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) Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain
by Budhi Arta Surya of Bandung Institute of Technology
(338K PDF) - 20 pages -- July 30, 2012 Systemic Risk Contributions: A credit portfolio approach
by Natalia Puzanova of Deutsche Bundesbank, and
Klaus Düllmann of Deutsche Bundesbank
(477K PDF) -- 34 pages -- May 21, 2012 Iscoe, Ian, Alexander Kreinin, Helmut Mausser, Oleksandr Romanko, "Portfolio Credit-risk Optimization", Forthcoming: Journal of Banking & Finance Analytical Pricing of CDOs in a Multi-factor Setting by a Moment Matching Approach
by Antonio Castagna of iason Ltd.,
Fabio Mercurio of Bloomberg LP & Iason ltd., and
Paola Mosconi of Banca IMI
(213K PDF) -- 18 pages -- January 16, 2012 A Hierarchical Model of Tail Dependent Asset Returns for Assessing Portfolio Credit Risk
by Natalia Puzanova of Deutsche Bundesbank
(711K PDF) -- 56 pages -- December 2011 A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling
by Natalia Puzanova of Deutsche Bundesbank
(570K PDF) -- 33 pages -- November 2011 Credit Risk Contributions under the Vasicek One-factor Model: A fast wavelet expansion approximation
by Luis Ortiz-Gracia of Centre de Recerca Matemātica, and
Josep J. Masdemont of Universitat Politčcnica de Catalunya
(835K PDF) -- 23 pages -- May 2011 Haar Wavelets-based Approach for Quantifying Credit Portfolio Losses
by Josep J. Masdemont of the Universitat Politčcnica de Catalunya, and
Luis Ortiz-Gracia of the Centre de Recerca Matemātica
(241K PDF) -- 24 pages -- April 2011 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(1355K PDF) -- 37 pages -- March 31, 2011 Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of the Macquarie University, and
Thorsten Schmidt of the Chemnitz University of Technology
(683K PDF) -- 18 pages -- January 25, 2011 Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
by Qunfang Bao of the Zhejiang University,
Si Chen of the Zhejiang University,
Guimei Liu of the Zhejiang University City College, and
Shenghong Li of the Zhejiang University
(379K PDF) -- 21 pages -- December 27, 2010 Completing CVA and Liquidity: Firm-level positions and collateralized trades
by Chris Kenyon of DEPFA Bank Plc.
(2,511K PDF) -- 19 pages -- September 16, 2010 Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010 A Simple Dynamic Model for Pricing and Hedging Heterogenous CDOs
by Andrei V. Lopatin of NumeriX, LLC
(497K PDF) -- 31 pages -- November 29, 2009 Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009 Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
by Igor Halperin of JP Morgan
(638K PDF) -- 41 pages -- October 14, 2009 Interacting Particle Systems for the Computation of Rare Credit Portfolio Losses
by René Carmona of Princeton University,
Jean-Pierre Fouque of the University of California, Santa Barbara, and
Douglas Vestal of Julius Finance
(752K PDF) -- 21 pages -- September 2009 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(305K PDF) -- 37 pages -- August 2009 Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries
by Antonio Castagna of iason Ltd.,
Fabio Mercurio of Bloomberg & Iason ltd., and
Paola Mosconi of Iason ltd.
(293K PDF) -- 32 pages -- June 1, 2009 Importance Sampling for Integrated Market and Credit Portfolio Models
by Peter Grundke of the University of Cologne
(319K PDF) -- 21 pages -- April 2009 Basel II Second Pillar: An analytical VaR with contagion and sectorial risks
by Michele Bonollo of Banco Popolare & Universitā di Padova
Paola Mosconi of Iason Ltd, and
Fabio Mercurio of Bloomberg & Iason Ltd
(174K PDF) -- 17 pages -- January 29, 2009 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(220K PDF) -- 19 pages -- October 3, 2008 Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
by Alexander Herbertsson of the University of Gothenburg
(409K PDF) -- 31 pages -- July 14, 2008 Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 2008 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, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008 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 the 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 Higher-order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
by Xinzheng Huang of Delft University of Technology,
Cornelis W. Oosterlee of Delft University of Technology, and
Hans van der Weide of Delft University of Technology
(226K PDF) -- 21 pages -- Fall 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 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of the 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 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
(1,414K PDF) -- 38 pages -- September 2005 Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation
by Marius G. Rott of DZ Bank, and
Christian P. 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 Pierides, Yiannos A., " The Pricing of Credit Risk Derivatives", Journal of Economic Dynamics and Control, Vol. 21, No. 10, (August 1997), pp. 1579-1611.
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