Downloadable Papers (sorted by date)
NEW: The Top 20 books referenced/cited in these (below listed) papers.
I've put a gray background on the top five most browsed papers in this category. (April-1)
A Novel Methodology for Credit Portfolio Analysis: Numerical approximation approach
by Yasushi Takano of Mizuho-DL Financial Technology, and
Jiro Hashiba of Mizuho-DL Financial Technology
(3,043K PDF) -- 60 pages -- April 24, 2008
Risk Contributions of Systematic Factors in Portfolio Credit Risk Models
by Dan Rosen of the Fields Institute, and
David Saunders of the University of Waterloo
(349K PDF) -- 37 pages -- April 23, 2008
Strategic Default Jump as Impulse Control in Continuous Time
by Hisashi Nakamura of the University of Tokyo
(334K PDF) -- 28 pages -- February 18, 2008
Randomization in the Default Boundary Problem
by Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics, Inc., and
Wanhe Zhang of the University of Toronto
(119K PDF) -- 9 pages -- February 12, 2008
Credit Risk Assessment Considering Variations in Exposure: Application to commitment lines
by Shigeaki Fujiwara of the Bank of Japan
(303K PDF) -- 34 pages -- February 2008
A Useful Result on First Passage OU Process
by Chuang Yi of McMaster University
(168K PDF) -- 10 pages -- January 2008
Convertible Bonds in a Defaultable Diffusion 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 & Institut Europlace de Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(407K PDF) -- 266 pages -- December 23, 2007
Defaultable Options in a Markovian Intensity Model of Credit Risk
by Tom Bielecki of Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry,
Monique Jeanblanc of the Université d'Évry,and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(371K PDF) -– 23 page -- December 23, 2007
Dynamic Credit Portfolio Modelling in Structural Models with Jumps
by Rüdiger Kiesel of Ulm University & London School of Economics, and
Matthias Scherer of TU Munich
(289K PDF) -- 28 pages -- December 18, 2007
Immersion Property and Credit Risk Modelling
by Monique Jeanblanc of Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Yann Le Cam of Université d'Évry Val d'Essonne & French Treasury
(285K PDF) -- 22 pages -- December 13, 2007
The Correlation-Neutral Measure for Portfolio Credit
by Kay Giesecke of Stanford University
(229K PDF) -- 24 pages -- November 14, 2007
Reduced Form Modelling for Credit Risk
by Monique Jeanblanc of the Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Yann Le Cam of the Université d'Évry Val d'Essonne & Institut Europlace de Finance
(296K PDF) -- 21 pages -- November 12, 2007
Computational Techniques for Basic Affine Models of Portfolio Credit Risk
by Andreas Eckner of Stanford University
(320K PDF) -- 39 pages -- November 12, 2007
Flexing the Default Barrier
by Gregor Dorfleitner of the University of Regensburg,
Paul Schneider of Vienna University of Economics and Business Administration, and
Tanja Veža of Vienna University of Economics and Business Administration
(7,397K PDF) -- 26 pages -- November 7, 2007
Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios
by Dan Rosen of the Fields Institute for Research in Mathematical Sciences, and
David Saunders of the University of Waterloo
(1,332K PDF) -– 47 pages -- November 2007
Firm Heterogeneity and Credit Risk Diversification
by Samuel G. Hanson of Harvard University,
M. Hashem Pesaran of the University of Cambridge & USC, and
Til Schuermann of the Federal Reserve Bank of New York and Wharton Financial Institutions Center
(527K PDF) -- 46 pages -- November 2007
Credit Risk Modelling Using Time-Changed Brownian Motion
by Tom R. Hurd of McMaster University
(239K PDF) –- 19 pages -- September 18, 2007
Default Distribution and Credit Market Implications
by Shintaro Mori of Kitasato University,
