JEL Classification G12
"Asset Pricing: 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 G12 classification. (sorted by date) Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, Eindhoven, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008 Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(378K PDF) -- 29 pages -- March 3, 2008 Dynamic Pricing of Synthetic Collateralized Debt Obligations
by Robert Lamb of Imperial College,
William Perraudin of Imperial College, and
Astrid van Landschoot of Standard & Poor's
(217K PDF) -- 24 pages -- March 2008 Risk Premia in Structured Credit Derivatives
by Andreas Eckner of Stanford University
(377K PDF) –- 49 pages -- January 5, 2008 A Value at Risk Analysis of Credit Default Swaps
by Burkhart Raunig of the Austrian Central Bank, and
Martin Scheicher of the European Central Bank
(1,565K PDF) -- 26 pages -- December 2007 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(320K PDF) -- 39 pages -- November 12, 2007 Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
by Sanjiv R. Das of Santa Clara University,
Paul Hanouna of Villanova University, and
Atulya Sarin of Santa Clara University
(531K PDF) -- 40 pages -- November 8, 2007 An Exact Formula for Default Swaptions Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Q-SCI, DerivativeFitch, and
Naoufel El-Bachir of University of Reading
(315K PDF) -- 18 pages -- November 8, 2007 Flexing the Default Barrier
by Gregor Dorfleitner of the University of Regensburg,
Paul Schneider of Vienna University of Economics and Business Administration, and
Tanja Veža of Vienna University of Economics and Business Administration
(7,397K PDF) -- 26 pages -- November 7, 2007 Dynamic Copulas: Applications to finance and economics
by Daniel TOTOUOM TANGHO of École des Mines de Paris
(3,209K PDF) -- 158 pages -- November 6, 2007 Estimating Spillover Risk Among Large EU Banks
by Martin Čihák of the International Monetary Fund, and
Li Lian Ong of the International Monetary Fund
(604K PDF) -- 28 pages -- November 2007 Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
by Kiyotaka Nakashima of Kyoto Gakuen University, and
Makoto Saito of Hitotsubashi University
(535K PDF) -- 39 pages -- November 2007 Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt
by Jens Hilscher of Brandeis University, and
Yves Nosbusch of the London School of Economics
(504K PDF) -- 45 pages -- November 2007 The Effects of Default Correlation on Corporate Bond Credit Spreads
by Bill Bobey of the University of Toronto
(520K PDF) -- 56 pages -- November 2007 Credit Risk Modelling Using Time-Changed Brownian Motion
by Tom R. Hurd of McMaster University
(239K PDF) –- 19 pages -- September 18, 2007 Decomposing Swap Spreads
by Peter Feldhütter of the Copenhagen Business School, and
David Lando of the Copenhagen Business School and Princeton University
(498K PDF) –- 58 pages -- August 24, 2007 Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(325K PDF) -- 40 pages -- August 22, 2007 Accounting Transparency and the Term Structure of Credit Default Swap Spreads
by Claus Bajlum of Danmarks Nationalbank & Copenhagen Business School, and
Peter Tind Larsen of the University of Aarhus
(445K PDF) -- 58 pages -- August 7, 2007 The Skewed t Distribution for Portfolio Credit Risk
by Wenbo Hu of Bell Trading, and
Alec N. Kercheval of Florida State University
(449K PDF) -- 45 pages -- August 2007 Credit Rating Dynamics and Markov Mixture Models
by Halina Frydman of New York University, and
Til Schuermann of the Federal Reserve Bank of New York and University of Pennsylvania
