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Modelling Extremal Events for Insurance and Finance
by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch, Springer, (October 15, 2004), Hardcover, 655 pages
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The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
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| | These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the L51 classification. (sorted by date) 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 Loan-Portfolio Quality and the Diffusion of Technological Innovation
by Robert Hauswald of American University, and
Robert Marquez of the University of Maryland
(305K PDF) -- 33 pages -- March 2004
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