These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the E47 classification. (sorted by date) Drehmann, Mathias, Steffen Sorensen, Marco Stringa, "The Integrated Impact of Credit and Interest Rate Risk on Banks: A dynamic framework and stress testing application", Journal of Banking & Finance, Vol. 34, No. 4, (April 2010), pp. 713-729. Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(252K PDF) -- 10 pages -- July 15, 2007 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
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