These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C02 classification. (sorted by date) Restructuring Counterparty Credit Risk
by Claudio Albanese of Global Valuation, Ltd, London,
Damiano Brigo of King's College, London, and
Frank Oertel of Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin)
(566K PDF) -- 27 pages -- March 2013 On Multi-particle Brownian Survivals and the Spherical Laplacian
by B.S. Balakrishna -- Unaffiliated
(442K PDF) -- 15 pages -- January 25, 2013 CVA, WWR, Hedging and Bermudan Swaption
by Ali Boukhobza of Grupo Santander, and
Jerome Maetz of Grupo Santander
(487K PDF) -- 14 pages -- August 2012 Iscoe, Ian, Alexander Kreinin, Helmut Mausser, Oleksandr Romanko, "Portfolio Credit-risk Optimization", Forthcoming: Journal of Banking & Finance Credit Risk Modeling with Delayed Information
by Takanori Adachi of Hitotsubashi University,
Ryozo Miura of Hitotsubashi University, and
Hidetoshi Nakagawa of Hitotsubashi University
(236K PDF) -- 23 pages -- May 3, 2012 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(1355K PDF) -- 37 pages -- March 31, 2011 Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne & Sharif University of Technology
(950K PDF) -- 38 pages -- February 18, 2011 Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of the Macquarie University, and
Thorsten Schmidt of the Chemnitz University of Technology
(683K PDF) -- 18 pages -- January 25, 2011 Transition Probability Matrix Methodology for Incremental Risk Charge
by Tzahi Yavin of the Royal Bank of Canada,
Hu Zhang of the Royal Bank of Canada,
Eugene Wang of the Royal Bank of Canada, and
Michael A. Clayton of the Royal Bank of Canada
(514K PDF) -- 49 pages -- January 17, 2011 Conditional Default Probability and Density
by Nicole El Karoui of the Centre de Mathématiques Appliquées,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne,
Ying Jiao of the Université Paris 7, and
Behnaz Zargari of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne
(194K PDF) -- 18 pages -- January 6, 2011 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010 Multi-factor Bottom-up Model for Pricing Credit Derivatives
by Lung K. Tsui of the University of Pittsburgh
(221K PDF) -- 42 pages -- May 18, 2010 A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
by Yadong Li of Barclays Capital
(328K PDF) -- 23 pages -- April 21, 2010 Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Risk Factor Contributions in Portfolio Credit Risk Models
by Dan Rosen of the Fields Institute, and
David Saunders of the University of Waterloo
(439K PDF) -- 14 pages -- February 2010 A Spot Stochastic Recovery Extension of the Gaussian Copula
by Norddine Bennani of Barclays Capital, and
Jerome Maetz of Barclays Capital
(379K PDF) -- 21 pages -- January 2010 Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009 A Model of Returns for the Post-Credit-Crunch Reality: Hybrid Brownian motion with price feedback
by William T. Shaw of King's College London
(439K PDF) -- 31 pages -- August 30, 2009 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 Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks
by Olli Castrén of the European Central Bank,
Trevor Fitzpatrick of the European Central Bank, and
Matthias Sydow of the European Central Bank
(1,811K PDF) -- 38 pages -- February 2009 Implied Market Loss Given Default in the Czech Republic: Structural-model approach
by Jakub Seidler of Czech National Bank & Charles University in Prague, and
Petr Jakubík of Czech National Bank & Charles University in Prague
(515K PDF) -- 21 pages -- January 2009 Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
by Alexander Herbertsson of the University of Gothenburg
(409K PDF) -- 31 pages -- July 14, 2008 Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008 Valuzis, Mantas, " On the Probabilities of Correlated Defaults: a First Passage Time Approach", Nonlinear Analysis: Modelling and Control, Vol. 13, No. 1, (March 2008), pp. 117-133. Modeling of CPDOs Identifying Optimal and Implied Leverage
by Jochen Dorn of the Université Paris1 Panthéon-Sorbonne
(673K PDF) -- 38 pages -- November 2007 Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,544K PDF) -- 25 pages -- October 2007 Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
by Alexander Herbertsson of Göteborg University, and
Holger Rootzen of Chalmers University of Technology
(448K PDF) -- 27 pages -- November 27, 2006 Dionne, Georges, Manuel Artís, and Montserrat Guillén, " Count Data Models for a Credit Scoring System", Journal of Empirical Finance, Vol. 3, No. 3, (September 1996), pp. 303-325.
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