(412K PDF) -– 32 pages -- August 2007 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 Are Credit Default Swap Spreads Market Driven
by Hayette Gatfaoui of Rouen School of Management
(378K PDF) -- 8 pages -- July 2007 The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
by Martin Grandes of the the American University of Paris, and
Marcel Peter of Swiss National Bank
(338K PDF) -- 40 pages -- July 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
(573K PDF) -- 44 pages -- May 10, 2007 Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
by Andrei V. Lopatin of NumeriX LLC, and
Timur Misirpashaev of NumeriX LLC
(584K PDF) –- 27 pages -- May 3, 2007 Multiscale Intensity Models for Single Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(413K PDF) -– 31 pages -- February 7, 2007 Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models
by Dezhong Wang of the University of California, Santa Barbara,
Svetlozar T. Rachev of the University of Karlsruhe, and
Frank J. Fabozzi of Yale University
(220 K PDF) -- 34 pages -- February 2007 Bond Durations: Corporates vs. Treasuries
by Holger Kraft of the University of Kaiserslautern, and
Claus Munk of University of Southern Denmark
(260K PDF) -- 28 pages -- January 19, 2007 Modeling Defaultable Securities with Recovery Risk
by Lotfi Karoui of McGill University
(456K PDF) -- 52 pages -- January 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 Distribution-Invariant Risk Measures, Entropy, and Large Deviations
by Stefan Weber of Cornell University
(246K PDF) -- 24 pages -- December 4, 2006 Corporate Bond Credit Spreads and Forecast Dispersion
by Levent Güntay of Indiana University, and
Dirk Hackbarth of Washington University
(431K PDF) -- 35 pages -- December 2006 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of University of Reading
(655K PDF) –- 22 pages -- December 5, 2006 Capital Structure, Credit Risk, and Macroeconomic Conditions
by Dirk Hackbarth of Washington University,
Jianjun Miao of Boston University, and
Erwan Morellec of University of Lausanne, FAME, and CEPR
(374K PDF) -- 32 pages --December 2006 Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
by Benjamin Yibin Zhang of Fitch Ratings,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(376K PDF) –- 50 pages -- December 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 Default and Information
by Kay Giesecke of Cornell University
(433K PDF) -- 23 pages -- November 2006 Beyond Hazard Rates: A new framework for credit-risk modeling
by Dorje C. Brody of the Imperial College,
Lane P. Hughston of King's College London, and
Andrea Macrina of King's College London
(339K PDF) –- 27 pages -- November 2006 The Pricing of Credit Default Swaps During Distress
by Jochen Andritzky of the International Monetary Fund, and
Manmohan Singh of the International Monetary Fund
(423K PDF) -- 25 pages -- November 2006 The Delivery Option in Credit Default Swaps
by Rainer Jankowitsch of Vienna University of Economics and Business Administration,
Rainer Pullirsch of the Bank Austria-Creditanstalt, and
Tanja Veža of Vienna University of Economics and Business Administration
(428K PDF) -– 33 pages -- October 18, 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 Credit Risk in a Network Economy
by Henry Schellhorn of Claremont Graduate University, and
Didier Cossin of IMD, Lausanne
(343K PDF) -- 24 pages -- October 4, 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 Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions
by Stephen Figlewski of New York University,
Halina Frydman of New York University, and
Weijian Liang of New York University