Kenji Kitsukawa of Keio University, and
Masato Hisakado of Standard and Poor's
(296K PDF) -- 17 pages -- September 18, 2007
Perpetual Convertible Bonds with Credit Risk
by Christoph Kühn of Goethe-Universität, and
Kees van Schaik of Goethe-Universität
(479K PDF) -- 29 pages -- August 31, 2007
On the Parameterization of the CreditRisk+ Model for Estimating Credit Portfolio Risk
by Antoine Vandendorpe of Fortis,
Ngoc-Diep Ho of the Université Catholique de Louvain,
Steven Vanduffel of Katholieke Universiteit Leuven, and
Paul Van Dooren of the Université Catholique de Louvain
(236K PDF) -– 24 pages -- August 9, 2007
A Radial Basis Function Approach to Credit Barrier Model
by Humphrey Wong of City University of Hong Kong,
Pascal Baup of Lehman Brothers (Toyko), and
Michael Wong of City University of Hong Kong
(141K PDF) -- 18 pages -- August 2007
Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
by Jin-Chuan Duan of the University of Toronto, and
Andras Fulop of the University of Toronto
(225K PDF) -– 30 pages -- July 2007
A New Structural Approach to the Default Risk of Companies
by Pouyan Mashayekh Ahangarani of the University of Southern California
(76K PDF) -- 25 pages -- June 2007
A Note on Lando's Formula and Conditional Independence
by Xin Guo of the University of California at Berkeley,
Robert A. Jarrow of Cornell University, and
Christian Menn of Cornell University
(200K PDF) –- 10 pages -- May 29, 2007
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
by Andrei V. Lopatin of NumeriX LLC, and
Timur Misirpashaev of NumeriX LLC
(584K PDF) –- 27 pages -- May 3, 2007
Valuation of Risky Debt: a Multi-Period Bayesian Framework
by Leonid V. Philosophov of the Moscow Committee of Bankruptcy Affairs
(317K PDF) -- 22 pages -- March 26, 2007
Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
by Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(206K PDF) -- 17 pages -- March 22, 2007
Economic Capital Assessment via Copulas: Aggregation and Allocation of Different Risk Types
by Marco Morone of Intesasanpaolo bank,
Anna Cornaglia of Intesasanpaolo bank, and
Giulio Mignola of Intesasanpaolo bank
(941K PDF) –- 20 pages -- March 2, 2007
Modeling the Distribution of Credit Losses with Observable and Latent Factors
by Gabriel Jiménez of the Bank of Spain, and
Javier Mencía of the Bank of Spain
(498K PDF) -- 93 pages -- March 2007
Computation of VaR and VaR Contribution in the Vasicek Portfolio Credit Loss Model: A Comparative Study
by Xinzheng Huang of TU Delft and Rabobank,
Cornelis W. Oosterlee of TU Delft and CWI, and
Mace A. Mesters of Rabobank
(292K PDF) –- 19 pages -- March 2007
Multi-Period Corporate Failure Prediction With Stochastic Covariates
by Darrell Duffie of Stanford University,
Leandro Saita of Stanford University, and
Ke Wang of the University of Tokyo
(482K PDF) -- 32 pages -- March 2007
Don't Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions
by Jan Annaert of the University of Antwerp,
Crispiniano Garcia Joao Batista of Dexia Bank,
Jeroen Lamoot of the Belgian Banking Finance and Insurance Commission (CBFA), and
Gleb Lanine of Dexia Bank
(315K PDF) –- 30 pages -- February 2007
Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
by Hayette Gatfaoui of Mont-Saint-Aignan Cedex France & the University of Technology, Sydney
(1,434K PDF) –- 51 pages -- February 2007
Cross- and Autocorrelation in Multi-period Credit Portfolio Models
by Christoph K.J. Wagner of UniCredit MIB
(249K PDF) –- 17 pages -- January 22, 2007
Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model
by Damiano Brigo of Banca IMI,
Andrea Pallavicini of Banca IMI,and
Roberto Torresetti of Banca IMI
(313K PDF) -- 35 pages -- January 12, 2007
Modeling Defaultable Securities with Recovery Risk
