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| | JEL Classification C51
"Model Construction and Estimation"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C51 classification. (sorted by date) The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of Vienna University of Economics and Business Administration,
Leopold Sögner of Vienna University of Technology, and
Tanja Veža of Vienna University of Economics and Business Administration
(636K PDF) –- 37 pages -- July 6, 2007 Pricing Tranched Credit Products with Generalized Multifactor Models
by Manuel Moreno of Universidad Carlos III, Madrid,
Juan Ignacio Peña of Universidad Carlos III, Madrid, and
Pedro Serrano of the University of Basque Country
(420K PDF) -- 44 pages -- May 2007 Rösch, Daniel and Harald Scheule, "Stress-Testing Credit Risk Parameters: An application to retail loan portfolios", Journal of Risk Model Validation, Vol. 1, No. 1, (Spring 2007), pp. 55-75. [Abstract] Valuation of Risky Debt: a Multi-Period Bayesian Framework
by Leonid V. Philosophov of the Moscow Committee of Bankruptcy Affairs
(317K PDF) -- 22 pages -- March 26, 2007 Estimating Credit Contagion in a Standard Factor Model
by Daniel Rösch of the University of Regensburg, and
Birker Winterfeldt of the University of Regensburg
(253K PDF) -- 16 pages -- January 30, 2007 Arbitrage Pricing of Single-Name Credit Derivatives
by Wu Lixin of the Hong Kong University of Science & Technology
(163K PDF) –- 20 pages -- January 26, 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 Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
by Ren-raw Chen of Rutgers University,
Xiaolin Cheng of Rutgers University, and
Liuren Wu of Baruch College
(338K PDF) -- 50 pages -- August 8, 2005 From Default Probabilities to Credit Spreads: Credit Risk Models Do Explain Market Prices
by Stefan M. Denzler of Converium Ltd.,
Michel M. Dacorogna of Converium Ltd.,
Ulrich A. Müller of Converium Ltd., and
Alexander J. McNeil of Swiss Federal Institute of Technology (ETH)
(408K PDF) –- 18 pages -- March 22, 2005 On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
by Rafael Weissbach of the University of Dortmund, and
Carsten von Lieres und Wilkau of WestLB AG
(164K PDF) –- 27 pages -- December 23, 2005 A Multifactor Approach for Systematic Default and Recovery Risk
by Daniel Rösch of the University of Regensburg, and
Harald Scheule of the University of Melbourne
(320K PDF) -- 32 pages -- September 2005 Credit Scoring and the Sample Selection Bias
by Thomas Parnitzke of the University of St. Gallen
(179K PDF) -- 21 pages -- May 31, 2005 Renault, Olivier and Olivier Scaillet, "On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities" Journal of Banking & Finance, Vol. 28, No. 12, (December 2004), pp. 2915-2931. [Abstract] Assessing Credit Loss Distributions: Bayesian Multi-Period Model vs. Basel II Model
by Leonid V. Philosophov of Moscow Committee of Bankruptcy Affairs
(405K PDF) -- 25 pages -- August 9, 2004 Structural Models in Consumer Credit
by Fabio Wendling Muniz de Andrade of EAESP-FGV / SERASA – Brazil, and
Lyn Thomas of the University of Southampton
(183K PDF) -- 29 pages -- July 2004 Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany
by Daniel Rösch of the University of Regensburg
(293K PDF) -- 30 pages -- November 2002 From Value at Risk to Stress Testing: The Extreme Value Approach
by François M. Longin of the Cergy-Pontoise Cedex
(498K PDF) -- 34 pages -- July 2000 Anderson, Ronald, Suresh Sundaresan, "A Comparative Study of Structural Models of Corporate Bond Yields: An exploratory investigation", Journal of Banking & Finance, Vol. 24, No. 1, (January 2000), pp. 255-269. [Abstract]
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