JEL Classification G0 & G00
"General: Financial Economics"

These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G0 & G00 classification.     (sorted by date)

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Zhang of the Morgan Stanley
(875K PDF) –- 33 pages -- September 6, 2006

Fundamentals-Based Estimation of Default Probabilities: A Survey
by Jorge A. Chan-Lau of the International Monetary Fund
(425K PDF) –- 20 pages -- June 2006

Lando, David and Allan Mortensen, "Revisiting the Slope of the Credit Spread Curve", Journal of Investment Management, Vol. 3, No. 4, (Fourth Quarter 2005). [Abstract]

Sub-additivity Re-examined: The case for Value-at-Risk
by Jon Danielsson of the London School of Economics,
Bjorn N. Jorgensen of the Columbia Business School,
Mandira Sarma of Eindhoven University of Technology, and
Casper G. de Vries of Erasmus University
(200K PDF) -- 21 pages -- February 28, 2005

Anticipating Credit Events Using Credit Default Swaps, with an Application to Sovereign Debt Crises
by Jorge A. Chan-Lau of the International Monetary Fund
(609K PDF) -- 20 pages -- May 2003

Evaluating "Correlation Breakdowns" During Periods of Market Volatility
by Mico Loretan of the Board of Governors of the Federal Reserve System, and
William B. English of the Board of Governors of the Federal Reserve System
(642K PDF) -- 33 pages -- February 2000

[Home] [JEL Classification]

[ Home ]

Please contact me with problems or suggestions.
Copyright © 2000-2008 DefaultRisk.com
Last modified: May 15, 2008