JEL Classification G13
"Contingent Pricing; Futures Pricing"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G13 classification. (sorted by date) A Unified Framework for Pricing Credit and Equity Derivatives
by Erhan Bayraktar of the University of Michigan, and
Bo Yang of the University of Michigan
(504K PDF) -- 27 pages -- April 21, 2008 A Comparative Analysis of CDO Pricing Models
by Xavier Burtschell of BNP-Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(243K PDF) -- 26 pages -- April 21, 2008 Hedging Default Risks of CDOs in Markovian Contagion Models
by Jean-Paul Laurent of the University of Lyon & BNP Paribas
Areski Cousin of the University of Lyon, and
Jean-David Fermanian of BNP Paribas
(220K PDF) –- 31 pages -- April 8, 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 The Static Hedging of CDO Tranche Correlation Risk
by Michael B. Walker of the University of Toronto
(161K PDF) -- 15 pages -- February 5, 2008 CDO Pricing with Nested Archimedean Copulas
by Marius Hofert of the Universität Ulm, and
Matthias Scherer of Technische Universität München
(613K PDF) -- 26 pages -- January 24, 2008 Linking Credit Risk Premia to the Equity Premium
by Tobias Berg of the Technische Universität München, and
Christoph Kaserer of the Technische Universität München
(437K PDF) -- 36 pages -- January 6, 2008 Risk Premia in Structured Credit Derivatives
by Andreas Eckner of Stanford University
(377K PDF) –- 49 pages -- January 5, 2008 Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
by Massimo Morini of Banca IMI & Bocconi University, and
Damiano Brigo of Fitch Solutions
(295K PDF) -- 25 pages -- December 2007 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 Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,512K PDF) -- 24 pages -- November 10, 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 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 Firm Heterogeneity and Credit Risk Diversification
by Samuel G. Hanson of Harvard University,
M. Hashem Pesaran of the University of Cambridge & USC, and
Til Schuermann of the Federal Reserve Bank of New York and Wharton Financial Institutions Center
(527K PDF) -- 46 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 Advanced Credit Portfolio Modeling and CDO Pricing
by Ernst Eberlein of the University of Freiburg,
Rüdiger Frey of the University of Leipzig, and
Ernst August von Hammerstein of the University of Freiburg
(329K PDF) -- 27 pages -- September 14, 2007 Comparison Results for Credit Risk Portfolios
by Areski Cousin of the University of Lyon, and
Jean-Paul Laurent of the University of Lyon & BNP Paribas
(318K PDF) -- 23 pages -- September 11, 2007 Lévy Base Correlation
by João Garcia of Dexia Group,
Serge Goossens of Dexia Bank,
Viktoriya Masol of Katholieke Universiteit Leuven & EURANDOM, and
Wim Schoutens of Katholieke Universiteit Leuven
(175K PDF) -- 15 pages -- September 4, 2007 Simultaneous Calibration to a Range of Portfolio Credit Derivatives with a Discrete-Time Multi-Step Markov Loss Model
by Michael Walker of the University of Toronto
(225K PDF) -– 26 pages -- August 29, 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 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 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of Vienna University of Economics and Business Administration,
Leopold Sögner of Vienna University of Technology, and
Tanja Veža of Vienna University of Economics and Business Administration
(636K PDF) –- 37 pages -- July 6, 2007 Modelling Default Contagion using Multivariate Phase-type Distributions
by Alexander Herbertsson of Göteborg University
(832K PDF) –- 35 pages -- April 16, 2007 Delayed Default Dependency and Default Contagion
by B.S. Balakrishna -- Unaffiliated
(169K PDF) -- 13 pages -- May 15, 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 Implied Expected Tranched Loss Surface from CDO Data
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(677K PDF) –- 13 pages -- May 8, 2007 Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
by Damiano Brigo of Banca IMI,
Andrea Pallavicini of Banca IMI, and
Roberto Torresetti of Banca IMI
(299K PDF) -– 35 pages -- May 3, 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 Pricing Tranched Credit Products with Generalized Multifactor Models
by Manuel Moreno of Universidad Carlos III, Madrid,
