One of the great frustrations for a researcher is finding a preprint with a "new" title only to later discover that it is merely an update to some previous paper. The papers listed on this page alone account for about 8% of all papers listed on this site. If one assumes that only about half of such renamed papers have been captured here, then the estimate would be that about 16% of preprints have their titles changed between the working paper's first draft and the title it is ultimate published under.
| | Previously titled: | | Current title: |
| 1 | A Cash Flow Based Multi-period Credit Risk Model | | A Cash Flow Based Multi-period Credit Risk Model |
| 2 | A General Formula for Valuing Defaultable Securities | | A General Formula for Pricing Defaultable Claims |
| 3 | A Hidden Markov Model of Default Interaction | | Analysis of Default Data Using Hidden Markov Models |
| 4 | A Model of Corporate Bond Pricing with Liquidity/Marketability Risk --and before that-- Debt Valuation and Marketability Risk | | A Model of Corporate Bond Pricing with Liquidity and Marketability Risk |
| 5 | A Model of Swap Spreads and Corporate Bond Yields | | Decomposing Swap Spreads |
| 6 | A New Approach to the Modelling and Pricing of Correlation Credit Derivatives | | A Dynamic Approach to the Modelling of Correlation Credit Derivatives Using Markov Chains |
| 7 | A Note on Pricing Options on Defaultable Stocks | | Pricing Options on Defaultable Stocks |
| 8 | A Semi-Analytical Parametric Model for Credit Defaults | | A Semi-Analytical Parametric Model for Dependent Defaults |
| 9 | A Simple Approach to Estimate Recovery Rates with APR Violation from Debt Spreads | | Pricing the Risk of Recovery in Default with APR Violation |
| 10 | A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk --and before that-- A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-rate, and Default Risk | | An Integrated Model for Hybrid Securities |
| 11 | A Simple Model of Credit Spreads with Incomplete Information --and before that-- Credit Spreads Modeling: Randomized Merton Model | | Randomized Merton Model on Credit Spreads |
| 12 | A Simple Multi-Factor "Factor Adjustment" for the Treatment of Diversification in Credit Capital Rules | | A Simple Multi-Factor “Factor Adjustment” for the Treatment of Credit Capital Diversification |
| 13 | A Solvency Based Multi-period Corporate Liquidity Crisis Prediction Model | | A Solvency Based Multi-period Corporate Short-term Credit Risk Model |
| 14 | A Structural Model with Random Default Boundary | | A Structural Model with Unobserved Default Boundary |
| 15 | A Two-dimensional CIR++ Shifted Diffusion Model with Automatic Calibration to Credit Default Swaps and Interest-Rate Derivatives Data | | Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model |
| 16 | An Empirical Comparison of Default Swap Pricing Models | | Pricing Default Swaps: Empirical Evidence |
| 17 | An Incomplete-Market Term-Structure Model for Collateralized Debt Obligations | | An Incomplete-Market Model for Collateralized Debt Obligations |
| 18 | An Indirect Estimate of Transaction Costs for Corporate Bonds | | Corporate Yield Spreads and Bond Liquidity |
| 19 | Application of Fourier Inversion Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk | | On the Applicability of Fourier Based Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk |
| 20 | Arbitrage Pricing of Convertible Securities with Credit Risk | | Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds |
| 21 | Are Jumps in Corporate Bond Yields Priced? Modeling Contagion via the Updating of Beliefs | | Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs |
| 22 | Capital Ratios and Credit Ratings as Predictors of Bank Failures | | Capital Ratios as Predictors of Bank Failure |
| 23 | CDO Models -- Towards the Next Generation: Incomplete Markets and Term Structure | | CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions |
| 24 | Comonotonic Default Quote Paths | | CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions |
| 25 | Contagion: The Effects of Default Correlation and Firm Characteristics on Credit Spreads | | The Effects of Default Correlation on Corporate Bond Credit Spreads |
| 26 | Corporate Bankruptcy: Do Debt Covenant and Disclosure Quality Measures Provide Information Beyond Options and Other Market Variables? | | Assessing the Probability of Bankruptcy |
| 27 | Correlated Defaults and the Valuation of Defaultable Securities | | Common Failings: How Corporate Defaults are Correlated |
| 28 | Correlated Defaults in Reduced-Form Models | | Default Correlation in Reduced-Form Models |
| 29 | Counterparty Risk and the Effects on P&L | | The Pricing Implications of Counterparty Risk for Non-linear Credit Products |
| 30 | Counterparty Risk Valuation Under Correlation Between Interest-rates and Default | | Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default |
