JEL Classification C25
"Univariate: Discrete Regression and Qualitative Choice Models"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C25 classification. (sorted by date) Modeling Ultimate Loss Given Default on Corporate Debt
by Michael Jacobs, Jr. of the Office of the Comptroller of the Currency, and
Ahmet K. Karagozoglu of the Hofstra University
(149K PDF) -- 26 pages -- May 2011 Empirical Implementation of a 2-Factor Structural Model for Loss-Given-Default
by Michael Jacobs, Jr. of the Office of the Comptroller of the Currency
(863K PDF) -- 16 pages -- March 2011 Financial and Economic Determinants of Firm Default
by Giulio Bottazzi of Scuola Superiore Sant'Anna,
Marco Grazzi of Scuola Superiore Sant'Anna,
Angelo Secchi of the Università di Pisa, and
Federico Tamagni of Scuola Superiore Sant'Anna
(411K PDF) -- 29 pages -- October 19, 2009 International Banks' Ratings with an Indicator Variable for Country Effects
by Roman Matousek of London Metropolitan University,
Chris Stewart of London Metropolitan University, and
Gary van Vuuren of Fitch Ratings
(220K PDF) -- 19 pages -- May 2009 Credit Risk Drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
by Diana Bonfim of Banco de Portugal
(558K PDF) -- 48 pages -- March 2007 Corporate Credit Risk Modeling and the Macroeconomy
by Kenneth Carling of IFAU and Dalarna University,
Tor Jacobson of Riksbank,
Jesper Lindé of Riksbank, and
Kasper Roszbach Riksbank
(531K PDF) -- 29 pages -- April 5, 2006 The Identification of Corporate Distress in UK Industrials: A Conditional Probability Analysis Approach
by Lin Lin of the National Chi-Nan University, and
Jenifer Piesse of King's College London & University of Stellenbosch
(583K PDF) -- 23 pages -- April 2004 Perraudin, William and Alex Taylor, " On the Consistency of Ratings and Bond Market Yields", Journal of Banking & Finance, Vol. 28, No. 11, (November 2004), pp. 2769-2788. Stability of Rating Transitions
by Pamela Nickell of the Bank of England,
William Perraudin of the Birkbeck College, and
Simone Varotto of the Bank of England
(186K PDF) -- 25 pages -- January 2000
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