Juan Ignacio Peña of Universidad Carlos III, Madrid, and
Pedro Serrano of the University of Basque Country
(420K PDF) -- 44 pages -- May 2007 Risk Neutral versus Objective Loss Distribution and CDO Tranches Valuation
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(213K PDF) –- 13 pages -- April 13, 2007 Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models
by Dan Rosen of the Fields Institute and R2 Financial Technologies, and
David Saunders of the University of Waterloo
(757K PDF) -- 38 pages -- April 5, 2007 Forward-Start CDO's, Options on CDO's, and Calibration
by Michael Walker of the University of Toronto
(162K PDF) -- 17 pages -- March 27, 2007 Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
by Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(206K PDF) -- 17 pages -- March 22, 2007 A Semi-Analytical Parametric Model for Dependent Defaults
by B.S. Balakrishna -- Unaffiliated
(266K PDF) -- 29 pages -- March 21, 2007 Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-analytic Approach
by Alexander Herbertsson of Göteborg University
(379K PDF) -- 27 pages -- March 15, 2007 BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
by Matthias Arnsdorf of JP Morgan, and
Igor Halperin of JP Morgan
(786K PDF) –- 42 pages -- March 2007 Loss Distribution Evaluation for Synthetic CDOs
by Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics, Inc., and
Xiaofang Ma of the University of Toronto
(213k PDF) –- 26 pages -- February 12, 2007 Valuation of Forward Starting CDOs
by Ken Jackson of the University of Toronto, and
Wanhe Zhang of the University of Toronto
(123K PDF) –- 15 pages -- February 10, 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 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
by Hayette Gatfaoui of Mont-Saint-Aignan Cedex France & the University of Technology, Sydney
(1,434K PDF) –- 51 pages -- February 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 CDOs in Chains
by Johan de Kock of Fraunhofer ITWM,
Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(144K PDF) -– 9 pages -- January 24, 2007 Pricing Correlation-Dependent Derivatives Based on Exponential Approximations to the Hockey Stick
by Ian Iscoe of Algorithmics Inc.,
Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics Inc., and
Xiaofang Ma of the University of Toronto
(178K PDF) -- 19 pages -- January 24, 2007 On Exponential Approximation to the Hockey Stick Function
by Ian Iscoe of Algorithmics Inc.,
Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics Inc., and
Xiaofang Ma of the University of Toronto
(234K PDF) –- 19 pages -- January 24, 2007 CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions
by Michael Walker of the University of Toronto
(237K PDF) -– 26 pages -- January 19, 2007 A Note on the Risk Management of CDOs
by Jean-Paul Laurent of the University of Lyon & BNP Paribas
(249K PDF) –- 17 pages -- January 2007 Beyond the Gaussian Copula: Stochastic and local correlation
by Xavier Burtschell of BNP Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of ISFA Actuarial School, University of Lyon
(445K PDF) -- 27 pages -- January 2007 Modeling Defaultable Securities with Recovery Risk
by Lotfi Karoui of McGill University
(456K PDF) -- 52 pages -- January 2007 Lévy Simple Structural Models
by Martin Baxter of Nomura International
(134K PDF) -- 12 pages -- December 22, 2006 Extending Gaussian Copula with Jumps to Match Correlation Smile
by Geng Xu of Wachovia Securities
(192K PDF) –- 8 pages -- December 18, 2006 Distribution-Invariant Risk Measures, Entropy, and Large Deviations
by Stefan Weber of Cornell University
(246K PDF) -- 24 pages -- December 4, 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 Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers of ETH Zurich, and
Philipp Schönbucher of ETH Zurich
(268K PDF) -- 25 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 Pricing Interest Rate-Sensitive Credit Portfolio Derivatives
by Philippe Ehlers of ETH Zurich, and
Philipp J. Schönbucher of ETH Zurich
(326K PDF) -- 34 pages -- December 2006 Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications
by Jorge A. Chan-Lau of the International Monetary Fund, and
Andre O. Santos of the International Monetary Fund
(513K PDF) -- 13 page -- December 2006 Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
by Alexander Herbertsson of Göteborg University, and
