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) Goodness-of-Fit Test for Event Forecasting
by Andreas Blöchlinger of Zürcher Kantonalbank, and
Markus Leippold of Imperial College London
(340K PDF) -- 45 pages -- January 9, 2008 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
(531K PDF) -- 40 pages -- November 8, 2007 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 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
(310K PDF) -- 35 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 An Empirical Evaluation of Structural Credit Risk Models
by ikola A Tarashev of the Bank for International Settlements
(314K PDF) -- 48 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 Assessing the Probability of Bankruptcy
by Stephen A. Hillegeist of Northwestern University,
Elizabeth K. Keating of Harvard University,
Donald P. Cram of California State University, and
Kyle G. Lundstedt of VaRisk, Inc.
(203K PDF) -- 30 pages -- January 2004 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. [Abstract] 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
[Home] [JEL Classification] | 
