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JEL G11


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JEL Classification G11
"Portfolio Choice"

These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G11 classification.     (sorted by date)

Wozabal, David, Ronald Hochreiter, "A Coupled Markov Chain Approach to Credit Risk Modeling", Journal of Economic Dynamics and Control, Vol. 36, No. 3, (March 2012), pp. 403-415.

Iscoe, Ian, Alexander Kreinin, Helmut Mausser, Oleksandr Romanko, "Portfolio Credit-risk Optimization", Forthcoming: Journal of Banking & Finance

Rethinking Capital Structure Arbitrage
by Davide Avino of University of Reading, and
Emese Lazar of University of Reading
(739K PDF) -- 28 pages -- November 2012

Managing Risk Exposures using the Risk Budgeting Approach
by Benjamin Bruder of Lyxor Asset Management, and
Thierry Roncalli of Lyxor Asset Management
(1408K PDF) -- 33 pages -- March 2012

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

Allen, David Edmund, Robert John Powell, Abhay Kumar Singh, "Beyond Reasonable Doubt: Multiple tail risk measures applied to European industries", Applied Economics Letters, Vol. 19, No. 7, (2012), pp. 671-676.

Default and Systemic Risk in Equilibrium
by Agostino Capponi of the Purdue University, and
Martin Larsson of the Cornell University
(480K PDF) -- 42 pages -- December 23, 2011

Managing Sovereign Credit Risk in Bond Portfolios
by Benjamin Bruder of Lyxor Asset Management,
Pierre Hereil of Lyxor Asset Management, and
Thierry Roncalli of Lyxor Asset Management
(2018K PDF) -- 27 pages -- October 2011

Some Observations on Improving a Bank's Share Value with Credit Portfolio Management, Credit-transfer Pricing and Stress Testing
by Jeffrey R. Bohn of Solition Financial Analytics, Tokyo, and
Roger M. Stein of Moody's Research Labs, Inc.
(414K PDF) -- 30 pages -- June 30, 2011

Coherent Asset Allocation and Diversification in the Presence of Stress Events
by Riccardo Rebonato of the Oxford University, and
Alexander Denev of the Oxford University
(251K PDF) -- 26 pages -- April 27, 2011

The Riskiness of Risk Models
by Christophe M. Boucher of the ABN AMRO & Université Panthéon-Sorbonne - Paris I, and
Bertrand B. Maillet of the ABN AMRO & University of Paris-1
(423K PDF) -- 14 pages -- March 2011

Portfolio Optimization in Defaultable Markets under Incomplete Information
by Giorgia Callegaro of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne, and
Wolfgang Runggaldier of the University of Padova
(377K PDF) -- 20 pages -- August 9, 2010

Economic Capital for Nonperforming Loans
by Rafael Weißbach of the Universität Rostock, and
Carsten von Lieres und Wilkau of the WestLB AG
(251K PDF) -- 26 pages -- March 2010

Is there a Distress Risk Anomaly? Corporate bond spread as a proxy for default risk
by Deniz Anginer of University of Michigan, and
Çelim Yıldızhan of University of Michigan
(492K PDF) -- 47 pages -- January 18, 2010

The Information Content of Option-Implied Volatility for Credit Default Swap Valuation
by Charles Cao of the Pennsylvania State University & China Center for Financial Research,
Fan Yu of the Claremont McKenna College, and
Zhaodong Zhong of the Rutgers University
(276K PDF) -- 38 pages -- September 9, 2009

Detecting Regime Shifts in Corporate Credit Spreads
by Georges Dionne of HEC Montreal,
Pascal François of HEC Montreal, and
Olfa Maalaoui of HEC Montreal
(314K PDF) -- 46 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

Credit Risk, Default Loss, and the Economics of Bankruptcy
by John F. Crean of the University of Toronto
(288K PDF) -- 51 pages -- March 30, 2009

