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JEL Classification C5 & C50
"Econometric Modeling: 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 C5 classification.     (sorted by date)

Aggregate and Firm-level Measures of Systemic Risk from a Structural Model of Default
by Alexander Reyngold of Moody's Analytics,
Shnyra Ksenia of Moody's Analytics, and
Roger Stein of MIT Laboratory for Financial Engineering
(1620K PDF) -- 35 pages -- June 13, 2013

Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
by Fabio Sigrist of ETH Zürich, and
Werner A. Stahel of ETH Zürich
(654K PDF) -- 39 pages -- May 30, 2012

The Riskiness of Risk Models
by Christophe M. Boucher of the ABN AMRO & Université Panthéon-Sorbonne - Paris I, and
Bertrand B. Maillet of the ABN AMRO & University of Paris-1
(423K PDF) -- 14 pages -- March 2011

Simulation and Estimation of Loss Given Default
by Stefan Hlawatsche of Otto-von-Guericke University, Magdeburg, and
Sebastian Ostrowski of Otto-von-Guericke University, Magdeburg
(548K PDF) -- 38 pages -- March 2010

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Zhang of the Morgan Stanley
(875K PDF) -- 33 pages -- September 6, 2006

Fundamentals-Based Estimation of Default Probabilities: A Survey
by Jorge A. Chan-Lau of the International Monetary Fund
(425K PDF) -- 20 pages -- June 2006

Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles
by Alexander David of the University of Calgary
(669K PDF) -- 59 pages -- December 2005

Optimal Simultaneous Validation Tests of Default Probabilities, Dependencies, and Credit Risk Models
by Uwe Wehrspohn of Heidelberg University
(621K PDF) -- 11 pages -- July 15, 2004

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