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| | JEL Classification C33
"Multivariate: 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 C33 classification. (sorted by date) Forecasting Cross-Sections of Frailty-Correlated Default
by Siem Jan Koopman of VU University Amsterdam & Tinbergen Institute,
Andre Lucas of VU University Amsterdam & Tinbergen Institute, and
Bernd Schwaab of VU University Amsterdam & Tinbergen Institute
(813K PDF) -- 35 pages -- February 20, 2008 Firm Heterogeneity and Credit Risk Diversification
by Samuel G. Hanson of Harvard University,
M. Hashem Pesaran of the University of Cambridge & USC, and
Til Schuermann of the Federal Reserve Bank of New York and Wharton Financial Institutions Center
(527K PDF) -- 46 pages -- November 2007 Time to Change - Rating Changes and Policy Implications
by Peter N. Posch of the University of Ulm
(675K PDF) –- 44 pages -- April 2, 2006 Nonparametric Estimation for Non-homogeneous semi-Markov Processes: An application to credit risk
by André Lucas of Vrije Universiteit Amsterdam,
André Monteiro of Vrije Universiteit Amsterdam, and
Georgi Smirnov of the University of Porto
(608K PDF) –- 43 pages -- March 13, 2006 Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface
by Tomoaki Shouda of Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd and Hitotsubashi University
(2,907K PDF) –- 34 pages -- January 16, 2006 Advancing Loss Given Default Prediction Models: How the quiet have quickened
by Greg M. Gupton of Moody's|KMV
(733K PDF) -- 46 pages -- July 2005 LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005 Bank Loan Loss Given Default
by Greg M. Gupton of Moody's|KMV,
Daniel Gates of Moody's Investors Service, and
Lea V. Carty of Moody's|KMV
(179K PDF) -- 24 pages -- November 2000 CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997
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