Optimal Investment with Counterparty Risk: A default-density modeling approach
by Ying Jiao of Université Paris 7, and
Huyên Pham of Université Paris 7 & Institut Universitaire de France
(223K PDF) -- 22 pages -- March 3, 2009

Basel II Second Pillar: An analytical VaR with contagion and sectorial risks
by Michele Bonollo of Banco Popolare & Università di Padova
Paola Mosconi of Iason Ltd, and
Fabio Mercurio of Bloomberg & Iason Ltd
(174K PDF) -- 17 pages -- January 29, 2009

Jan Koopman, Siem, Roman Kräussl, André Lucas, and André Monteiro, " Credit Cycles and Macro Fundamentals", Journal of Empirical Finance, Vol. 16, No. 1, (January 2009), pp. 42-54.

Aver, Boštjan, " An Empirical Analysis of Credit Risk Factors of the Slovenian Banking System", Managing Global Transitions, Vol. 6, No. 3, (Fall 2008), pp. 317-334.

Optimal Investment in a Defaultable Bond
by Peter Lakner of New York University, and
Weijian Liang of New York University
(647K PDF) -- 28 pages -- June 2008

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

Capital Structure Arbitrage: Model choice and volatility calibration
by Claus Bajlum of Danmarks Nationalbank & Copenhagen Business School, and
Peter Tind Larsen of the University of Aarhus
(425K PDF) -- 44 pages -- May 29, 2007

Optimal Dynamic Hedging of Cliquets
by Andrea Petrelli of Credit-Suisse,
Jun Zhang of Credit-Suisse,
Olivia Siu of Natixis, and
Rupak Chatterjee of Citi, and
Vivek Kapoor of Citi
(1,255K PDF) -- 49 pages -- May 2008

Feng, Dingan, Christian Gourieroux, Joann Jasiak, "The Ordered Qualitative Model for Credit Rating Transitions", Journal of Empirical Finance, Vol. 15, No. 1, (January 2008), pp. 111-130.

Kaniovski, Yuriy M., Georg Ch. Pflug, "Risk Assessment for Credit Portfolios: A coupled Markov chain model", Journal of Banking & Finance, Vol. 31, No. 8, (August 2007), pp. 2303-2323.

Distribution-Invariant Risk Measures, Entropy, and Large Deviations
by Stefan Weber of Cornell University
(246K PDF) -- 24 pages -- December 4, 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

Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
by Stephan Tilke of the University of Regensburg
(189K PDF) -- 15 pages -- August 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

Credit Contagion and Aggregate Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of the Technische Universität Berlin
(374K PDF) -- 27 pages -- May 2006

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

Credit Derivatives in Models with Interacting Default Intensities: a Markovian Approach
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus of the University of Leipzig
(336K PDF) -- 24 pages -- April 18, 2006

A New Risk Indicator and Stress Testing Tool: A Multifactor N th -to-Default CDS Basket
by Renzo G. Avesani of the International Monetary Fund,
Antonio García Pascual of the International Monetary Fund, and
Jing Li of the International Monetary Fund
(509K PDF) -- 25 pages -- April 2006

Nonparametric Estimation for Non-homogeneous semi-Markov Processes: An application to credit risk
by André Lucas of Vrije Universiteit Amsterdam,
André Monteiro of Vrije Universiteit Amsterdam, and
Georgi Smirnov of the University of Porto
(608K PDF) -- 43 pages -- March 13, 2006

On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
by Rafael Weissbach of the University of Dortmund, and
Carsten von Lieres und Wilkau of WestLB AG
(164K PDF) -- 27 pages -- December 23, 2005

The interrelation of Liquidity Risk, Default Risk, and Equity Returns
by Maria Vassalou of Columbia University,
Jing Chen of Columbia University, and
Lihong Zhou of Columbia University
(410K PDF) -- 73 pages -- December 7, 2005

Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk
by Alexander J. McNeil of ETH Zürich, and
Jonathan Wendin of ETH Zürich
(456K PDF) -- 27 pages -- October 5, 2005

