These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C46 classification. (sorted by date) A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling
by Natalia Puzanova of Deutsche Bundesbank
(570K PDF) -- 33 pages -- November 2011 Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,106K PDF) -- 66 pages -- February 17, 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
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