Holger Rootzen of Chalmers University of Technology
(448K PDF) -– 27 pages -- November 27, 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 Valuing Credit Derivatives Using an Implied Copula Approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(431K PDF) –- 41 pages -- November 2006 The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model
by John Hull of the University of Toronto,
Mirela Predescu of the Oxford University, and
Alan White of the University of Toronto
(208K PDF) –- 36 pages -- November 2006 Default and Information
by Kay Giesecke of Cornell University
(433K PDF) -- 23 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 Pricing and Hedging in the Presence of Extraneous Risks
by Pierre Collin-Dufresne of the University of California Berkeley, and
Julien Hugonnier of the Swiss Finance Institute and HEC Université de Lausanne
(314K PDF) -- 29 pages -- October 16, 2006 Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
by An Chen of the University of Bonn
Michael Suchanecki of the University of Bonn
(1,409K PDF) –- 37 pages -- October 3, 2006 Correlation Expansions for CDO Pricing
by Paul Glasserman of Columbia University, and
Sira Suchintabandid of Columbia University
(442K PDF) -- 24 pages -- May 2007 Monte Carlo Simulation of Economic Capital Requirement And Default Protection Premium
by Amit Kulkarni of the National Institute of Bank Management
(834K PDF) -- 35 pages -- September 20, 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 Are Corporates' Target Leverage Ratios Time-Dependent?
by Cho-Hoi Hui of the Hong Kong Monetary Authority
Chi-Fai Lo of the Chinese University of Hong Kong, and
Ming-Xi Huang of the Chinese University of Hong Kong
(227K PDF) -– 17 pages -- September 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 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 Derivatives with Recovery of Market Value for Multiple Firms
by Keiichi Tanaka of Tokyo Metropolitan University
(161K PDF) -– 16 pages -- August 2006 Measuring Provisions for Collateralised Retail Lending
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong,
Tak-Chuen Wong of the Hong Kong Monetary Authority, and
Po-Kong Man of the Chinese University of Hong Kong
(383K PDF) – 19 pages -- July 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 Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives
by Philipp J. Schönbucher of ETH Zürich
(350K PDF) -- 27 pages -- 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] Copulas from Infinitely Divisible Distributions: Applications to Credit Value at Risk
by Thomas Moosbrucker of the University of Cologne
(274K PDF) –- 26 pages -- June 2006 An Implied Loss Model
by Martijn van der Voort of Abn Amro Bank & Erasmus University Rotterdam
(343K PDF) –- 26 pages -- May 11, 2006 Bankruptcy, Counterparty Risk, and Contagion
by Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(424K PDF) –- 66 pages -- May 5, 2006 Levy Process Dynamic Modelling of Single-Name Credits and CDO Tranches
by Martin Baxter of Nomura International, plc
(91K PDF) -– 10 pages -- April 27, 2006 A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-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 A Dynamic Programming Approach for the Valuation of Callable Corporate Bonds within the CIR Framework
by Luca Passalacqua of the Università di Roma La Sapienza
(236K PDF) -- 16 pages -- March 21, 2006 Dynamic Modelling of Single-name Credits and CDO Tranches
by Martin Baxter of Nomura International, plc
(96K PDF) -- 9 pages -- March 20, 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 Pricing CDOs with Correlated Variance Gamma Distributions
by Thomas Moosbrucker of the University of Cologne
(289K PDF) -- 31 pages -- February 2006 Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
by Allan Mortensen of the Copenhagen Business School
(322K PDF) -- 47 pages -- January 13, 2006 Pricing and Hedging of Contingent Credit Lines
by Elena Loukoianova of the International Monetary Fund,
Salih N. Neftci of CUNY, and
Sunil Sharma of the International Monetary Fund
(1,082K PDF) -- 26 pages -- January 2006 The Influence of FX Risk on Credit Spreads
by Philippe Ehlers of ETH Zürich, and
Philipp Schönbucher of ETH Zürich
(372K PDF) -- 35 pages -- January 2006 Hedging and Asset Allocation for Structured Products
by Robert Lamb of Imperial College,
