These are all the papers that have the " 91G40 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Brunnermeier, Markus, Laurent Clerq, Martin Scheicher, "Assessing contagion risks in the CDS market", Banque de France - Financial Stability Review, No. 17, (April 2013), pp. 123-134. Optimal Right and Wrong Way Risk
by Ignacio Ruiz of iRuiz Consulting,
Ricardo Pachon of Credit Suisse, and
Piero del Boca of Credit Suisse
(405K PDF) -- 27 pages -- April 2013 Collateralized CVA Valuation with Rating Triggers and Credit Migrations
by Tomasz R. Bielecki of Illinois Institute of Technology,
Igor Cialenco of Illinois Institute of Technology, and
Ismail Iyigunler of Illinois Institute of Technology
(310K PDF) -- 30 pages -- March 2013 Collateral-Enhanced Default Risk
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(2434K PDF) -- 12 pages -- February 19, 2013 Collateral and Credit Issues in Derivatives Pricing
by John Hull of University of Toronto, and
Alan White of University of Toronto
(444K PDF) -- 25 pages -- January 2013 LIBOR vs OIS: The Derivatives Discounting Dilemma
by John Hull of University of Toronto, and
Alan White of University of Toronto
(385K PDF) -- 27 pages -- January 2013 CDS Pricing under Basel III: Capital relief and default protection
by Chris Kenyon of Lloyds Banking Group, and
Andrew Green of Lloyds Banking Group
(812K PDF) -- 16 pages -- November 22, 2012 Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
by Damiano Brigo of King's College London,
Cristin Buescu of King's College London,
Andrea Pallavicini of Banca IMI, and
Qing Liu of King's College London
(119K PDF) -- 8 pages -- July 17, 2012 CVA and Wrong Way Risk
by John Hull of University of Toronto, and
Alan White of University of Toronto
(468K PDF) -- 25 pages -- July 6, 2012 Determining Marginal Contributions of the Economic Capital of Credit Risk Portfolio: An analytical approach
by Marco Morone of Intesa Sanpaolo,
Anna Cornaglia of Intesa Sanpaolo, and
Giulio Mignola of Intesa Sanpaolo
(670K PDF) -- 17 pages -- June 2012 Examining what Best Explains Corporate Credit Risk: Accounting-based versus market-based models
by Antonio Trujillo-Ponce of Universidad Pablo de Olavide de Sevilla,
Reyes Samaniego-Medina of Universidad Pablo de Olavide de Sevilla, and
Clara Cardone-Riportella of Universidad Carlos III de Madrid
(184K PDF) -- 44 pages -- April 2012 Default Clustering in Large Portfolios: Typical events
by Kay Giesecke of the Stanford University,
Kostas Spiliopoulos of the Brown University, and
Richard Sowers of the University of Illinois at Urbana-Champaign
(385K PDF) -- 33 pages -- March 4, 2012 Structural Credit Risk using Time-changed Brownian Motions: A tale of two models
by Tom R. Hurd of McMaster University, and
Zhuowei Zhou of McMaster University
(848K PDF) -- 23 pages -- September 13, 2011 Large Portfolio Asymptotics for Loss from Default
by Kay Giesecke of Stanford University,
Konstantinos Spiliopoulos of Brown University,
Richard B. Sowers of University of Illinois at Urbana-Champaign, and
Justin Sirignano of Stanford University
(1267K PDF) -- 26 pages -- September 7, 2011 Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis
by Konstantinos Spiliopoulos of Brown University, and
Richard B. Sowers of University of Illinois at Urbana-Champaign
(393K PDF) -- 30 pages -- August 11, 2011 Pitfalls in Modeling Loss Given Default of Bank Loans
by Marc Gürtler of the Braunschweig Institute of Technology, and
Martin Hibbeln of the Braunschweig Institute of Technology
(640K PDF) -- 31 pages -- May 12, 2011 Collateralized CDS and Default Dependence: Implications for the central clearing
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(511K PDF) -- 17 pages -- April 11, 2011 The Impact of Margin Interest on the Valuation of Credit Default Swaps
by Yu Hang Kan of the Columbia University, and
Claus Pedersen of the Barclays Capital
(950K PDF) -- 38 pages -- March 4, 2011 Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne & Sharif University of Technology
(950K PDF) -- 38 pages -- February 18, 2011 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii of the University of Tokyo, and
Akihiko Takahashi of the University of Tokyo
(268K PDF) -- 31 pages -- February 15, 2011 Conditional Default Probability and Density
by Nicole El Karoui of the Centre de Mathématiques Appliquées,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne,
Ying Jiao of the Université Paris 7, and
Behnaz Zargari of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne
(194K PDF) -- 18 pages -- January 6, 2011 Credit Rating Dynamics in the Presence of Unknown Structural Breaks
by Haipeng Xing of the State University of New York, Stony Brook,
Ning Sun of the State University of New York, Stony Brook, and
Ying Chen of MEAG New York Corp.
(294K PDF) -- 31 pages -- November 18, 2010 Validation of Credit Default Probabilities via Multiple Testing Procedures
by Sebastian Döhler of the University of Applied Sciences Darmstadt
(757K PDF) -- 35 pages -- June 25, 2010 Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010 An Econometric Model to Quantify Benchmark Downturn LGD on Residential Mortgages
by Marco Morone of Intesa Sanpaolo, and
Marco Cornaglia of Intesa Sanpaolo
(499K PDF) -- 28 pages -- May 28, 2010 Corporate Bond Defaults are Consistent with Conditional Independence
by Florian Kramer of Allianz Investment Management SE, and
Gunter Löffler of Ulm University
(294K PDF) -- 31 pages -- April 2010 Modelling the Bid and Ask Prices of Illiquid CDSs
by Michael Walker of the University of Toronto
(338K PDF) -- 33 pages -- April 19, 2010 Simulating Multiple Defaults and Migration II: Credit value adjustment of credit default swaps
by Chuang Yi of the Royal Bank of Canada
(1,535K PDF) -- 26 pages -- April 14, 2010 Credit Risk Modelling with Shot-noise Processes
by Raquel M. Gaspar of the Technical University of Lisbon, and
Thorsten Schmidt of Chemnitz University of Technology
(1,147K PDF) -- 25 pages -- April 4, 2010 Sample-path Large Deviations in Credit Risk
by Vincent Leijdekker of the University of Amsterdam & ABN AMRO,
Michel Mandjes of the University of Amsterdam, and
Peter Spreij of the University of Amsterdam
(286K PDF) -- 22 pages -- September 30, 2009 Capital Allocation for Credit Portfolios with Kernel Estimators
by Dirk Tasche of Lloyds Banking Group
(366K PDF) -- 21 pages -- November 2007
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