Recently Mended Links to Papers

This is a list of papers who's links had become broken and have had their links recently fixed.  If you wanted a paper but could not download it, then you can check this list to see if it has become available once again.

If you would like to report that a paper fails to download, then I would kindly appreciate hearing of the page with the broken link (e.g., pp_models_64) plus (if you know it) a new source.  Contact Me.  Thanks.

Mended Links to Papers (sorted by date)

Week of April-20

• The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models

Week of March-30

• Order Imbalance, Liquidity, and Market Returns
• Estimating Structural Bond Pricing Models

Week of March-23

• Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices

Week of March-9

• The Paradox of Priority
• Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market
• Credit Risk and Macroeconomic Dynamics
• Default Contagion in Large Homogeneous Portfolios
• Correlated Defaults in Intensity-Based Models

Week of March-2

• A Comparison Between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing

Week of February-17

• Laying off Credit Risk: Loan Sales versus Credit Default Swaps
• Pricing Callable Bonds with Stochastic Interest Rate and Stochastic Default Risk: A 3D Finite Difference Model
• A Model of Corporate Bond Pricing with Liquidity and Marketability Risk

Week of February-10

• A Structural Credit-Risk Model based on a Jump Diffusion
• The Effect of Fair vs. Book Value Accounting on Banks
• Leverage, Options Liabilities and Corporate Bond Pricing

Week of January-20

• Debt Subordination and The Pricing of Credit Default Swaps
• Accounting Quality and Debt Contracting

Week of December-16

• Efficient Pricing Routines of Credit Default Swaps in a Structural Default Model with Jumps
• Credit Barrier and Dynamic Correlation Techniques for Pricing CDOs of SMEs

Week of December-2

• Interaction of Market and Credit Risk: An analysis of inter-risk correlation and risk aggregation

Week of November-25

• The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
• Reverse Engineering Banks Financial Strength Ratings Using Logical Analysis of Data
• A Comparative Analysis of CDO Pricing Models

Week of October-21

• A Note on the Correlation Smile

Week of September-30

• Recovery of Face Value at Default: Empirical evidence and implications for credit risk pricing
• Copula Based Simulation Procedures for Pricing Basket Credit Derivatives
• Infinite-mean Models and the LDA for Operational Risk

Week of September-9

• Modeling Default Risk: A new structural approach
• Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence

Week of September-2

• Absolute Priority Rule Violations in Bankruptcy
• Absolute Priority Rule Violations, Credit Rationing, and Efficiency
• Information Precision and the Term Structure of Credit Spreads: An Empirical Examination
• The Effects of Estimation Error on Measures of Portfolio Credit Risk

Week of August-19

• Understanding Stochastic Exposures and LGDs in Portfolio Credit Risk
• The Choice Among Traditional Chapter 11, Prepackaged Bankruptcy, and Out-of-Court Restructuring
• The Implications of Implied Correlation
• Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is fixed-income markets information sufficient to evaluate credit risk
• Consultative Paper on Credit Stress-Testing
• Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
• Time-to-Default: Life Cycle, Global and Industry Cycle Impacts
• Default Correlation in Reduced-Form Models
• Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty
• A LIBOR Market Model with Default Risk
• Contagion in Latin America: An analysis of credit derivatives
• Default Premia on European Government Debt
• Modelling European Credit Spreads
• The Costs of Financial Distress across Industries
• Risk and Return in Fixed Income Arbitrage: Nickels in front of a steamroller?
• How to Invest Optimally in Corporate Bonds: A reduced-form approach

Week of August-5

• Regularization Algorithms for Transition Matrices
• Avoiding the Rating Bounce: Why rating agencies are slow to react to new information
• A Survey of Cyclical Effects in Credit Risk Measurement Models
• Ratings Versus Market-based Measures of Default Risk in Portfolio Governance
• An Integrated Market and Credit Risk Portfolio Model
• Building a Credit Risk Valuation Framework for Loan Instruments

Week of July-22

• Correlated Defaults and the Valuation of Defaultable Securities
• Credit Derivatives with Recovery of Market Value for Multiple Firms

Week of July-8

• Understanding Relationships Using Copulas
• Modeling Default Dependence with Threshold Models

Week of June-17

• What Do We Know About Loss-Given-Default?
• Liquidity Discovery and Asset Pricing

Week of June-3

• Do Capital Adequacy Requirements Reduce Risks in Banking?
• Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risk
• Risk Trading, Network Topology, and Banking Regulation

Week of May-27

• A Simple Model for Valuing Default Swaps when both Market and Credit Risk are Correlated
• The Joint Estimation of Term Structures and Credit Spreads
• An Empirical Investigation in Credit Spread Indices
• Modelling European Credit Spreads

Week of May-20

• Global Sensitivity Analysis for Latent Factor Credit Risk Models
• Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective
• 1986-2002 Credit Risk Loss Experience Study: Private Placement Bonds
• From Fault Tree to Credit Risk Assessment: An Empirical Attempt
• Estimating Default Probabilities Implicit in Equity Prices
• The Identification of Corporate Distress in UK Industrials: A Conditional Probability Analysis Approach

Week of April-29

• Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
• Loan Equivalents for Revolving Credits and Advised Lines

Week of April-1

• Implications of Correlated Default For Portfolio Allocation to Corporate Bonds
• A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans

Week of March-4

• Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk

Week of December-10

• A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
• The Dependence of Recovery Rates and Defaults
• Default Implied Volatility for Credit Spread
• Determinants of Spreads on Sovereign Bank Loans: The role of credit history
• What Do We Know about Capital Structure? Some Evidence from International Data
• Liquidity Risk and Expected Stock Returns
• Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
• Can a Coherent Risk Measure be Too Subadditive?

Week of November-19

• Bayesian Methods for Improving Credit Scoring Models
• The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

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Last modified: May 16, 2008