Vladislav Peretyatkin of Imperial College, and
William Perraudin of Imperial College
(161K PDF) -- 25 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 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 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 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 Dynamic Copula Processes: A new way of modelling CDO tranches
by Daniel Totouom of BNP Paribas, and
Margaret Armstrong of École des Mines de Paris
(796K PDF) -- 23 pages -- November 2005 An Incomplete-Market Model for Collateralized Debt Obligations
by Michael B. Walker of the University of Toronto
(227K PDF) -- 24 pages -- October 27, 2005 Benchmarking Model of Default Probabilities of Listed Companies
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Tak-Chuen Wong of the Hong Kong Monetary Authority
Chi-Fai Lo of the Chinese University of Hong Kong, and
Ming-Xi Huang of the The Chinese University of Hong Kong
(2,054K PDF) -- 11 pages -- September 2005 How Good is Merton Model at Assessing Credit Risk? Evidence from India
by Amit Kulkarni of the National Institute of Bank Management,
Alok Kumar Mishra of the National Institute of Bank Management, and
Jigisha Thakker of the National Institute of Bank Management
(302K PDF) -- 49 pages -- Fall 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 Liquidity and Credit Risk
by Jan Ericsson of McGill University, and
Olivier Renault of the London School of Economics
(428K PDF) -- 49 pages -- July 4, 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 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 Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation
by Marius Rott of DZ Bank, and
Christian Fries of DZ Bank
(610K PDF) -– 32 pages -- May 31, 2005 A Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements
by Damiano Brigo of Banca IMI,
Massimo Masetti of Banca IMI
(264K PDF) -– 31 pages -- May 4, 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 Factor Copulas: Totally External Defaults
by Martijn van der Voort of ABN AMRO bank and Erasmus University Rotterdam
(246K PDF) –- 21 pages -- April 8, 2005 Philps, Daniel and Solomon Peters, "Expected Loss and Fair Value Over the Credit Cycle", Journal of Credit Risk, Vol.1, No. 2, (Spring 2005), pp. 35-49. [Abstract] 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 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 Eberhart, Allan C., "A Comparison of Merton's Option Pricing Model of Corporate Debt Valuation to the Use of Book Values", Journal of Corporate Finance, Vol. 11, No. 1-2, (March 2005), pp. 401-426. [Abstract] Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
by Damiano Brigo of Banca IMI, and
Marco Tarenghi of Banca IMI
(226K PDF) -- 22 pages -- April 29, 2005 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
by Didier Cossin of IMD International and FAME, and
Gero Jung of Fame, and the Graduate Institute of International Studies
(2,778K PDF) –- 35 pages -- March 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 Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
by David Wang of Hsuan Chuang University
(62K PDF) –- 10 pages -- February 2005 Yu, Fan, "Accounting Transparency and the Term Structure of Credit Spreads", Journal of Financial Economics, (January 2005), Vol. 75, No. 1, pp 53-84. [Abstract] 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 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 On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models
by Jin-Chuan Duan of the University of Toronto,
Geneviève Gauthier of HEC, and
Jean-Guy Simonato of HEC
(204K PDF) -- 19 pages -- November 30, 2004 Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(467K PDF) -- 67 pages -- October 24, 2004 A Comparison Between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing
by Damiano Brigo of Banca IMI, and
Laurent Cousot of Courant Institute
(257K PDF) -- 28 pages -- September 12, 2004 Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model
by Damiano Brigo of Banca IMI, and
Aurélien Alfonsi of Banca IMI
(257K PDF) -- 29 pages -- August 13, 2004 Double Default Correlation
by Martijn van der Voort of Erasmus University Rotterdam & ABN AMRO
(478K PDF) -- 26 pages -- July 17, 2004 Default Greeks Under an Objective Probability Measure
by Tom E. S. Farmen of the Norwegian School of Science and Technology Management,
