These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C63 classification. (sorted by date) A Novel Methodology for Credit Portfolio Analysis: Numerical approximation approach
by Yasushi Takano of Mizuho-DL Financial Technology, and
Jiro Hashiba of Mizuho-DL Financial Technology
(3,043K PDF) -- 60 pages -- April 24, 2008 Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, Eindhoven, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(320K PDF) -- 39 pages -- November 12, 2007 Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,512K PDF) -- 24 pages -- November 10, 2007 An Exact Formula for Default Swaptions Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Q-SCI, DerivativeFitch, and
Naoufel El-Bachir of University of Reading
(315K PDF) -- 18 pages -- November 8, 2007 Dependency without Copulas or Ellipticity
by William T. Shaw of King's College London
(1,690K PDF) -- 10 pages -- September 2007 Quantile Mechanics
by György Steinbrecher of the University of Craiova, Romania, and
William T. Shaw of King's College London
(243K PDF) -- 18 pages -- July 16, 2007 Modelling Default Contagion using Multivariate Phase-type Distributions
by Alexander Herbertsson of Göteborg University
(832K PDF) –- 35 pages -- April 16, 2007 Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
by Andrei V. Lopatin of NumeriX LLC, and
Timur Misirpashaev of NumeriX LLC
(584K PDF) –- 27 pages -- May 3, 2007 Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach
by Alexander Herbertsson of Göteborg University
(379K PDF) -- 27 pages -- March 15, 2007 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of University of Reading
(655K PDF) –- 22 pages -- December 5, 2006 Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
by Alexander Herbertsson of Göteborg University, and
Holger Rootzen of Chalmers University of Technology
(448K PDF) -– 27 pages -- November 27, 2006 Importance Sampling for Integrated Market and Credit Portfolio Models
by Peter Grundke of the University of Cologne
(404K PDF) –- 45 pages -- September 2006 Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
by Xinzheng Huang of TU Delft,
Cornelis W. Oosterlee of TU Delft, and
J.A.M van der Weide
(191K PDF) -– 18 pages -- June 8, 2006 On the Applicability of Fourier Based Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk
by Peter Grundke of the University of Cologne
(1,415K PDF) -- 38 pages -- September 2005 Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation
by Marius Rott of DZ Bank, and
Christian Fries of DZ Bank
(610K PDF) -– 32 pages -- May 31, 2005 Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program
by Renzo G. Avesani of the International Monetary Fund,
Kexue Liu of the International Monetary Fund,
Alin Mirestean of the International Monetary Fund, and
Jean Salvati of the International Monetary Fund
(677K PDF) -- 35 pages -- May 2006 Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model
by Uwe Wehrspohn of Heidelberg University
(337K PDF) -- 19 pages -- May 2003 Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
by Norbert Jobst of the University of Cyprus & Brunel University, and
Stavros A. Zenios of the University of Cyprus & University of Pennsylvania
(599K PDF) -- 35 pages -- July 2001
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