(198K PDF) -- 55 pages -- September 5, 2006 A Jump to Default Extended CEV Model: An application of Bessel processes
by Peter Carr of Bloomberg & NYU Courant Institute, and
Vadim Linetsky of Northwestern University
(284K PDF) –- 25 pages -- September 2006 Trading Strategies in the CDS Market
by Andreas Tindlund of the Norwegian University of Science and Technology (NTNU)
(3,140K PDF) – 31 pages -- August 16, 2006 Credit Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -– 16 pages -- August 2006 Capital Allocation for Portfolio Credit Risk
by Paul H. Kupiec of the Federal Deposit Insurance Corporation
(871K PDF) –- 35 pages -- August 2006 Estimating Default Barriers from Market Information
by Hoi Ying Wong of the Chinese University of Hong Kong, and
Tsz Wang Choi of Citic Kawah Bank
(212K PDF) -– 25 pages -- July 11, 2006 Default Risk, Shareholder Advantage and Stock Returns
by Lorenzo Garlappi of the University of Texas at Austin,
Tao Shu of the University of Texas at Austin, and
Hong Yan of the University of Texas at Austin and SEC
(311K PDF –- 48 pages -- July 2006 Pricing Corporate Bonds in an Arbitrary Jump-Diffusion Model Based on an Improved Brownian-bridge Algorithm
by Johannes Ruf of the University of Ulm, and
Matthias Scherer of the University of Ulm
(202K PDF) –- 18 pages -- June 1, 2006 Valuation of Default Sensitive Claims Under Imperfect Information
by Delia Coculescu of the Université Paris-Dauphine & ESSEC,
Hélyette Geman of the Université Paris-Dauphine & ESSEC, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne
(867K PDF) -– 35 page -- June 2006 Yongjun, Dragon and Tangy Hong Yanz, "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads", Journal of Financial Services Research, Vol. 29, No. 3, (June 2006), pp. 177-210. [Abstract] Hybrid Derivatives Pricing Under the Potential Approach
by Giuseppe Di Graziano of the University of Cambridge, and
L.C.G. Rogers of the University of Cambridge
(182K PF) –- 15 pages -- May 4, 2006 A Dynamic Programming Approach for the Valuation of Callable Corporate Bonds within the CIR Framework
by Luca Passalacqua of the Universitŕ di Roma La Sapienza
(236K PDF) -- 16 pages -- March 21, 2006 A Dynamic Programming Approach for Pricing CDS and CDS Options
by Hatem Ben-Ameur of HEC Montréal,
Damiano Brigo of Banca IMI, and
Eymen Errais of Stanford University
(230K PDF) -- 22 pages -- March 18, 2006 Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure
by Binh Dao of the Université Paris Dauphine, and
Monique Jeanblanc of the Université d'Évry
(388K PDF) -- 20 pages -- March 9, 2006 Liquidation Triggers and the Valuation of Equity and Debt
by Dan Galai of the Hebrew University of Jerusalem & New York University,
Alon Raviv of the Hebrew University of Jerusalem, and
Zvi Wiener of the Hebrew University of Jerusalem
(331K PDF) -- 35 pages -- January 26, 2006 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 Pricing Default Swaps: Empirical Evidence
by Patrick Houweling of Erasmus University Rotterdam and Rabobank Int'l, and
Ton Vorst of Erasmus University Rotterdam and ABN Amro
(437K PDF) -- 26 pages -- December 2005 Do We Need to Worry About Credit Risk Correlation?
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(395K PDF) –- 41 pages -- December 2005 Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles
by Alexander David of the University of Calgary
(669K PDF) -- 59 pages -- December 2005 Structural Recovery of Face Value at Default
by Rajiv Guha of CPIM, London, and
Alessandro Sbuelz of University of Verona
(323K PDF) -- 33 pages -- December 2005 Are European Corporate Bond and Default Swap Markets Segmented?
