JEL Classification G10
"General: General Financial Markets"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G10 classification. (sorted by date) Barrier Options under Lévy Processes: a Short-Cut
by José Fajardo of Fundaçăo Getulio Vargas (FGV)
(418K PDF) - 15 pages -- May 7, 2013 CVA, FVA (and DVA?) with Stochastic Spreads: A feasible replication approach under realistic assumptions
by Luis Manuel García Muńoz of BBVA
(347K PDF) -- 30 pages -- February 23, 2013 On Bounding Credit Event Risk Premia
by Jennie Bai of Federal Reserve Bank of New York,
Pierre Collin-Dufresne of Columbia University,
Robert S. Goldstein of University of Minnesota, and
Jean Helwege of University of South Carolina
(535K PDF) -- 30 pages -- October 2012 Ratings Arbitrage and Structured Products
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(1K PDF) -- 1 pages -- Fall 2012 CVA, WWR, Hedging and Bermudan Swaption
by Ali Boukhobza of Grupo Santander, and
Jerome Maetz of Grupo Santander
(487K PDF) -- 14 pages -- August 2012 Lu, Su-Lien, "Assessing the Credit Risk of Bank Loans Using an Extended Markov Chain Model", Journal of Applied Finance & Banking, Vol. 2, No. 1, (2012), pp. 197-223. Next Generation System-Wide Liquidity Stress Testing
by Christian Schmieder of the International Monetary Fund,
Heiko Hesse of the International Monetary Fund,
Benjamin Neudorfer of Oesterreichische Nationalbank,
Claus Puhr of Oesterreichische Nationalbank, and
Stefan W. Schmitz of Oesterreichische Nationalbank
(139K PDF) -- 61 pages -- January 2012 CoVaR
by Tobias Adrian of the Federal Reserve Bank of New York, and
Markus K. Brunnermeier of the Princeton University
(350K PDF) -- 44 pages -- September 15, 2011 The Negative CDS-bond Basis and Convergence Trading during the 2007/09 Financial Crisis
by Alessandro Fontana of University of Geneva & FINRISK
(310K PDF) -- 30 pages -- September 1, 2011 Did CDS Trading Improve the Market for Corporate Bonds?
by Sanjiv Das of Santa Clara University,
Madhu Kalimipalli of Wilfrid Laurier University, and
Subhankar Nayak of Wilfrid Laurier University
(279K PDF) -- 50 pages -- August 24, 2011 A Simple Empirical Model of Equity-Implied Probabilities of Default
by Edward Altman of the New York University,
Neil Fargher of the New York University, and
Egon Kalotay of the Australian National University
(277K PDF) -- 27 pages -- October 24, 2010 Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010 2008 SEC Short Selling Ban: Impacts on the credit default swap market
by Samuel Courtney of Stanford University
(1263K PDF) -- 38 pages -- May 19, 2010 A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds
by Edward Altman of New York University, and
Egon Kalotay of Macquarie University
(293K PDF) -- 36 pages -- May 10, 2010 Jacobs, Jr., Michael, "Validation of Economic Capital Models: State of the practice, supervisory expectations and results from a bank study", Journal of Risk Management in Financial Institutions, Vol. 3, No. 4, (January 2010), pp. 334-365. A Spot Stochastic Recovery Extension of the Gaussian Copula
by Norddine Bennani of Barclays Capital, and
Jerome Maetz of Barclays Capital
(379K PDF) -- 21 pages -- January 2010 How to Gauge the Default Risk? An empirical application of structural-form models
by Su-Lien Lu of National United University, Taiwan, and
Pei-Chen Tsai of National United University, Taiwan
(155K PDF) -- 11 pages -- July 2009 Fallen Angels and Price Pressure
by Brent W. Ambrose of Pennsylvania State University,
Kelly N. Cai of the University of Michigan - Dearborn, and
Jean Helwege of Pennsylvania State University
(116K PDF) -- 31 pages -- June 2, 2009 Do Not Forget the Cancellation: Marking-to-market and hedging LCDX tranches
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(176K PDF) -- 5 pages -- March 11, 2009 How Much do Banks use Credit Derivatives to Hedge Loans?
