JEL Classification G24
"Investment Banking; Venture Capital; Brokerage"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G24 classification. (sorted by date) An Economic Examination of Collateralization in Different Financial Markets
by Tim Xiao of Canadian Imperial Bank of Commerce (CIBC), Toronto, Canada
(336K PDF) -- 41 pages -- May 1, 2013 The Art of PD Curve Calibration
by Dirk Tasche of Financial Services Authority, UK
(518K PDF) -- 36 pages -- January 24, 2013 Compensation Incentives of Credit Rating Agencies and Predictability of Changes in Bond Ratings and Financial Strength Ratings
by Andreas Milidonis of University of Cyprus
(538K PDF) -- 48 pages -- September 26, 2012 Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
by Sebastian Löhr of Leibniz University of Hannover,
Olga Mursajew of Leibniz University of Hannover,
Daniel Rösch of Leibniz University of Hannover, and
Harald Scheule of University of Technology, Sydney
(215K PDF) -- 23 pages -- June 28, 2012 Empirical Evidence for the Structural Recovery Model
by Alexander Becker of University of Duisburg-Essen, Germany,
Alexander F.R. Koivusalo of Koivusalo Capital, Sweden, and
Rudi Schäfer of University of Duisburg-Essen, Germany
(163K PDF) -- 18 pages -- March 14, 2012 Milidonis, Andreas, Konstantinos Stathopoulos, "Do US Insurance Firms Offer the 'Wrong' Incentives to Their Executives?", Journal of Risk and Insurance, Vol. 78, No. 3, (September 2011), pp. 643-672. Becker, Bo, and Todd Milbourn, " How did Increased Competition Affect Credit Ratings?", Journal of Financial Economics, Vol. 101, No. 3, (September 2011), pp. 493-514. Credit Ratings and Credit Risk
by Jens Hilscher of the Brandeis University, and
Mungo Wilson of the Oxford University
(454K PDF) -- 54 pages -- June 2011 Dependence of Defaults and Recoveries in Structural Credit Risk Models
by Rudi Schäfer of the University of Duisburg-Essen, and
Alexander F.R. Koivusalo of Danske Capital
(2,413K PDF) -- 19 pages -- March 30, 2011 Calibration of Structural and Reduced-form Recovery Models
by Alexander F.R. Koivusalo of Danske Capital & the University of Duisburg-Essen, and
Rudi Schäfer of the University of Duisburg-Essen
(452K PDF) -- 16 pages -- February 23, 2011 The Predictive Accuracy of Credit Ratings: Measurement and Statistical Inference
by Walter Orth of the University of Cologne
(272K PDF) -- 20 pages -- February 16, 2011 Regulation of Credit Rating Agencies: Evidence from recent crisis
by Mai Hassan of the German University in Cairo, and
Christian Kalhoefer of the German University in Cairo
(132K PDF) -- 15 pages -- February 2011 Structured Finance Influence on Financial Market Stability: Evaluation of current regulatory developments
by Sebastian A. Schuetz of the University of Lüneburg
(1,187K PDF) -- 43 pages -- June 2010 Güttler, André and Peter Raupach, "The Impact of Downward Rating Momentum", Journal of Financial Services Research, Vol. 37, No. 1, (February 2010), pp. 1-23. Credit Gap Risk in a First Passage Time Model with Jumps
by Natalie Packham of the Frankfurt School of Finance & Management,
Lutz Schloegl of Nomura International Plc, and
Wolfgang Schmidt of the Frankfurt School of Finance & Management
(625K PDF) -- 39 pages -- November 2009 Systematic Risk of CDOs and CDO Arbitrage
by Alfred Hamerle of the University of Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Hans-Jochen Schropp of the University of Regensburg
(428K PDF) -- 52 pages -- October 2009 Credit Dynamics in a First Passage Time Model with Jumps
by Natalie Packham of the Frankfurt School of Finance & Management,
Lutz Schlögl of Nomura International Plc, and
Wolfgang M. Schmidt of the Frankfurt School of Finance & Management
(564K PDF) -- 34 pages -- September 2009 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
(195K PDF) -- 57 pages -- March 29, 2008 Do Unsolicited Ratings Contain a Strategic Rating Component? Evidence from S&P
by Christina E. Bannier of Frankfurt School of Finance and Management,
Patrick Behr of Goethe-University Frankfurt, and
André Güttler of the International University, Rheingaustr
(238K PDF) -- 30 pages -- February 28, 2008 Parnes, Dror, "Time Series Patterns in Credit Ratings", Finance Research Letters, Vol. 4, No. 4, (December 2007), pp. 217-226. Estimation of the Default Risk of Publicly Traded Canadian Companies
by Georges Dionne of HEC Montréal,
Sadok Laajimi of HEC Montréal,
Sofiane Mejri of HEC Montréal, and
Madalina Petrescu of HEC Montréal
(605K PDF) -- 63 pages -- August 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 Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
by Edward Altman of New York University,
Amar Gande of Vanderbilt University, and
Anthony Saunders of New York University
(266K PDF) -- 45 pages -- December 2004 Credit Ratings and Stock Liquidity
by Elizabeth R. Odders-White of the University of Wisconsin, and
Mark J. Ready of the University of Wisconsin
(571K PDF) -- 58 pages -- October 2004 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 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 An International Survey of Stress Tests
by Ingo Fender of the Federal Reserve Bank of New York,
Michael S. Gibson of the Federal Reserve Bank of New York, and
Patricia C. Mosser of the Federal Reserve Bank of New York
(67K PDF) -- 6 pages -- November 2001 Mahoney, James M., " Risk Management of Correlation Products", European Financial Management, Vol. 3, No. 2, (July 1997), pp. 155-174.
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