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| | JEL Classification C19
"Other: Econometric and Statistical Methods: General"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C19 classification. (sorted by date) Do We Need to Worry About Credit Risk Correlation?
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(395K PDF) –- 41 pages -- December 2005 The Impact of Stock Returns Volatility on Credit Default Swap Rates: A copula study
by Fathi Abid of the University of Sfax, and
Nader Naifar of the University of Sfax
(304PDF) –- 23 pages -- May 21, 2005 Comparing BET and Copulas for Cash Flows CDO's
by João Garcia of Dexia Group
Tom Dewyspelaere of Dexia Group
Luc Leonard of Dexia Group
Thomas Alderweireld of Dexia Group
Tony Van Gestel of Dexia Group
(88K PDF) –- 26 pages -- January 31, 2005 Tails of Credit Default Portfolios
by Gabriel Kuhn of the Munich University of Technology
(355K PDF) -- 32 pages -- December 21, 2004 Optimal Credit Limit Management Under Different Information Regimes
by Markus Leippold of the University of Zürich,
Paolo Vanini of the Swiss Banking Institute, University of Zürich & Zürcher Kantonalbank, and
Silvan Ebnoether of Zürcher Kantonalbank
(466K PDF) -- 29 pages -- February 27, 2005 On Rating Cash Flow CDO's using the BET Technique
by João Garcia of Dexia Group
Tom Dewyspelaere of Dexia Group
Ronny Langendries of Dexia Group
Luc Leonard of Dexia Group
Tony Van Gestel of Dexia Group
(92K PDF) -- 26 pages -- October 18, 2004 A Simple Model of Credit Contagion
by Daniel Egloff of Zürcher Kantonalbank,
Markus Leippold of the University of Zurich, and
Paolo Vanini of the University of Southern Switzerland & Zürcher Kantonalbank
(1,555K PDF) -- 51 pages -- February 18, 2004 Business and Default Cycles for Credit Risk
by Siem Jan Koopman of the Vrije Universiteit Amsterdam & the Tinbergen Institute, and
André Lucas of the Vrije Universiteit Amsterdam & the Tinbergen Institute
(250K PDF) -- 23 pages -- December 24, 2003 Tail Behavior of Credit Loss Distributions for General Latent Factor Models
by André Lucas of the Tinbergen Institute Amsterdam,
Pieter Klaassen of Vrije Universiteit,
Peter Spreij of the University of Amsterdam, and
Stefan Straetmans of Maastricht University
(354K PDF) -- 24 pages -- November 8, 2002 Extreme Tails for Linear Portfolio Credit Risk Models
by André Lucas of the Tinbergen Institute Amsterdam,
Pieter Klaassen of Vrije Universiteit,
Peter Spreij of the University of Amsterdam, and
Stefan Straetmans of Maastricht University
(553K PDF) -- 19 pages -- May 28, 2002
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