These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C11 classification. (sorted by date) Self-exciting Corporate Defaults
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(487K PDF) -- 36 pages -- May 1, 2008 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of Vienna University of Economics and Business Administration,
Leopold Sögner of Vienna University of Technology, and
Tanja Veža of Vienna University of Economics and Business Administration
(636K PDF) –- 37 pages -- July 6, 2007 Frailty Correlated Default
by Darrell Duffie of Stanford University,
Andreas Eckner of Stanford University,
Guillaume Horel of Stanford University, and
Leandro Saita of Lehman Brothers
(370K PDF) –- 50 pages -- October 19, 2006 Valuation of Risky Debt: a Multi-Period Bayesian Framework
by Leonid V. Philosophov of the Moscow Committee of Bankruptcy Affairs
(317K PDF) -- 22 pages -- March 26, 2007 Default Estimation for Low Default Portfolios
by Nicholas Kiefer of Cornell University
(219K PDF) -- 28 pages -- August 2006 Multi-period Bayesian Bankruptcy Prediction: Using financial ratios and the maturity schedule of long-term debt
by Leonid Philosophov of the Moscow Committee of Bankruptcy Affairs,
Jonathan Batten of Macquarie University, and
Vladimir Philosophov (Independent)
(1,208K PDF) -- 34 pages -- January 5, 2006 Heterogeneity in Ratings Migration
by Ashay Kadam of the City University, London, and
Peter Lenk of the University of Michigan
(502K PDF) -- 29 pages -- October 17, 2005 Bayesian Methods for Improving Credit Scoring Models
by Gunter Löffler of the University of Ulm,
Peter N. Posch of the University of Ulm, and
Christiane Schöne of the University of Ulm
(222K PDF) -- 26 pages -- May 31, 2005 Assessing Credit Loss Distributions: Bayesian Multi-Period Model vs. Basel II Model
by Leonid V. Philosophov of Moscow Committee of Bankruptcy Affairs
(405K PDF) -- 25 pages -- August 9, 2004 The Resolution of Financial Distress
by Ronald M. Giammarino of the University of British Columbia
(256K PDF) –- 23 pages -- 1989
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