These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the D52 classification. (sorted by date) Kenyon, Chris, and Richard Kenyon, "DVA for Assets", RISK, 26(2), February 2013, pp. 72-75. Credit Risk Modeling with Delayed Information
by Takanori Adachi of Hitotsubashi University,
Ryozo Miura of Hitotsubashi University, and
Hidetoshi Nakagawa of Hitotsubashi University
(236K PDF) -- 23 pages -- May 3, 2012 Optimal Timing to Purchase Options
by Tim Leung of Johns Hopkins University, and
Mike Ludkovski of the University of California, Santa Barbara
(384K PDF) -- 25 pages -- April 5, 2011 Modelling the Bid and Ask Prices of Illiquid CDSs
by Michael Walker of the University of Toronto
(338K PDF) -- 33 pages -- April 19, 2010 An Implied Default Dependency Model of a Credit Portfolio based on the Number of Defaults
by Tomoaki Shouda of Hitotsubashi University
(307K PDF) -- 19 pages -- February 28, 2010 Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
by Rüdiger Frey of the Universität Leipzig, and
Jochen Backhaus of the Universität Leipzig
(304K PDF) -- 22pages -- October 6, 2009 Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk
by Tomoaki Shouda of the Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. & Hitotsubashi University
(571K PDF) -- 22 pages -- December 20, 2006
[Home] [JEL Classification] | 
