JEL Classification G2
"Financial Institutions and Services"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G2 classification. (sorted by date) Avoiding the Rating Bounce: Why rating agencies are slow to react to new information
by Gunter Löffler of the University of Ulm
(122K PDF) -- 31 pages -- May 2004 Frerichs, Hergen and Gunter Löffler, "Evaluating Credit Risk Models Using Loss Density Forecasts", Journal of Risk, Vol. 5, No. 4, University of Frankfurt -- Main, (Summer 2003), pp. 1-23. [Abstract] An Examination of Rating Agencies' Actions Around the Investment-Grade Boundary
by Richard Johnson of the Federal Reserve Bank of Kansas City
(394K PDF) -- 34 pages -- February 2003 Evaluating credit risk models: A critique and a proposal
by Hergen Frerichs of the University of Frankfurt, and
Gunter Löffler of the University of Frankfurt
(258K PDF) -- 52 pages -- May 2002 Jarrow, Robert A. and Stuart M. Turnbull, "The Intersection of Market and Credit Risk", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 271-299. Mingo, John J., "Policy Implications of the Federal Reserve Study of Credit Risk Models at Major U.S. Banking Institutions", Journal of Banking & Finance, Vol. 24, Federal Reserve Board, (January 2000), pp.15-33. [Abstract] A Jump- Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
by Chunsheng Zhou of the Federal Reserve Board
(349K PDF) -- 49 pages -- March 1997 Dionne, Georges, Manuel Artís, and Montserrat Guillén, "Count Data Models for a Credit Scoring System", Journal of Empirical Finance, Vol. 3, No. 3, (September 1996), pp. 303-325. Understanding Aggregate Default Rates of High Yield Bonds
by Jean Helwege of the Federal Reserve Bank of New York, and
Paul Kleiman of the Federal Reserve Bank of New York
(75K PDF) -- 6 pages -- May 1996 Financial Innovation and the Management and Regulation of Financial Institutions
by Robert C. Merton of Harvard University
(1,310K PDF) -- 21 pages -- June 1995
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