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In Rememberance: World Trade Center (WTC)

Top Ten Most Viewed Papers

These lists reflect the ranking of which pages on my site were most popularly viewed in the last two months.  I believe that a two month rolling window is a good balance between responsiveness and endurance.  Very short windows overly reflect merely which papers are newly posted.  These "top ten" lists show which pages have been most viewed.  Updated (May-1)

"All Time" Ranking is the ranking since March-2003 when I first started retaining records.

Current
Rank 		"AllTime"
Rank 		Top Ten Most Viewed Papers
1 1CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997
2 5891986-2002 Credit Risk Loss Experience Study: Private Placement Bonds
by the Private Placement Committee of the Society of Actuaries
(1,902K PDF) -- 289 pages -- April 2006
3 1265CVA and Wrong Way Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(357K PDF) -- 25 pages -- August 1, 2011
4 1605Bayesian Estimation of Probabilities of Default for Low Default Portfolios
by Dirk Tasche of Financial Services Authority, United Kingdom
(552K PDF) -- 29 pages -- December 23, 2011
5 46Credit Valuation Adjustment (CVA)
by Shahram Alavian of Lehman Brothers,
Jie Ding of Nomura,
Peter Whitehead of Deutsche Bank, and
Leonardo Laudicina of Nomura
(125K PDF) -- 22 pages -- October 9, 2010
6 4CreditRisk+ A Credit Risk Management Framework
by Tom Wilde of CSFB
(413K PDF) -- 72 pages -- October 1997
7 1505Credit Risk Measurement Methodologies
by David E. Allen of Edith Cowan University, and
Robert J. Powell of Edith Cowan University
(761K PDF) -- 7 pages -- November 2011
8 1800

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

9 1719

Funding Value Adjustment (FVA)
by Shahram Alavian of Royal Bank of Scotland
(310K PDF) -- 30 pages -- October 29, 2011

10 3On Default Correlation: A copula function approach
by David X. Li of The RiskMetrics Group
(219K PDF) -- 12 pages -- March 2000

The Remainder of the All Time "Top Ten" Favorites

"AllTime"
Rank 		Current
Rank 		 
2 111Valuing Credit Default Swaps I: No Counterparty Default Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(368K PDF) -- 35 pages -- April 2000
5 40The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
( 243K PDF) -- 38 pages -- January 2004
6 50Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(305K PDF) -- 39 pages -- February 17, 2004
7 32LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005
9 129Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(256K PDF) -- 34 pages --February 2004
10 82

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009

 

Top Ten Most Viewed Abstracts

My intent with these "Abstract" pages was to reference published papers even if (at the time I originally posted) there was no PDF file that I could link to.  Over time, many PDF links have been contributed.  But I make no guarantees that these will be available for download.  These tend to be "classics" that have enduring value.  For example, Merton[1974] is by far the most frequently cited reference on this site.  Updated (May-1)

1 Lu, Su-Lien, "Assessing the Credit Risk of Bank Loans Using an Extended Markov Chain Model", Journal of Applied Finance & Banking, Vol. 2, No. 1, (2012), pp. 197-223.

2 Castrén, Olli, Stéphane Dées, Fadi Zaher, "Stress-testing Euro Area Corporate Default Probabilities using a Global Macroeconomic Model", Journal of Financial Stability, Vol. 6, No. 2, (June 2010), pp. 64-78.

3 Giesecke, Kay, Baeho Kim, "Systemic Risk: What Defaults are Telling Us", Management Science, Vol. 57, No. 8, (August 2011), pp. 1387-1405.

4  Merton, Robert C.  " On the Pricing of Corporate Debt: The Risk Structure of Interest Rates", Journal of Finance, Vol. 29, MIT (1974), pp. 449-470.

5  Giesecke, Kay, Baeho Kim, Shilin Zhu, "Monte Carlo Algorithms for Default Timing Problems", Management Science, Vol. 57, No. 12, (December 2011), pp. 2115-2129.

6 Fama, Eugene F. and Kenneth R. French, " Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, University of Chicago, Vol. 33, No. 1, (Feb-1993), pp. 3-56.

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 Samules, Michael, "The Calculation of Portfolio Unexpected Loss in Credit and Operational Risk", Journal of Risk Management in Financial Institutions, Vol. 5, No. 1, (December 2011), pp. 76-85.

9  Altman, Edward I., " Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy", Journal of Finance, Vol. 23, No. 4, (September 1968), pp. 589-609.

10  Drehmann, Mathias, Steffen Sorensen, Marco Stringa, "The Integrated Impact of Credit and Interest Rate Risk on Banks: A dynamic framework and stress testing application", Journal of Banking & Finance, Vol. 34, No. 4, (April 2010), pp. 713-729.

 

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