Top Ten Twenty Newest Papers! This page started as a "Top Ten" list of the most recently authored papers. But then people e-mailed to say that, "Although this was their favorite page..." <Thanks!> they wanted the list to keep on going rather than cutting off at only ten. I think that would become a bit much, but I'm happy to lengthen it to a "Top Twenty". Enjoy! (What journal subscription can give you this level of immediate access to credit research?!?!) And now the Top Ten Twenty: #1. Consistent Single- and Multi-step Sampling of Multivariate Arrival Times: A characterization of self-chaining copulas
by Damiano Brigo of King's College, London, and
Kyriakos Chourdakis of King's College, London
(215K PDF) -- 23 pages -- May 1, 2012 #2. Analytical Approximations for Loan and Credit Derivatives Portfolios
by Kay Giesecke of Stanford University,
Jack Kim of J.P. Morgan, and
Hideyuki Takada of Mizuho-DL Financial Technology, Tokyo
(310K PDF) -- 34 pages -- April 26, 2012 #3. Stress Testing Banks
by Til Schuermann of Oliver Wyman & Wharton Financial Institutions Center
(139K PDF) -- 61 pages -- April 17, 2012 #4. Default Likelihood under Regime-Switching
by Andreas Milidonis of University of Cyprus, and
Kevin Chisholm of , UK
(1007K PDF) -- 51 pages -- April 5, 2012 #5. Is Credit Event Risk Priced?
by Jennie Bai of Federal Reserve Bank of New York,
Pierre Collin-Dufresne of Columbia University,
Robert S. Goldstein of University of Minnesota, and
Jean Helwege of University of South Carolina
(462K PDF) -- 22 pages -- March 2012 #6. Cash Holdings and Credit Risk
by Viral V. Acharya of the New York University,
Sergei A. Davydenko of the University of Toronto, and
Ilya A. Strebulaev of the Stanford University
(980K PDF) -- 49 pages -- April 2012 #7. Khieu, Hinh D., Donald J. Mullineaux, Ha-Chin Yi, "The Determinants of Bank Loan Recovery Rates", Journal of Banking & Finance, Vol. 36, No. 4, (April 2012), pp. 923-933. #8. Dynamics of Corporate Security Prices in Firm Value Models with Incomplete Information
by Rüdiger Frey of WU Vienna & University of Leipzig, and
Dan Lu of UBS Zurich
(462K PDF) -- 22 pages -- March 25, 2012 #9. Capital allocation for credit portfolios under normal and stressed market conditions
by Norbert Jobst of Lloyds Banking Group, and
Dirk Tasche of Lloyds Banking Group
(160K PDF) -- 13 pages -- March 10, 2012 #10. Bounds for Rating Override Rates
by Dirk Tasche of Financial Services Authority, UK
(494K PDF) -- 20 pages -- March 10, 2012 #11. CVA and Wrong Way Risk
by John Hull of University of Toronto, and
Alan White of University of Toronto
(357K PDF) -- 27 pages -- March 5, 2012 #12. Default Clustering in Large Portfolios: Typical events
by Kay Giesecke of the Stanford University,
Kostas Spiliopoulos of the Brown University, and
Richard Sowers of the University of Illinois at Urbana-Champaign
(385K PDF) -- 33 pages -- March 4, 2012 #13. LIBOR vs OIS: The Derivatives Discounting Dilemma
by John Hull of University of Toronto, and
Alan White of University of Toronto
(203K PDF) -- 230 pages -- March 2012 #14. Regression Model for Proportions with Probability Masses at Zero and One
by Raffaella Calabrese of University College Dublin
(151K PDF) - 14 pages -- March 2012 #15. Wozabal, David, Ronald Hochreiter, "A Coupled Markov Chain Approach to Credit Risk Modeling", Journal of Economic Dynamics and Control, Vol. 36, No. 3, (March 2012), pp. 403-415. #16. Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets
by Agostino Capponi of Purdue University,
José E. Figueroa-López of Purdue University, and
Jeffrey Nisen of Purdue University
(716K PDF) -- 33 pages -- February 28, 2012 #17. Default Probability Estimation in Small Samples: With an application to sovereign bonds
by Walter Orth of University of Cologne
(256K PDF) -- 24 pages -- February 9, 2012 #18. Bayesian Estimation of Probabilities of Default for Low Default Portfolios
by Dirk Tasche of Financial Services Authority, United Kingdom
(552K PDF) -- 29 pages -- February 6, 2012 #19. Macroeconomic Effects of Corporate Default Crises: A long-term perspective
by Kay Giesecke of Stanford University,
Francis Longstaff of the University of California, Los Angeles,
Stephen Schaefer of the London Business School, and
Ilya Strebulaev of Stanford University
(203K PDF) -- 230 pages -- February 2012 #20. Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and funding value adjustments
by Antonio Castagna of iason Ltd.
(243K PDF) -- 19 pages -- January 24, 2012 | 