by Didier Cossin of IMD, Lausanne, and
Hongze Lu of IMD & HEC, University of Lausanne,
(291K PDF) -- 39 pages -- November 28, 2005 Modeling the Term Structure of Defaultable Bonds under Recovery Risk
by Lotfi Karoui of McGill University
(398K PDF) -- 35 pages -- November 5, 2005 Assessing Credit with Equity: A CEV Model with Jump to Default
by Luciano Campi of Université Paris Dauphine,
Simon Polbennikov of Tilburg University, and
Alessandro Sbuelz of the University of Verona
(297) -- 48 pages -- November 2005 Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects
by Raquel M. Gaspar of Stockholm School of Economics, and
Thorsten Schmidt of the University Leipzig
(1,461K PDF) -- 61 pages -- November 2005 How Important Is Sovereign Risk in Determining Corporate Default Premia
by Marcel Peter of Swiss National Bank, and
Martin Grandes of the American University of Paris
(928K PDF) –- 64 pages -- November 2005 Determinants of Spreads on Sovereign Bank Loans: The role of credit history
by Peter Benczur of Magyar Nemzeti Bank and Central European University, and
Cosmin Ilut of Northwestern University
(858K PDF) -- 29 pages -- November 2005 Heterogeneity in Ratings Migration
by Ashay Kadam of the City University, London, and
Peter Lenk of the University of Michigan
(502K PDF) -- 29 pages -- October 17, 2005 Does Industry-wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries
by Viral V. Acharya of the London Business School,
Sreedhar T. Bharath of the University of Michigan, and
Anand Srinivasan of the National University of Singapore
(478k PDF) -- 47 pages -- October 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 Estimation of a Reduced-Form Credit Portfolio Model and Extensions to Dynamic Frailties
by Jean-David Fermanian of Ixis-CIB & Crest,
Martin Delloye of Ixis-CIB & Crest, and
Mohammed Sbai of Ecole Nationale des Ponts et Chaussées
(304K PDF) -- 22 pages -- September 12, 2005 Insider Trading in Credit Derivatives
by Viral V. Acharya of the London Business School, and
Timothy C. Johnson of the London Business School
(299K PDF) -- 45 pages -- September 2005 Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms
by Benjamin Yibin Zhang of Fitch Ratings,
Hao Zhou of the Federal Reserve Board, and
Haibin Zhu of the Bank for International Settlements
(370K PDF) -- 45 pages -- September 2005 A Model of Corporate Bond Pricing with Liquidity and Marketability Risk
by Pierre Tychon of the European Investment Bank,
Vincent Vannetelbosch of FNRS & CORE, Université catholique de Louvain
(279K PDF) -- 36 pages -- August 19, 2005 Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
by Ren-raw Chen of Rutgers University,
Xiaolin Cheng of Rutgers University, and
Liuren Wu of Baruch College
(338K PDF) -- 50 pages -- August 8, 2005 Credit Risk Assessment via Copulas: Association Invariance and Risk Neutrality
by Elisa Luciano of the University of Turin & ICER
(257K PDF) -- 29 pages -- July 12, 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 Credit Default Swap Valuation with Counterparty Risk
by Seng Yuen Leung of HSBC, and
Yue Kuen Kwok of the Hong Kong University of Science and Technology
(140K PDF) -- 21 pages -- June 2005 Comparing Possible Proxies of Corporate Bond Liquidity
by Patrick Houweling of Robeco Asset Management,
Albert Mentink of Erasmus University Rotterdam & AEGON Asset Management, and
Ton Vorst of Erasmus University Rotterdam Rotterdam & ABN Amro
(718K PDF) -- 41 pages -- June 2005 Collateralized Debt Obligations Pricing and Factor Models: A new methodology using Normal Inverse Gaussian distributions
by Dominique Guegan of the Ecole Normale Superieure, and
Julien Houdain of the Ecole Normale Superieure & Fortis Investments
(3,264K PDF) --29 pages -- June 2005 Credit Default Swap Prices as Risk Indicators of Large German Banks
by Klaus Düllmann of Deutsche Bundesbank, and
Agnieszka Sosinska of the Universität Frankfurt
(467K PDF) -- 33 pages -- June 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 Credit Default Swap Valuation: An application to Spanish firms
by Abel Elizalde of CEMFI & Universidad Pública de Navarra
(359K PDF) –- 38 pages -- May 2005 The Pricing of Unexpected Credit Losses
by Jeffery D. Amato of the Bank for International Settlements, and
Eli M. Remolona of the Bank for International Settlements
(254K PDF) -- 41 pages -- May 2005 From Default Probabilities to Credit Spreads: Credit Risk Models Do Explain Market Prices
by Stefan M. Denzler of Converium Ltd.,
Michel M. Dacorogna of Converium Ltd.,
Ulrich A. Müller of Converium Ltd., and
Alexander J. McNeil of Swiss Federal Institute of Technology (ETH)
(408K PDF) –- 18 pages -- March 22, 2005 Implied Migration Rates from Credit Barrier Models
