 2349555 Asset correlation of retail loans in the context of the new Basel Capital Accord
by Pawel Siarka - 2349556 A credit value adjustment scheme for bank loan portfolios
by Dror Parnes - 2349560 Estimation of risk measures for large credit portfolios
by Johannes Hauptmann & Pablo Olivares and Rudi Zagst - 2349562 Asset correlation in residential mortgage-backed security reference portfolios
by Marco Geidosch - 2364684 Collateral and credit issues in derivatives pricing
by John Hull and Alan White - 2364699 Efficient Monte Carlo counterparty credit risk pricing and measurement
by Samim Ghamami and Bo Zhang - 2364707 The large homogeneous portfolio approximation with a two-factor Gaussian copula and random recovery rate
by Geon Ho Choe and Soon Won Kwon - 2364718 Risk analysis probability of default: a stochastic simulation model
by Giuseppe Montesi and Giovanni Papiro - 2385630 Analysis of credit portfolio risk using hierarchical multifactor models
by Pak-Wing Fok & Xiuling Yan and Guangming Yao - 2385638 Redesigning ratings: assessing the discriminatory power of credit scores under censoring
by Holger Kraft & Gerald Kroisandt and Marlene Müller - 2385704 A parametric approach to counterparty and credit risk
by Giuseppe Orlando and Maximilian Härtel - 2385711 Sovereign credit ratings and the new European Union member states
by Nick Wilson & Pavol Ochotnicky and Marek Kacer - 2400744 Forecasting credit card portfolio losses in the Great Recession: a study in model risk
by José J. Canals-Cerdá and Sougata Kerr - 2400747 How banks’ capital ratio and size affect the stability of the banking system: a simulation-based study
by Mitja Steinbacher and Matjaz Steinbacher - 2400754 Sovereign risk and the pricing of corporate credit default swaps
by Matthias Haerri & Stefan Morkoetter and Simone Westerfeld - 2400755 The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives
by Geoffrey R. Harris & Tao L. Wu and Jiarui Yang - 2409666 Systematic risk and yield premiums in the bond market
by Liang Fu & Austin Murphy and Terry Benzschawel - 2410979 Default predictors in credit scoring: evidence from France’s retail banking institution
by Ha-Thu Nguyen - 2412006 The robustness of estimators in structural credit loss distributions
by Enrique Batiz-Zuk & George Christodoulakis and Ser-Huang Poon - 2421033 Hermite approximations in credit portfolio modeling with probability of default–loss given default correlation
by Anthony Owen & James Bryers and Francois Buet-Golfouse - 2421034 Time series models for credit default swap premiums
by Márton Eifert - 2421085 Counting processes for retail default modeling
by Nicholas M. Kiefer and C. Erik Larson - 2421090 Credit risk: taking fluctuating asset correlations into account
by Thilo A. Schmitt & Rudi Schäfer and Thomas Guhr - 2436454 An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
by Haohan Huang & Eugene Wang & Huaxiong Huang & Yong Wang - 2436463 Loss distributions: computational efficiency in an extended framework
by Daniel H. Stahl - 2436470 Default risk of money-market fund portfolios
by Matulya Bansal - 2436471 Are all collections equal? The case of medical debt
by Kenneth P. Brevoort & Michelle Kambara