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New Research this week of August-29:

New in previous weeks:

• Optimal Timing to Purchase Options
• Credit Risk Premia and Quadratic BSDEs with a Single Jump

• Statistics of Financial Markets: Exercises and Solutions Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera Springer, June 30, 2010, Paperback, 229 pages

• Credit Risk, Market Sentiment and Randomly-Timed Default
• The Merton Structural Model and IRB Compliance (updated)
• Lévy Subordinator Model of Default Dependency (updated)
• Exact Simulation of Point Processes with Stochastic Intensities (updated)
• Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model (updated)

• Analysis of Financial Time Series Ruey S. Tsay, Wiley August 30, 2010, Hardcover, 712 pages

• The Risk of Tranches Created from Residential Mortgages (updated)
• Does a Central Clearing Counterparty Reduce Counterparty Risk? (updated)
• Credit Rating Dynamics in the Presence of Unknown Structural Breaks (updated)
• Exploring the Sources of Default Clustering (updated)

• Credit Risk Modeling: With Stochastic Volatility, Jumps and Stochastic Interest Rates Ayhan Yuksel LAP Lambert Academic Publishing, July 29, 2010, Paperback, 164 pages

• Analytical Framework for Credit Portfolios

• Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Risk Riccardo Rebonato Wiley, August 2, 2010, Hardcover, 238 pages

• Measuring Systemic Risk

• Contemporary Quantitative Finance Eds. Carl Chiarella, Alexander Novikov Springer, August 18, 2010, Hardcover, 440 pages

• On Correlation and Default Clustering in Credit Markets
• A Note on Construction of Multiple Swap Curves with and without Collateral
• Contagious Adverse Selection
• A Practical Approach to Validating a PD Model (updated)

• Risk and Liquidity Hyun Song Shin Oxford University Press, July 22, 2010, Hardcover, 208 pages Ch. 1) Nature of Financial Risk Audio interview with author

• Correlation in Credit Risk
• An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil

• The Handbook of Risk Management: Implementing a Post Crisis Corporate Culture Philippe Carrel, Wiley, May 24, 2010, Hardcover, 284 pages

• Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering (updated)
• Bank Behavior with Access to Credit Risk Transfer Markets (mended)

• Applied Finance and General Statistical Analysis: with SAS Examples David J. Moore, CreateSpace, June 30, 2010, Paperback, 96 pages

• The research Top Ten Lists are updated.
• Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis (mended)
• Structured Finance Influence on Financial Market Stability: Evaluation of current regulatory developments
• Validation of Credit Default Probabilities via Multiple Testing Procedures
• Granularity Adjustment for Mark-to-Market Credit Risk Models

• Cash CDO Modelling in Excel: A Step by Step Approach Darren Smith, Pamela Winchie Wiley, July 20, 2010, Hardcover, 354 pages

• Handling Exotic Positions for Counterparty Risk Management
• Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A real options approach
• Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis
• Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes (updated)
• A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds

• Enterprise Risk Management Models David L. Olson, Desheng Wu, Springer, June 1, 2010, Hardcover, 200 pages

• Ratings Arbitrage and Structured Products
• How to Gauge the Credit Risk of Bank Loans: Evidence from Taiwan

• Introduction to Credit Risk Modeling, Second Edition Christian Bluhm, Ludger Overbeck, Christoph Wagner Chapman and Hall/CRC, June 2, 2010, Hardcover, 384 pages

• Discounting Revisited: Valuations under funding costs, counterparty risk and collateralization
• Corporate Bond Defaults are Consistent with Conditional Independence
• Multi-factor Bottom-up Model for Pricing Credit Derivatives
• In Search of Distress Risk

• Professional Financial Computing Using Excel & VBA Donny C. F. Lai, Humphrey K. K. Tung, Michael C. S. Wong, Stephen Ng Wiley, June 15, 2010, Hardcover, 352 pages

• Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
• Modelling the Bid and Ask Prices of Illiquid CDSs (updated)

• Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models Damiano Brigo, Andrea Pallavicini, Roberto Torresetti Wiley, June 15, 2010, Paperback, 176 pages

• Are We Building the Foundations for the Next Crisis Already? The case of central clearing
• Credit Rating Dynamics in the Presence of Unknown Structural Breaks (updated)
• Unintended Consequences of the Market Risk Requirement in Banking Regulation
•  (updated)

• Monte Carlo Methods and Models in Finance and Insurance Ralf Korn, Elke Korn, Gerald Kroisandt CRC Press, February 22, 2010, Hardcover, 484 pages

• Risky Funding: A unified framework for counterparty and liquidity charges
• Simulation and Estimation of Loss Given Default
• Analytical Pricing of Basket Default Swaps in a Dynamic Hull & White Framework
• Collateral Posting and Choice of Collateral Currency: Implications for derivative pricing and risk management
• Credit Rating Dynamics in the Presence of Unknown Structural Breaks (updated)

• Fault Lines: How Hidden Fractures Still Threaten the World Economy Raghuram G. Rajan Princeton University Press, June 1, 2010, Hardcover, 272 pages

• Aggregate Risk and the Choice between Cash and Lines of Credit
• Our Conferences page is updated frequently and currently lists 27 events.
• Default and the Maturity Structure in Sovereign Bonds (updated)
• The Effects of Default Correlation on Corporate Bond Credit Spreads (updated)