by Claudio Albanese of Imperial College London,
Oliver X. Chen of the National University of Singapore
(493K PDF) –- 38 pages -- March 11, 2005 Estimating Structural Bond Pricing Models
by Jan Ericsson of McGill University, and
Joel Reneby of the Stockholm School of Economics
(504K PDF) -- 29 pages -- March 2005 An Integrated Pricing Model for Defaultable Loans and Bonds
by Mario Onorato of City University (London), and
Edward I. Altman of New York University
(532K PDF) – 21 pages -- March 2005 Accounting Fraud and the Pricing of Corporate Liabilities Structural Models with Garbling
by Angelo Baglioni of the Catholic University – Milan, and
Umberto Cherubini of the University of Bologna
(408K PDF) -- 33 pages -- February 2005 Explaining the Level of Credit Spreads: Option-implied jump risk premia in a firm value model
by Martijn Cremers of Yale University,
Joost Driessen of the University of Amsterdam,
Pascal Maenhout of INSEAD, and
David Weinbaum of Cornell University
(346K PDF) -– 45 pages -- February 2005 LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005 An Evaluation of the Base Correlation Framework for Synthetic CDOs
by Sřren Willemann of the Aarhus School of Business
(334K PDF) -- 25 pages -- December 20, 2004 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
(371K PDF) -- 37 pages -- December 16, 2004 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 -- December 2004 An Empirical Analysis of Bond Recovery Rates: Exploring A Structural View of Default
by Dan Covitz of the Federal Reserve Board, and
Song Han of the Federal Reserve Board
(266K PDF) –- 44 pages -- December 2004 The Determinants of Credit Default Swap Premia
by Jan Ericsson of McGill University,
Kris Jacobs of McGill University, and
Rodolfo A. Oviedo of McGill University
(964K PDF) -- 51 pages -- November 2004 Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(467K PDF) -- 67 pages -- October 24, 2004 The Jarrow and Turnbull Default Risk Model - Evidence from the German Market
by Manfred Frühwirth of Vienna University, and
Leopold Sögner of the Technical University of Vienna
(565K PDF) -- 49 pages -- October 17, 2004 Market Indicators Bank Fragility and Indirect Market Discipline
by Reint Gropp of the European Central Bank,
Jukka Vesala of the Finnish Supervisory Authority, and
Giuseppe Vulpes of UniCredit Banca d'Impresa
(139K PDF) -- 10 pages -- September 2004 Using Yield Spreads to Estimate Expected Returns on Debt and Equity
by Ian A. Cooper of the London Business School, and
Sergei A. Davydenko of the London Business School
(331K PDF) -- 35 pages -- August 9, 2004 An Empirical Test of Option Based Default Probabilities Using Payment Behaviour and Auditor notes
by Tom E. S. Farmen of the Norwegian University of Science and Technology,
Sjur Westgaard of the Norwegian University of Science and Technology, and
Nico van der Wijst of the Norwegian University of Science and Technology
(171K PDF) -- 18 pages -- July 8, 2004 Correlated Default with Incomplete Information
by Kay Giesecke of Cornell University
(339K PDF) -- 25 pages -- July 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 Equity and Bond Market Signals as Leading Indicators of Bank Fragility
by Reint Gropp at the European Central Bank,
Jukka Vesala at UniCredit Banca d.Impresa, and
Giuseppe Vulpes at Kaiserstrasse
(233K PDF) -- 34 pages -- June 2004 A Simple Model for Credit Migration and Spread Curves
by Li Chen of Princeton University, and
Damir Filipović of the Federal Office of Private Insurance, Switzerland
(257K PDF) -- 28 pages -- May 26, 2004 Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
by Antje Berndt of Cornell University
(389K PDF) -- 43 pages -- April 16, 2004 Adverse Selection, Moral Hazard and the Term Structure of Default
by Koresh Galil of the Goethe University of Frankfurt and Tel-Aviv University
(511K PDF) -- 43 pages -- March 2004 An Option-Based Approach to Bank Vulnerabilities in Emerging Markets
by Jorge A. Chan-Lau of the International Monetary Fund,
Arnaud Jobert of the International Monetary Fund, and
Janet Kong of the International Monetary Fund
(470K PDF) -- 22 pages -- February 2004 Modeling the Dynamics of Credit Spreads with Stochastic Volatility
by Kris Jacobs of McGill University, and
Xiaofei Li of York University
(565K PDF) -- 53 pages -- January 2004 Equity Volatility and Corporate Bond Yields
by John Y. Campbell of Harvard University, and
Glen B. Taksler of Harvard University
(438K PDF) -- 30 pages -- December 2003 A Simple Exponential Model for Dependent Defaults
by Kay Giesecke of Cornell University
(213K PDF) -- 20 pages -- December 2003 Pricing the Risk of Default: Are Bonds Enough?
