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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