These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C16 classification. (sorted by date) 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 On the Necessity of Five Risk Measures
by Dominique Guégan of the Université Paris1 Panthéon-Sorbonne, and
Wayne Tarrant of Wingate University
(203K PDF) -- 230 pages -- November 21, 2011 Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010 Simulation and Estimation of Loss Given Default
by Stefan Hlawatsche of Otto-von-Guericke University, Magdeburg, and
Sebastian Ostrowski of Otto-von-Guericke University, Magdeburg
(548K PDF) -- 38 pages -- March 2010 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 Properties of Hierarchical Archimedean Copulas
by Ostap Okhrin of Humboldt-Universität zu Berlin,
Yarema Okhrin of the University of Bern, and
Wolfgang Schmid of the European University Viadrina
(498K PDF) -- 50 pages -- March 5, 2009 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007 Dynamic Copulas: Applications to finance and economics
by Daniel Totouom-Tangho of MINES ParisTech
(3,209K PDF) -- 158 pages -- November 6, 2007 Credit Default Swap Spreads and US Financial Market: Investigating some dependence structure
by Hayette Gatfaoui of Rouen School of Management
(581K PDF) -- 27 pages -- September 2007 Dependency without Copulas or Ellipticity
by William T. Shaw of King's College London
(1,690K PDF) -- 10 pages -- September 2007 The Skewed t Distribution for Portfolio Credit Risk
by Wenbo Hu of Bell Trading, and
Alec N. Kercheval of Florida State University
(449K PDF) -- 45 pages -- August 2007 Quantile Mechanics
by György Steinbrecher of the University of Craiova, Romania, and
William T. Shaw of King's College London
(243K PDF) -- 18 pages -- July 16, 2007 Credit Risk in a Network Economy
by Didier Cossin of IMD, Lausanne, and
Henry Schellhorn of Claremont Graduate University
(343K PDF) -- 24 pages -- October 4, 2006 New Families of Copulas Based on Periodic Functions
by Aurélien Alfonsi of Ecole Nationale des Ponts et Chaussées, and
Damiano Brigo of Banca IMI
(162K PDF) -- 17 pages -- December 19, 2005 A Structural Credit-Risk Model based on a Jump Diffusion
by Matthias Scherer of the University of Ulm
(277K PDF) -- 28 pages -- December 2, 2005 Confidence Intervals for Probabilities of Default
by Samuel Hanson of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(388K PDF) -- 44 pages -- July 19, 2005 A General Approach to Integrated Risk Management with Skewed Fat-tailed Risks
by Joshua Rosenberg of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(641K PDF) - 69 pages -- February 4, 2005 Estimating Probabilities of Default
by Til Schuermann of the Federal Reserve Bank of New York, and
Samuel Hanson of the Federal Reserve Bank of New York
(382K PDF) -- 36 pages -- July 2004 How Does Systematic Risk Impact US Credit Spreads? A Copula Study
by Hayette Gatfaoui of the University Paris I - Panthéon-Sorbonne
(547K PDF) -- 27 pages -- June 2003
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