by Lotfi Karoui of McGill University
(456K PDF) -- 52 pages -- January 2007
Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers of ETH Zurich, and
Philipp Schönbucher of ETH Zurich
(268K PDF) -- 25 pages -- December 2006
Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications
by Jorge A. Chan-Lau of the International Monetary Fund, and
Andre O. Santos of the International Monetary Fund
(513K PDF) -- 13 page -- December 2006
Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
by Olivier Le Courtois of EM Lyon, and
François Quittard-Pinon of the University of Lyon 1
(357K PDF) -- 34 pages -- November 22, 2006
A Simple Jump to Default Model
by Dennis Yang – Unaffiliated
(390K PDF ) -- 28 pages -- November 22, 2006
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
by Siem Jan Koopman of Vrije Universiteit Amsterdam,
André Lucas of Vrije Universiteit Amsterdam, and
André Monteiro of Vrije Universiteit Amsterdam
(1,094K PDF) -- 45 pages -- November 17, 2006
Beyond Hazard Rates: A new framework for credit-risk modeling
by Dorje C. Brody of the Imperial College,
Lane P. Hughston of King's College London, and
Andrea Macrina of King's College London
(339K PDF) –- 27 pages -- November 2006
Modeling Credit Risk for SMEs: Evidence from the US market
by Edward I. Altman of New York University, and
Gabriele Sabato of the University of Rome "La Sapienza"
(333K PDF) -- 43 pages -- November 2006
Modeling Portfolio Defaults Using Hidden Markov Models with Covariates
by Konrad Banachewicz of Vrije Universiteit,
Aad van der Vaart of Vrije Universiteit, and
André Lucas of Vrije Universiteit
(233K PDF) -- 24 pages -- October 28, 2006
A Multivariate Jump-Driven Financial Asset Model
by Elisa Luciano of the University of Turin and ICER, and
Wim Schoutens of Katholieke Universiteit Leuven
(915K PDF) –- 33 pages -- October 16, 2006
A Structural Model with Unobserved Default Boundary
by Thorsten Schmidt of the University of Leipzig
(282K PDF) -- 21 pages -- October 9, 2006
Credit Risk in a Network Economy
by Henry Schellhorn of Claremont Graduate University, and
Didier Cossin of IMD, Lausanne
(343K PDF) -- 24 pages -- October 4, 2006
Monte Carlo Simulation of Economic Capital Requirement And Default Protection Premium
by Amit Kulkarni of the National Institute of Bank Management
(834K PDF) -- 35 pages -- September 20, 2006
On the Term Structure of Loss Distributions: A forward model approach
by Jakob Sidenius of JP Morgan
(171K PDF) -- 14 pages -- September 15, 2006
Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence
by Leif Andersen of Banc of America Securities
(209K PDF) –- 28 pages -- September 9, 2006
Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions
by Stephen Figlewski of New York University,
Halina Frydman of New York University, and
Weijian Liang of New York University
(198K PDF) -- 55 pages -- September 5, 2006
A Jump to Default Extended CEV Model: An application of Bessel processes
by Peter Carr of Bloomberg & NYU Courant Institute, and
Vadim Linetsky of Northwestern University
(284K PDF) –- 25 pages -- September 2006
Multi-Period Defaults and Maturity Effects on Economic Capital in a Ratings-Based Default-Mode Model
by Marc Gürtler of the Technical University at Braunschweig, and
Dirk Heithecker of the Technical University at Braunschweig
(1,333K PDF) -- 50 pages -- August 2006
Dependent Credit Migrations
by Jonathan Wendin of ETH Zürich, and
Alexander J. McNeil of ETH Zürich
(261K PDF) -- 25 pages -- July 2006
A New Framework for Dynamic Credit Portfolio Loss Modelling
by Jakob Sidenius of the Royal Bank of Scotland,
Vladimir Piterbarg of Barclays Capital, and
Leif Andersen of Banc of America Securities
(244K PDF) -- 31 pages -- June 18, 2006
The Skewed t Distribution for Portfolio Credit Risk