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

Testing Homogeneity of Time-Continuous Rating Transitions
by Rafael Weißbach of Dortmund University of Technology,
Patrick Tschiersch of WestLB, and
Claudia Lawrenz of WestLB
(244K PDF) -- 20 pages -- August 23, 2005

A Model of Credit Risk Optimal Policies, and Asset Prices
by Suleyman Basak of the London Business School, and
Alex Shapiro of New York University
(1,007K PDF) -- 52 pages -- July 2005

Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality
by Alexandros Benos of the University of Piraeus, and
George Papanastasopoulos University of Peloponnese
(260K PDF) -- 34 pages -- June 2005

How to Invest Optimally in Corporate Bonds: A reduced-form approach
by Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(538K PDF) -- 35 pages -- May 10, 2005

Ratings-based Credit Risk Modelling: An empirical analysis
by Pamela Nickell of Moody's KMV,
William Perraudin of Imperial College, and
Simone Varotto of ISMA Center
(602K PDF) -- 26 pages -- May 6, 2005

Non-parametric Estimation of Elliptical Copulae With Application to Credit Risk
by Krassimir Kostadinov of the Munich University of Technology
(458K PDF) -- 37 pages -- April 10, 2005

Gagliardini, Patrick, Christian S. Gouriéroux, "Migration Correlation: Definition and efficient estimation", Journal of Banking & Finance, Vol. 29, No. 4, (April 2005), pp. 865-894.

Tail Approximation for Credit Risk Portfolios with Heavy-tailed Risk Factors
by Krassimir Kostadinov of the Munich University of Technology
(262K PDF) -- 24 pages -- January 2005

Tails of Credit Default Portfolios
by Gabriel Kuhn of the Munich University of Technology
(355K PDF) -- 32 pages -- December 21, 2004

CDO rating methodology: Some thoughts on model risk and its implications
by Ingo Fender of the Bank for International Settlements, and
John Kiff of the Bank of Canada
(160K PDF) -- 31 pages -- November 2004

Global Sensitivity Analysis for Latent Factor
by Dirk Baur of the Joint Research Center - EU Commission,
Jessica Cariboni of the Joint Research Center - EU Commission, and
Francesca Campolongo of the Joint Research Center - EU Commission
(199K PDF) -- 29 pages -- November 2004

Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
by Andrea Berardi of the University of Verona,
Stefania Ciraolo of the University of Leuven, and
Michele Trova of Monte Paschi A.M.
(640K PDF) -- 28 pages -- June 29, 2004

Default- and Call-Adjusted Duration for Corporate Bonds
by Gady Jacob of the University of Manitoba, and
Gordon S. Roberts of York University
(281K PDF)-- 25 pages -- December 2003

Cyclical Correlations, Credit Contagion, and Portfolio Losses
by Kay Giesecke of Cornell University, and
Stefan Weber of Humboldt-Universität zu Berlin
(351K PDF) -- 28 pages -- November 11, 2003

Gersbach, Hans and Alexander Lipponer, " Firm Defaults and the Correlation Effect", European Financial Management, Vol. 9, No. 3, (September 2003), pp. 361-378.

Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università "LUISS-Guido Carli",
Andrea Sironi of the Università "Luigi Bocconi", and
Cristiano Zazzara of Capitalia & Università "LUISS-Guido Carli"
(122K PDF) -- 29 pages -- August 2003

Calibrating the CreditMetrics™ Correlation Concept: Empirical evidence from Germany
by Lutz Hahnenstein of the IKB Deutsche Industriebank
(275K PDF) -- 29 pages -- July 31, 2003

Dependent Defaults in Models of Portfolio Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Alexander J. McNeil of ETH Zentrum
(386K PDF) -- 27 pages -- June 16, 2003

Spectral Risk Measures for Credit Portfolios
by Claudio Albanese of the University of Toronto, and
Stephan Lawi of the University of Toronto & the National University of Singapore
(379K PDF) -- 17 pages -- April 15, 2003

Sironi, Andrea and Cristiano Zazzara, " The Basel Committee Proposals for a New Capital Accord: Implications for Italian banks", Review of Financial Economics, Vol. 12, No. 1, (March 2003), pp. 99-126.