Stein-Erik Fleten of the Norwegian School of Science and Technology Management,
Sjur Westgaard of the Norwegian School of Science and Technology Management, and
Nico van der Wijst of the Norwegian School of Science and Technology Management
(344K PDF) -- 31 pages -- July 9, 2004 Correlated Default with Incomplete Information
by Kay Giesecke of Cornell University
(339K PDF) -- 25 pages -- July 2004 The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer
by Michael T. Gapen of the International Monetary Fund,
Dale F. Gray of Macro Financial Risk Corporation and Consultant to the Macro Financial Risk Project at Moody's Investors Service,
Cheng Hoon Lim of the International Monetary Fund, and
Yingbin Xiao of the International Monetary Fund
(925K PDF) -- 44 pages -- July 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 Kijima, Masaaki and Yusuke Miyake, "On the Term Structure of Lending Interest Rates When a Fraction of Collateral is Recovered Upon Default", Japan Journal of Industrial and Applied Mathematics, Vol. 21, No. 1, (February 2004), pp. 35-56. [Abstract] Classification and Rating of Firms in the Presence of Financial and Non-financial Information
by Thomas Mählmann of the University of Cologne
(422K PDF) -- 23 pages -- February 2004 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 Jokivuolle, Esa and Samu Peura, "Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios", European Financial Management, Vol. 9, No. 3, Helsinki School of Economics and the Bank of Finland (September 2003), page 299. [Abstract] Basket Default Swaps, CDO's and Factor Copulas
by Jean-Paul Laurent of the University of Lyon & BNP Paribas, and
Jon Gregory of BNP Paribas
(293K PDF) -- 21 pages -- September 2003 Pricing Vulnerable Black-Scholes Options with Dynamic Default Barriers
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong, and
Hon Chor Lee of the Chinese University of Hong Kong
(664K PDF) -- 8 pages -- Summer 2003 A Unified Model for Credit Derivatives
by Alain Bélanger of Scotia Capital,
Steven E. Shreve of Carnegie Mellon University, and
Dennis Wong of Bank of America Corporation
(313K PDF) -- 40 pages -- April 16, 2003 Pricing Corporate Bonds with Dynamic Default Barriers
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi-Fai Lo of the Chinese University of Hong Kong, and
Shun-Wai Tsang of the Chinese University of Hong Kong
(202K PDF) -- 22 pages -- Spring 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 Modelling Dynamic Portfolio Credit Risk
by Ebbe Rogge of the Imperial College of London & ABN AMRO Bank, and
Philipp J. Schönbucher of EHT Zurich
(379K PDF) -- 28 pages -- February 2003 An Empirical Study of Credit Default Swaps
by Frank Skinner of the University of Reading, and
Antonio Díaz of the Universidad de Castilla - la Mancha
(233K PDF) -- 34 pages -- January 2003 Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier
by Franck Moraux of the Université de Rennes
(343K PDF) -- 37 pages -- 2003 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 Estimation of Default Probability by Three-Factor Structural Model
by Cho-Hoi Hui of the Hong Kong Monetary Authority,
Chi Fai Lo of the Chinese University of Hong Kong, and
Ming Xi Huang of the Chinese University of Hong Kong
(273K PDF) -- 14 pages -- October 10, 2002 Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions
by Philipp J. Schönbucher of Bonn University
(410K PDF) -- 23 pages -- August 2002 Optimal Default Boundary in Discrete Time Models
by Agata Altieri of the Universitá di Padova, and
Tiziano Vargiolu of the Universitá di Padova
(212K PDF) -- 16 pages -- June 2002 Valuation Model of Defaultable Bond Values in Emerging Markets
by Cho-Hoi Hui of the Hong Kong Monetary Authority, and
Chi-Fai Lo of the Chinese University of Hong Kong
(158K PDF) -- 16 pages -- June 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 Barnhill Jr., Theodore M. and William F. Maxwell, "Modeling correlated market and credit risk in fixed income portfolios", Journal of Banking & Finance, Vol. 26, No. 2-3, (March 2002), pp. 347-374. [Abstract] Is Default Event Risk Priced in Corporate Bonds?
by Joost Driessen of the University of Amsterdam
(275K PDF) -- 48 pages -- March 2002 Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach
by Roy Mashal of the Columbia Business School, and
Marco Naldi of Lehman Brothers, Inc.
