These are all the papers that have the " 91G40 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) 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 CVA and Wrong Way Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(357K PDF) -- 25 pages -- August 1, 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 Default Clustering in Large Portfolios: Typical and atypical 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
(429K PDF) -- 33 pages -- April 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 Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis
by Konstantinos Spiliopoulos of Brown University, and
Richard B. Sowers of the University of Illinois at Urbana-Champaign
(337K PDF) -- 27 pages -- June 15, 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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