This is the web's most comprehensive credit risk modeling and measurement resource for corporate debt. There are currently 1,934 references with abstracts to credit risk management and modeling related research. 1,606 of these are full text freely downloadable papers. If I have missed anything, then please contact me.
The views expressed on this website are those of the individual contributors, and do not necessarily reflect the views of any related party or employer.
New Research this week of May-5:
New in previous weeks:Week of April-28 Week of April-21 Week of April-14 Week of April-7 Week of February-10 Week of February-3 Week of January-27 Week of January-20 Week of January-13 Week of January-6 Week of December-30 Week of November-4 Week of October-28 Week of October-21 Week of October-14 Week of October-7 Week of September-30 Week of September-23 Week of September-16 Week of September-9 Week of September-2 Week of August-26 Week of August-19 Week of August-12 Week of August-5 Week of July-22 Week of July-15 Week of July-8 Week of July-1 Week of June-24
- Examining what Best Explains Corporate Credit Risk: Accounting-based versus market-based models
- Credit Default Swaps: Implied ratings versus official ones
- Market-based Credit Ratings
- Bounds for Rating Override Rates (updated)
- Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default (updated)
- Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending (updated)
- A Framework for Pricing and Risk Management of Loans with Embedded Options (updated)
- A Random Matrix Approach on Credit Risk (updated)
- Exploring the Sources of Default Clustering (updated)
See ALL Credit Research:
About this Web Site
This is not a vendor site. It is just my own. I have been excited by credit risk methodologies throughout my career. Although I am the principal author of CreditMetrics®, and LossCalc™, ... as well as contributed to Equity Structural and CDS models (and have a natural affinity for them), I am more of an advocate for the continued study of credit risk modeling. Wonderfully, there are over eighteen hundred researchers featured on this site (see the full list)!
"I'm making the world less risky;
one credit portfolio at a time!"
-- Greg M. Gupton
What I want is to advance the state-of-the-art of credit risk management ... through YOU. I hope to give you all the tools to understand the strengths and limits of credit value-at-risk models so you can take the best and ... I trust ... create better ones. This site has been under continual development since 2000 and will continue to grow. I'm trying to satisfy two audiences:
Practitioners have a no-nonsense need to address risk in a timely fashion. Institutions hire research people to develop internal (and adapt external) risk measurement and pricing systems to address tangible needs.
Academics have the more strategic, but no less difficult, need to efficiently access the many disparate sources of prior research and to gain insight into current practitioner practice & demand.
Greg M. Gupton, Webmaster