by Daniel Gomez of the University of Lausanne, and
Boris Nikolov of the University of Lausanne
(467K PDF) -- 71 pages -- October 19, 2003 Liquidity Risk and Expected Stock Returns
by Luboš Pástor of the University of Chicago, and
Robert F. Stambaugh of the University of Pennsylvania
(4,809K PDF) -- 44 pages -- June 2003 Spectral Risk Measures for Credit Portfolios
by Claudio Albanese of the University of Toronto, and
Stephan Lawi of the University of Toronto and the National University of Singapore
(379K PDF) -- 17 pages -- April 15, 2003 An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
by Herman Bierens of Penn State University, and
Jing-zhi Huang of Penn State University and New York University
(422K PDF) -- 42 pages -- April 8, 2003 Modeling Default Dependence with Threshold Models
by Ludger Overbeck of Deutsche Bank AG, and
Wolfgang Schmidt of Hochschule für Bankwirtschaft
(229K PDF) -- 17 pages -- March 18, 2003 Liquidity Shocks and Equilibrium Liquidity Premia
by Ming Huang of Stanford University
(271K PDF) -- 26 pages -- March 2003 Brockman, Paul and H. J. Turtle, "A Barrier Option Framework for Corporate Security Valuation", Journal of Financial Economics, Vol. 67, No. 3, Hong Kong Polytechnic U, WA State U, Mar-2003, pp. 511-29. [Abstract] Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is fixed-income markets information sufficient to evaluate credit risk
by Daniel Aunon-Nerin of the University of Lausanne & Fame,
Didier Cossin of HEC, University of Lausanne, IMD & Fame,
Tomas Hricko of HEC, University of Lausanne & Fame, and
Zhijiang Huang of the University of Lausanne & Fame
(2,407K PDF) -- 74 pages -- December 2002 Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
by Andrea Sironi of Bocconi University, and
Giampaolo Gabbi of the Universita di Siena
(182K PDF) -- 48 pages -- September 2002 Default Risk in Equity Returns
by Maria Vassalou of Columbia University, and
Yuhang Xing of Columbia University
(223K PDF) -- 55 pages -- July 30, 2002 A Model for Pricing Stocks and Bonds with Default Risk
by Harry Mamaysky of the Yale School of Management
Downloadable via SSRN -- May 2, 2002 On Risk Neutral Pricing of CDOs
by Roy Mashal of the Columbia Business School
(175K PDF) -- 16 pages -- April 1, 2002 Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures
by Pascal François of HEC Montreal, and
Erwan Morellec of the University of Rochester
(340K PDF) -- 41 pages -- April 2002 Is Default Event Risk Priced in Corporate Bonds?