Liquidity Shocks and Equilibrium Liquidity Premia
by Ming Huang of Stanford University
(271K PDF) -- 26 pages -- March 2003

Credit Risk Models: An Application to Deposit Insurance Pricing
by Aurelio Maccario of the Unicredit Banca Mobiliare & Università LUISS-Guido Carli,
Andrea Sironi of the Università Luigi Bocconi, and
Cristiano Zazzara of Fondo Interbancario di Tutela dei Depositi & Università LUISS-Guido Carli
(401K PDF) -- 28 pages -- January 2003

Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective (Job Market Paper)
by Yuanfeng Hou of Yale University
(620K PDF) -- 53 pages -- January 2003

Tasche, Dirk and Luisa Tibiletti, "A Shortcut to Sign Incremental Value-at-Risk for Risk Allocation", Journal of Risk Finance, Vol. 4, No. 2, (2003), pp. 43-46.

Beyond Correlation: Extreme Co-movements Between Financial Assets
by Roy Mashal of Columbia University, and
Assaf Zeevi of Columbia University
(754K PDF) -- 48 pages -- October 14, 2002

Szegö, Giorgio, "Measures of Risk", Journal of Banking & Finance, Vol. 26, No. 7, (July 2002), pp. 1253-1272.

Evaluating the Adequacy of the Deposit Insurance Fund: A Credit-Risk Modeling Approach
by Rosalind L. Bennett of the Federal Deposit Insurance Corporation
(222K PDF) -- 63 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

On Risk Neutral Pricing of CDOs
by Roy Mashal of the Columbia Business School
(175K PDF) -- 16 pages -- April 1, 2002

VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(326K PDF) -- 15 pages -- January 23, 2002

A Hybrid Genetic-Quantitative Method for Risk-Return Optimisation of Credit Portfolios
by Frank Schlottmann of the Institute AIFB, and
Detlef Seese of the University Karlsruhe
(362K PDF) -- 27 pages -- October 25, 2001

Default Probabilities and Default Correlations
by Ulrich Erlenmaier of the University of Heidelberg, and
Hans Gersbach of the University of Heidelberg
(568K PDF) -- 46 pages -- October 2001

Modelling Dependent Defaults
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(490K PDF) -- 30 pages -- August 13, 2001

Models of Joint Defaults in Credit Risk Management: An Assessment
by Ulrich Erlenmaier of the University of Heidelberg
(702K PDF) -- 55 pages -- July 2001

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

Altman, Edward I. and Anthony Saunders, "An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings", Journal of Banking & Finance, Vol. 25, No. 1, (January 2001), pp. 25-46.

Parameterizing Credit Risk Models with Rating Data
by Mark Carey of the Federal Reserve Board of Governors, and
Mark Hrycay of Advertising.com
(497K PDF) -- 93 pages -- October 18, 2000

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

Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
by Anil Bangia of Oliver, Wyman & Company,
Francis X. Diebold of New York University, NBER, & the Oliver Wyman Institute, and
Til Schuermann of Oliver, Wyman & Company
(141K PDF) -- 45 pages -- April 11, 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

A Comparative Anatomy of Credit Risk Models
by Michael B. Gordy of the Federal Reserve Board
(481K PDF) -- 31 pages -- January 2000

Cantor, Richard and Frank Packer, " Differences of Opinion and Selection Bias in the Credit Rating Industry", Journal of Banking & Finance, Vol. 21, No. 10, (October 1997), pp. 1395-1417.

Mahoney, James M., " Risk Management of Correlation Products", European Financial Management, Vol. 3, No. 2, (July 1997), pp. 155-174.

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