by Bernadette A. Minton of Ohio State University,
René Stulz of Ohio State University, and
Rohan Williamson of Georgetown University
(353K PDF) -- 31 pages -- February 2009 Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate
by Péter Dobránszky of Finalyse SA, FORTIS Bank, & Katholieke Universiteit Leuven
(238K PDF) -- 18 pages -- November 13, 2008 Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX
by Péter Dobránszky of Finalyse SA, FORTIS Bank & Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(216K PDF) -- 14 pages -- July 29, 2008 Latent Liquidity: A new measure of liquidity, with an application to corporate bonds
by Sriketan Mahanti of Orissa Group Inc.,
Amrut Nashikkar of New York University,
Marti Subrahmanyam of New York University,
George Chacko of 6S Capital GmbH, and
Gaurav Mallik of State Street Global Advisors
(475K PDF) -- 27 pages -- May 2008 Break on Through to the Single Side
by Dilip Madan of the University of Maryland, and
Wim Schoutens of Katholieke Universiteit Leuven
(163K PDF) -- 20 pages -- July 26, 2007 Affine Markov Chain Model of Multifirm Credit Migration
by Tom R. Hurd of McMaster University, and
Alexey Kuznetsov of McMaster University
(1,206K PDF) -- 32 pages -- December 15, 2006 Fast CDO Computations in the Affine Markov Chain Model
by Tom R. Hurd of McMaster University
Alexey Kuznetsov of McMaster University
(1,193K PDF) -- 24 pages -- November 23, 2006 A Multivariate Jump-Driven Financial Asset Model
by Elisa Luciano of the University of Turin and ICER, and
Wim Schoutens of Katholieke Universiteit Leuven
(915K PDF) -- 33 pages -- October 16, 2006 Dynamic Frailties and Credit Portfolio Modelling
by Martin Delloye of Ixis-CIB & BNP Paribas,
Jean-David Fermanian of Ixis-CIB, and
Mohammed Sbai of Ixis-CIB & Ecole Nationale des Ponts et Chaussées
(418K PDF) -- 6 pages -- October 2006 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 Bounds for Functions of Dependent Risks
by Paul Embrechts of ETH Zurich, and
Giovanni Puccetti of University of Firenze
(391K PDF) -- 14 pages -- September 2006 Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from empirically evaluating credit risk models
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Xiaoling Zhang of the Federal Reserve Board of Governors
(179K PDF) -- 33 pages -- July 2006 Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals
by Doron Avramov of the University of Maryland,
Gergana Jostova of George Washington University, and
Alexander Philipov of American University
(268K PDF) -- 39 pages -- September 22, 2005 Embrechts, Paul, Andrea Höing, Giovanni Puccetti, "Worst VaR Scenarios", Insurance: Mathematics and Economics, Vol. 37, No. 1, (August 2005), pp. 115-134. A General Approach to Integrated Risk Management with Skewed Fat-tailed Risks
by Joshua Rosenberg of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(641K PDF) - 69 pages -- February 4, 2005 Predicting and Pricing the Probability of Default
by Alessio A. Saretto of the University of California Los Angeles
(311K PDF) -- 41 pages -- August 4, 2004 Adverse Selection, Moral Hazard and the Term Structure of Default
by Koresh Galil of the Goethe University of Frankfurt & Tel-Aviv University
(511K PDF) -- 43 pages -- March 2004 Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund, and
Yoon Sook Kim of the International Monetary Fund
(1,652K PDF) -- 31 pages -- February 2004 A Multi-factor, Credit Migration Model for Sovereign and Corporate Debts
by Jason Z. Wei of the University of Toronto
(262K PDF) -- 27 pages -- October 2003 Embrechts, Paul, Andrea Höing, and Alessandro Juri, "Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks", Finance and Stochastics, Vol. 7, No. 2, (April 2003), 145-167. A Framework for Collateral Risk Control Determination
by Diddier Cossin of HEC, University of Lousanne,
Zhijiang Huang of Fame and HEC, University of Lousanne,
Daniel Aunon-Nerin of Fame and HEC, University of Lousanne, and
Fernando González of the European Central Bank
(1,894K PDF) -- 48 pages -- January 2003 Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims
by Christophette Blanchet-Scalliet of the Université d'Évry Val dEssonne, and
Monique Jeanblanc of the Université d'Évry Val dEssonne
(176K PDF) -- 14 pages -- November 4, 2002 Measuring the Discriminative Power of Rating Systems
by Bernd Engelmann of Deutsche Bundesbank
Evelyn Hayden University of Vienna, and
Dirk Tasche of Deutsche Bundesbank
(334K PDF) -- 32 pages -- November 2002 Order Imbalance, Liquidity, and Market Returns
by Tarun Chordia of Emory University,
Richard Roll of the University of California, Los Angeles, and
Avanidhar Subrahmanyam of the University of California, Los Angeles
(162K PDF) -- 20 pages -- July 2002 A Guide to Choosing Absolute Bank Capital Requirements
by Mark Carey of the Federal Reserve Board
(156K PDF) -- 23 pages -- May 2002 Collin-Dufresne, Pierre and Bruno Solnik, " On the Term Structure of Default Premia in the Swap and LIBOR Markets", Journal of Finance, Vol. 56, No. 3, (June 2001), pp. 1095-1115. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
by John Y. Campbell of Harvard University,
Martin Lettau of the Federal Reserve Bank of New York,
Burton G. Malkiel of Princeton University, and
Yexiao Xu of the University of Texas
(877K PDF) -- 43 pages -- February 2001 The Credit Risk of Japanese Banks during the Bubble Period: A Pilot Study of Macro Stress Simulation
by Tokiko Shimizu of the Bank of Japan, and
Shigenori Shiratsuka of the Bank of Japan
(906K PDF) -- 17 pages -- October 2000 Factors Affecting the Yields on Noninvestment Grade Bond Indices: a cointegration analysis
by Theodore M. Barnhill, Jr. of George Washington University,
Frederick L. Joutz of George Washington University, and
William F. Maxwell of Texas Tech University
(213K PDF) -- 30 pages -- May 2000 Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements
by Mark Carey of the Federal Reserve Board
(174K PDF) -- 40 pages -- March 15, 2000 Analytical Value-At-Risk with Jumps and Credit Risk
by Darrell Duffie of Stanford University, and
Jun Pan of Stanford University
(379K PDF) -- 27 pages -- November 29, 1999 Recovery Ratios and Survival Times for Corporate Bonds
by Ivailo Izvorski of the International Monetary Fund
(1,645K PDF) -- 32 pages -- July 1997 Merton, Robert C., " Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, Vol. 4, No. 1, (Spring 1973), pp. 141-183.
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