(506K PDF) -- 28 pages -- January 7, 2002 Copula-Dependent Default Risk in Intensity Models
by Philipp J. Schönbucher of Bonn University, and
Dirk Schubert of Bonn University
(299K PDF) -- 30 pages -- December 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] Pricing the Risk of Recovery in Default with APR Violation
by Haluk Unal of the University of Maryland,
Dilip Madan of the University of Maryland, and
Levent Güntay of the University of Maryland
(500K PDF) -- 41 pages -- August 3, 2001 Credit Switch
by Karan Bhanot of the University of Texas
(83K PDF) -- 28 pages -- July 31, 2001 On Modelling Credit Risk Using Arbitrage Free Models
by Frank S. Skinner of the University of Reading, and
Antonio Díaz of the Universidad de Castilla - La Mancha
(369K PDF) -- 24 pages -- July 2001 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 Defaultable Security Valuation and Model Risk
by Aydin Akgün of HEC, University of Lausanne
(972K PDF) 59 pages -- March 2001 Hübner, Georges, "The Analytic Pricing of Asymmetric Defaultable Swaps", Journal of Banking & Finance, Vol. 25, No. 2, University of Liege, (Feb-2001), pp. 295-316. [Abstract] Factor Models for Portfolio Credit Risk
by Philipp J. Schönbucher of Bonn University
(142K PDF) -- 20 pages -- December 2000 A LIBOR Market Model with Default Risk
by Philipp J. Schönbucher of Bonn University
(254K PDF) -- 30 pages -- December 2000 On Default Correlation: A Copula Function Approach
by David X. Li of The RiskMetrics Group
(122K PDF) -- 31 pages -- April 2000 A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans
by Esa Jokivuolle of the Bank of Finland, and
Samu Peura of Leonia plc
(202K PDF) -- 22 pages -- March 14, 2000 A Comparative Analysis of Current Credit Risk Models
by Michel Crouhy of the Canadian Imperial Bank of Commerce,
Dan Galai of the Hebrew University, and
Robert Mark of the Canadian Imperial Bank of Commerce
(1,585K PDF) -- 59 pages -- January 2000 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 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 Schönbucher, Philipp J., "Term Structure Modelling of Defaultable Bonds", The Review of Derivatives Research, Vol. 2, No. 2/3 (Fall-1998), pp. 161-192. [Abstract] Leland, Hayne E., and Klaus Bjerre Toft. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads", Journal of Finance, Vol. LI, No. 3, University of California at Berkeley, University of Texas at Austin, (Jul-1996), pp. 987-1019. [Abstract] Estimating the price of default risk
by Gregory R. Duffee of the Federal Reserve Board of Governors
(701K PDF) -- 43 pages -- July 1996 Duffee Gregory R., "On Measuring Credit Risks of Derivative Instruments", Journal of Banking & Finance, Vol. 20, No. 5, Federal Reserve Board, (June 1, 1996), pp. 805-833. [Abstract] Treasury yields and corporate bond yield spreads: An empirical analysis
by Gregory R. Duffee of the Federal Reserve Board of Governors
(519K PDF) -- 35 pages -- May 1996 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] The Direct Approach to Debt Option Pricing
by Sven Rady of the London School of Economics, and
Klaus Sandmann of the Rheinische Friedrich-Wilhelms-Universität Bonn
(765K PDF) -- 29 pages -- March 22, 1995 Cossin, Didier, Hugues Pirotte, "How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?", European Financial Management, Vol. 4, No. 1, HEC, University of Lausanne, (Mar-1998), pp. 65-77. [Abstract] Lando, David, "On Cox Processes and Credit Risky Securities", Derivatives Research, Vol. 2, (1998), pp. 99-120. [Abstract] Mahoney, James M., "Risk Management of Correlation Products", European Financial Management, Vol. 3, No. 2, Federal Reserve Bank of New York, (July 1997), pp. 155-174. [Abstract] Das, Sanjiv Ranjan. "Credit Risk Derivatives", Vol. 2, No. 3, Journal of Derivatives, (Spring 1995), pp. 7-23. [Abstract]
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