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Paris-Princeton Lectures on Mathematical Finance 2004 Finance 2004
by Rene A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyen Pham, Erik Taflin, Springer, (October 1, 2007), Paperback, 248 pages |  | Training Discounted for DefaultRisk.com visitors only:
The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
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| | JEL Classification C23
"Univariate: Models with Panel Data"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C23 classification. (sorted by date) Dependent Credit Migrations
by Jonathan Wendin of ETH Zürich, and
Alexander J. McNeil of ETH Zürich
(261K PDF) -- 25 pages -- July 2006 Estimating Probabilities of Default for German Savings Banks and Credit Cooperatives
by Daniel Porath of the University of Applied Sciences at Mainz
(371K PDF) –- 20 pages -- July 2006 Forecasting Credit Portfolio Risk
by Alfred Hamerle of the Universität Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Harald Scheule of the Universität Regensburg
(335K PDF) -- 44 pages -- February 2004 Pricing the Risk of Default: Are Bonds Enough?
by Daniel Gomez of the University of Lausanne, and
Boris Nikolov of the University of Lausanne
(467K PDF) -- 71 pages -- October 19, 2003 A Comparison of Bond Pricing Models in the Pricing of Credit Risk
by Miikka Taurén a PhD candidate at Indiana University
(473K PDF) -- 53 pages -- March 10, 1999
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