by Joost Driessen of the University of Amsterdam
(275K PDF) -- 48 pages -- March 2002 Default Probabilities and Default Correlations
by Ulrich Erlenmaier of the University of Heidelberg, and
Hans Gersbach of the University of Heidelberg
(498K PDF) -- 50 pages -- November 2001 Zhou, Chunsheng, "The Term Structure of Credit Spreads with Jump Risk", Journal of Banking & Finance, Vol. 25, No. 11, (November 2001), pp. 2015-2040. [Abstract] The Jarrow/Turnbull Default Risk Model: Evidence from the German Market
by Manfred Frühwirth of Vienna University of Economics, and
Leopold Sögner of Vienna University of Economics
(296K PDF) -- 26 pages -- October 8, 2001 Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina
by John J. Merrick, Jr. of New York University
(234K PDF) -- 19 pages -- October 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 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. [Abstract] Morck, Randall, Bernard Yeung, and Wayne Yu, "The Information Content of Stock Markets: Why do emerging markets have synchronous stock price movements?", Journal of Financial Economics, Vol. 58, No. 1, (October 2000), pp. 215-260. [Abstract] Acharya, Viral V., Sanjiv Ranjan Das and Rangarajan K. Sundaram. "Pricing Credit Derivatives with Rating Transitions", Financial Analysts Journal, (May/June 2002), pp. 28-44. [Abstract] The Joint Estimation of Term Structures and Credit Spreads
by Patrick Houweling of Rabobank Int'l and the University Rotterdam,
Jaap Hoek of Robeco Group,
Frank Kleibergen of Erasmus University Amsterdam
(387K PDF) -- 27 pages -- March 21, 2001 Jacoby, Gady, David J. Fowler, and Aron A. Gottesman, "The capital asset pricing model and the liquidity effect: A theoretical approach", Journal Of Financial Markets, University of Manitoba and York University, Vol. 3, No. 1, (Feb-2000), pp. 69-81. [Abstract] Collateral, Renegotiation and the Value of Diffusely Held Debt
by Ulrich Hege of Tilburg University, and
Pierre Mella-Barral of the London School of Economics
(480K PDF) -- 45 pages -- September 1999 Modelling European Credit Spreads
by Jan Annaert of the Erasmus University Rotterdam and University of Antwerp, and
Marc J.K. De Ceuster University of Antwerp – UFSIA
(425K PDF) -- 56 pages -- September 1999 A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
by Dilip Madan of the University of Maryland, and
Haluk Unal of the University of Maryland
(1,109K PDF) -- 32 pages -- June 28, 1999 A Model of Corporate Bond Prices with Dynamic Capital Structure
by Miikka Taurén of Indiana University
(569K PDF) -- 51 pages -- April 19, 1999 Arvanitis, Angelo, Jonathan Gregory, and Jean-Paul Laurent, "Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999) pp. 27-43. [Abstract] A Comparison of Bond Pricing Models in the Pricing of Credit Risk
by Miikka Taurén of Indiana University
(473K PDF) -- 53 pages -- March 10, 1999 Defaultable Term Structure Models with Fractional Recovery of Par
by Darrell Duffie of Stanford University
(297K PDF) -- 27 pages -- August 18, 1998 Barone, Emilio, Giovanni Barone-Adesi, and Antonio Castagna, "Pricing Bonds and Bond Options with Default Risk", European Financial Management, Vol. 4, No. 2, Istituto Mobiliare Italiano, University of Alberta, IMI Bank, (Jul-1998), pp. 231-282. [Abstract] Cantor, Richard, and Frank Packer, "Differences of Opinion and Selection Bias in the Credit Rating Industry", Journal of Banking & Finance, Vol. 21, No. 10, Federal Reserve Bank of New York, (October 1997), pp. 1395-1417. [Abstract] CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997 Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
by Shing-yang Hu of National Taiwan University and University of Chicago
(109K PDF) -- 29 pages -- January 1997 Estimating the price of default risk
by Gregory R. Duffee of the Federal Reserve Board of Governors
(701K PDF) -- 43 pages -- July 1996
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