These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C52 classification. (sorted by date) The Merton Structural Model and IRB Compliance
by Matej Jovan of the Bank of Slovenia
(239K PDF) -- 16 pages -- September 4, 2009 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of the University of Warwick,
Leopold Sögner of Institute for Advanced Studies, Vienna, and
Tanja Veža of Vienna University of Economics and Business
(498K PDF) -- 60 pages -- May 14, 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 Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
by Sanjiv R. Das of Santa Clara University,
Paul Hanouna of Villanova University, and
Atulya Sarin of Santa Clara University
(380K PDF) -- 12 pages -- April 2009 Credit Spread Changes within Switching Regimes
by Olfa Maalaoui of HEC Montreal,
Georges Dionne of HEC Montreal, and
Pascal François of HEC Montreal
(314K PDF) -- 52 pages -- February, 12, 2009 Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks
by Olli Castrén of the European Central Bank,
Trevor Fitzpatrick of the European Central Bank, and
Matthias Sydow of the European Central Bank
(1,811K PDF) -- 38 pages -- February 2009 Hedging Credit: Equity liquidity matters
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(209K PDF) -- 12 pages -- January 2009 Specification Analysis of Structural Credit Risk Models
by Jing-zhi Huang of Pennsylvania State University, and
Hao Zhou of the Federal Reserve Board
(338K PDF) -- 44 pages -- October 2008 Correlation in Corporate Defaults: Contagion or conditional independence?
by David Lando of the Copenhagen Business School, and
Mads Stenbo Nielsen of the Copenhagen Business School
(620K PDF) -- 41 pages -- August 7, 2008 Goodness-of-Fit Test for Event Forecasting
by Andreas Blöchlinger of Zürcher Kantonalbank, and
Markus Leippold of Imperial College London
(390K PDF) -- 46 pages -- January 9, 2008 Testing Probability Calibrations: Application to credit scoring models
by Andreas Blöchlinger of Credit Suisse, and
Markus Leippold of the Federal Reserve Bank of New York & University of Zurich
(379K PDF) -- 36 pages -- May 6, 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 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 Evidence on the Incompleteness of Merton-type Structural Models for Default Prediction
by Roger M. Stein of Moody's|KMV
(184K PDF) -- 11 pages -- February 9, 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 An Evaluation of the Base Correlation Framework for Synthetic CDOs
by Søren Willemann of the Aarhus School of Business
(334K PDF) -- 25 pages -- December 20, 2004 The Jarrow and Turnbull Default Risk Model - Evidence from the German Market
by Manfred Frühwirth of Vienna University, and
Leopold Sögner of the Technical University of Vienna
(565K PDF) -- 49 pages -- October 17, 2004 Hillegeist, Stephen A., Elizabeth K. Keating, Donald P. Cram, and Kyle G. Lundstedt, "Assessing the Probability of Bankruptcy", Review of Accounting Studies, Vol. 9, No. 1, (March 2004), pp. 5-34. 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 Frerichs, Hergen and Gunter Löffler, "Evaluating Credit Risk Models Using Loss Density Forecasts", Journal of Risk, Vol. 5, No. 4, University of Frankfurt -- Main, (Summer 2003), pp. 1-23. Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market
by Evelyn Hayden of the University of Vienna
(604K PDF) -- 44 pages -- February 2003 Measuring the Discriminative Power of Rating Systems
by Bernd Engelmann of Deutsche Bundesbank
Evelyn Hayden University of Vienna, and
Dirk Tasche of Deutsche Bundesbank
(334K PDF) -- 32 pages -- November 2002 Beyond Correlation: Extreme Co-movements Between Financial Assets
by Roy Mashal of Columbia University, and
Assaf Zeevi of Columbia University
(754K PDF) -- 48 pages -- October 14, 2002 Moody's RiskCalc™ for Private US Banks
by Ahmet E. Kocagil of Moodys|KMV,
Alexander Reyngold of Moody's|KMV,
Roger M. Stein of Moody's|KMV, and
Eduardo Ibarra of Moody's|KMV
(666K PDF) -- 28 pages -- July 2002 Evaluating credit risk models: A critique and a proposal
by Hergen Frerichs of the University of Frankfurt, and
Gunter Löffler of the University of Frankfurt
(258K PDF) -- 52 pages -- May 2002 LossCalc™: Moody's Model for Predicting Loss Given Default (LGD)
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,189K PDF) -- 32 pages -- February 2002 The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
by Manfred Frühwirth of Vienna University of Economics, and
Leopold Sögner of Vienna University of Economics
(296K PDF) -- 26 pages -- October 8, 2001 Factors Affecting the Yields on Noninvestment Grade Bond Indices: a cointegration analysis
by Theodore M. Barnhill, Jr. of George Washington University,
Frederick L. Joutz of George Washington University, and
William F. Maxwell of Texas Tech University
(213K PDF) -- 30 pages -- May 2000
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