• Foundations of Modern Probability Olav Kallenberg Springer, February 19, 2010, Paperback, 660 pages

• Exposure at Default Model for Contingent Credit Line
• Fast Correlation Greeks by Adjoint Algorithmic Differentiation
• CDO Pricing: Copula implied by risk neutral dynamics (updated)
• OTC Derivatives and Central Clearing: Can all transactions be cleared?
• Counterparty Risk on a CDS in a Model with Joint Defaults and Stochastic Spreads (updated)

• Encyclopedia of Quantitative Finance (4-Volume Set) Editor in Chief: Rama Cont Wiley, April 26, 2010, Hardcover, 2194 pages

• Counterparty Credit Risk and the Credit Default Swap Market
• Credit Rating Dynamics with Unobserved Structural Breaks
• A Multi-Portfolio Model for Bespoke CDO Pricing, Part I: Methodology (updated)
• A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery (updated)
• A Top-down Model for Cash CLO
• The Information Content of Option-Implied Volatility for Credit Default Swap Valuation (updated)

• Credit Risk Management In and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms by Anthony Saunders, Linda Allen Wiley, May 3, 2010, Hardcover, 400 pages

• Modelling the Bid and Ask Prices of Illiquid CDSs
• Simulating Multiple Defaults and Migration II: Credit value adjustment of credit default swaps
• Credit Ratings and Credit Risk
• Lévy Subordinator Model of Default Dependency (updated)

• Portfolio Risk Analysis by Gregory Connor, Lisa R. Goldberg, and Robert A. Korajczyk Princeton University Press, April 4, 2010, Hardcover, 400 pages

• Risk Analysis of Collateralized Debt Obligations (updated)
• A Top-down Approach to Multi-name Credit (updated)
• Does a Central Clearing Counterparty Reduce Counterparty Risk? (updated)
• On the Necessity of Five Risk Measures
• Pricing Basket Default Swaps in a Tractable Shot-noise Model (updated)
• The Risk of Tranches Created from Residential Mortgages (updated)
• Unintended Consequences of the Market Risk Requirement in Banking Regulation (updated)
• Credit Risk Modelling with Shot-noise Processes

• Popes and Bankers: A Cultural History of Credit and Debt, from Aristotle to AIG by Jack Cashill Thomas Nelson, March 16, 2010, Paperback, 272 pages

• Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering (updated)
• Loss Distributions Conditional on Defaults (mended)
• An Exponential Approximation to the Hockey Stick Function (updated)
• Heterogeneous Credit Portfolios and the Dynamics of the Aggregate Losses

• The Basel Capital Accords in Developing Countries: Challenges for development finance by Ricardo Gottschalk (Editor) Palgrave Macmillan, January 19, 2010, Hardcover, 256 pages

• An Extension of Davis and Lo’s Contagion Model  (updated)
• To better organize this site, I have added a Mathematics Subject Classification index.  I appreciate that not all authors/journals use this classification system. Though certainly not required, I encourage future submissions to give such codes.
• Hedging Portfolio Loss Derivatives with CDSs
• Consistent Valuation of Bespoke CDO Tranches
• Valuation Bounds of Tranche Options
• Sample-path Large Deviations in Credit Risk

• Risk Management in Banking by Joel Bessis Wiley, February 15, 2010, Paperback, 840 pages

• Lévy Subordinator Model of Default Dependency
• Corporate Bond Default Risk: A 150-year perspective
• Dangerous Knowledge: Credit value adjustment with credit triggers
• Dynamic Factor Copula Model (updated)
• Credit Default Swaps Liquidity Modeling: A survey
• The Lehman Brothers Effect and Bankruptcy Cascades

• Markets with Transaction Costs: Mathematical Theory by Yuri Kabanov, Mher Safarian Springer, December 30, 2009, Hardcover, 294 pages

• Bankruptcy Codes, Liquidation Timing, and Debt Valuation (updated)
• Financial and Economic Determinants of Firm Default (updated)
• Loss Distributions Conditional on Defaults

• Stochastic and Copula Models for Credit Derivatives: Results of cdo tranche sensitivities in the gaussian copula model by Chao Meng, VDM Verlag, February 2, 2010, Paperback, 100 pages

• Pricing Counterparty Risk at the Trade Level and CVA Allocations
• An Implied Default Dependency Model of a Credit Portfolio based on the Number of Defaults
• Interacting Path Systems for Credit Portfolios Risk Analysis

• Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide by Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, & Ion Manda Springer, February 12, 2010, Hardcover, 254 pages

• Reverse-engineering Country Risk Ratings: A combinatorial non-recursive model (updated)
• Credit Risk Modeling Using Time-Changed Brownian Motion (updated)
• A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs (updated)
• Dynamic CDO Term Structure Modelling

• Practical Financial Optimization: A Library of GAMS Models by Soren S. Nielson, Andrea Consiglio, Stavros A. Zenios, Wiley-Blackwell February 8, 2010, Hardcover, 200 pages

• The Determinants of Credit Default Swap Premia (updated)
• Tightening Credit Standards: The role of accounting quality (updated)
• Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs (updated)
• A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery (updated)
• Stress Testing of Banking Systems (updated)
• Default Risk Modeling Beyond the First-Passage Approximation; Extended Black-Cox Model

• Swaps and Other Derivatives, 2nd Ed. by Richard R. Flavell Wiley, February 8, 2010, Hardcover, 392 pages