| 31 | Credit Barrier Models | | Discrete Credit Barrier Models |
| 32 | Credit Derivatives in Models with Interacting Default Intensities: a Markovian Approach --and before that-- Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach | | Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities |
| 33 | Credit Information from Equity Option Prices | | Separating the Components of Default Risk: A Derivative-Based Approach (Job Market Paper) |
| 34 | Credit Risk and Parent-subsidiary Links | | Ownership Links, Leverage and Credit Risk |
| 35 | Credit Risk Assessment using Statistical and Machine Learning Methods as an Ingredient for Financial Intermediaries Risk Modeling | | Credit Risk Assessment using Statistical and Machine Learning: Basic Methodology and Risk Modeling Applications |
| 36 | Credit Risk Changes: Common Factors and Firm-Level Fundamentals | | Corporate Credit Risk Changes: Common Factors and Firm-Level Fundamentals |
| 37 | Credit Risk Management in Banks: Hard information, soft Information and manipulation | | The Organization of Credit Risk Management in Banks: Hard versus Soft Information |
| 38 | Credit Risk Modeling: A General Framework | | The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models |
| 39 | Dealing with Distress in Valuation | | The Cost of Distress: Survival, Truncation Risk and Valuation |
| 40 | Default Compensator, Incomplete Information, and the Term Structure of Credit Spreads | | Default and Information |
| 41 | Default Correlation with Considering Jumps (job market paper) | | The Importance of Simultaneous Jumps in Default Correlation (job market paper) |
| 42 | Default Risk and Diversification: Theory and Applications | | Default Risk and Diversification: Theory and Empirical Implications |
| 43 | Default Risk in a Network Economy | | Credit Risk in a Network Economy |
| 44 | Default Risk, Shareholders' Advantage and Stock Returns | | Default Risk, Shareholder Advantage and Stock Returns |
| 45 | Default Risk, the Real Exchange Rate and Income Fluctuations in Emerging Economies | | Default Risk and Income Fluctuations in Emerging Economies |
| 46 | Dependence Modelling, Model Risk and Model Calibration in Models of Portfolio Credit Risk | | Dependent Defaults in Models of Portfolio Credit Risk |
| 47 | Dependent Default in Intensity-Based Models | | Correlated Defaults in Intensity-Based Models |
| 48 | Differential Equations for Quantile Functions | | Quantile Mechanics |
| 49 | Do Sophisticated Investors Understand Accounting Quality? Evidence from Bank Loans | | Accounting Quality and Debt Contracting |
| 50 | Dynamic Credit Portfolio Derivatives Pricing | | Pricing Interest Rate-Sensitive Credit Portfolio Derivatives |
| 51 | Dynamic Hedging of Synthetic CDO Tranches with Spread- and Contagion Risk | | Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion |
| 52 | Dynamical Analysis of the Yield Spread Surface Defined on the Duration - Credit Quality Space | | Dynamical Analysis of Corporate Bonds based on the Yield Spread Term-Quality Surface |
| 53 | Economic and Regulatory Capital What is the Difference? | | Economic and Regulatory Capital in Banking: What is the Difference? |
| 54 | Estimating the Term Structure of Credit Spreads: Callable Corporate Debt | | Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data |
| 55 | Estimation of Default Probability by Three-Factor Structural Model | | Are Corporates' Target Leverage Ratios Time-Dependent? |
| 56 | Fast Analytical Approach to Pricing Synthetic CDOs | | HPM+: a fast analytical model to pricing synthetic CDOs |
| 57 | Feasting on a Corporate Carcass: Bluffing, Bondmail, and Reputation in the Market for Distressed-Firm Debt | | Reputation and the Market for Distressed-Firm Debt |
| 58 | Fundamentals-Based versus Market-Based Cross-Sectional Models of CDS Spreads | | Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads |
| 59 | Heterogeneity in Ratings Migration | | Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration |
| 60 | How Data Quality of Macro Aggregates Affects Sovereign Risk: Estimating and Explaining the link (Job Market Paper) | | Estimating the Effects of Information Quality of Macro Aggregates on Sovereign Risk (Job Market Paper) |
| 61 | How Large is the NPV of Financial Distress Costs? | | The Risk-Adjusted Cost of Financial Distress |
| 62 | Improving Counterparty Risk Management Practices | | Toward Greater Financial Stability: A Private Sector Perspective |
| 63 | Indifference Price of Defaultable Bonds with Unpredictable Recovery and Their Risk Premiums | | The Utility-Based Pricing of Defaultable Bonds and the Decomposition of Credit Risk |
| 64 | Information Reduction in Credit Risk Models | | Credit Risk Models with Incomplete Information |
| 65 | Jumps and Recovery Rates Inferred from Corporate CDS Premia | | The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk |
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