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)
Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, Eindhoven, 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. [Abstract]
Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,544K PDF) -- 25 pages -- October 2007
Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach
by Alexander Herbertsson of Göteborg University
(379K PDF) -- 27 pages -- March 15, 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. [Abstract]
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