by Wenbo Hu of Bell Trading, and
Alec N. Kercheval of Florida State University
(449K PDF) -- 45 pages -- August 2007
Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
by Xinzheng Huang of TU Delft,
Cornelis W. Oosterlee of TU Delft, and
J.A.M van der Weide
(191K PDF) -– 18 pages -- June 8, 2006
Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives
by Philipp J. Schönbucher of ETH Zürich
(350K PDF) -- 27 pages -- June 2006
A Cash Flow Based Corporate Credit Portfolio Analysis: A conditional independent default approach
by Hsien-hsing Liao of National Taiwan University, and
Tsung-kang Chen of National Taiwan University
(631K PDF) -- 35 pages -- May 20, 2006
Bankruptcy, Counterparty Risk, and Contagion
by Holger Kraft of the University of Kaiserslautern, and
Mogens Steffensen of the University of Copenhagen
(424K PDF) –- 66 pages -- May 5, 2006
Jumps in Intensity Models
by Jessica Cariboni of European Commission--Joint Research Centre and Katholieke Universiteit Leuven, and
Wim Schoutens of Katholieke Universiteit Leuven
(518K PDF) –- 30 pages -- May 4, 2006
Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program
by Renzo G. Avesani of the International Monetary Fund,
Kexue Liu of the International Monetary Fund,
Alin Mirestean of the International Monetary Fund, and
Jean Salvati of the International Monetary Fund
(677K PDF) -- 35 pages -- May 2006
Modeling Default Risk: A new structural approach
by Yildiray Yildirim of Syracuse University
(150K PDF) -– 12 pages -- April 27, 2006
Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus of the University of Leipzig
(296K PDF) -- 22 pages -- January 21, 2008
Correlated Default Modeling with a Forest of Binomial Trees
by Santhosh Bandreddi of the University of California Berkeley,
Sanjiv Das of Santa Clara University, and
Rong Fan of Credit Suisse First Boston
(239K PDF) –- 34 pages -- April 6, 2006
Credit Risk Models II: Structural Models
by Abel Elizalde of CEMFI and Universidad Pública de Navarra
(385K PDF) -- 37 pages -- April 2006
Credit Risk Models III: Reconciliation Reduced - Structural Models
by Abel Elizalde of CEMFI and Universidad Pública de Navarra
(166K PDF) -- 18 pages -- April 2006
Credit Risk: Modeling and Application
by Zhen Wei of Stanford University
(413K PDF) -- 55 pages -- March 18, 2006
Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure
by Binh Dao of the Université Paris Dauphine, and
Monique Jeanblanc of the Université d'Évry
(388K PDF) -- 20 pages -- March 9, 2006
Default Intensity and Expected Recovery of Japanese Banks and "Government": New Evidence from the CDS Market
by Yoichi Ueno of the Bank of Japan, and
Naohiko Baba of the Bank of Japan
(849K PDF) -- 45 pages -- March 2006
Measuring Marginal Risk Contributions in Credit Portfolios
by Paul Glasserman of Columbia Business School
(418K PDF) –- 41 pages -- Spring 2006
Credit Risk in Pure Jump Structural Models
by Filippo Fiorani of Aristeia Capital, and
Elisa Luciano of the University of Torino
(223K PDF) -– 23 pages -- February 28, 2006
Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
by Achal Bassamboo of Stanford University,
Sandeep Juneja of the Tata Institute of Fundamental Research, and
Assaf Zeevi of Columbia University
(371K PDF) -- 39 pages -- February 20, 2006
A Simple Multi-Factor "Factor Adjustment" for the Treatment of Credit Capital Diversification
by Juan Carlos Garcia Cespedes of BBVA,
Juan Antonio de Juan Herrero of BBVA,
Alex Kreinin of Algorithmics, Inc., and
Dan Rosen of the Fields Institute
(1,399K PDF) -- 37 pages -- January 20, 2006
On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view
by Rafael Weissbach of the University of Dortmund, and
Carsten von Lieres und Wilkau of WestLB AG
(164K PDF) –- 27 pages -- December 23, 2005
On the Brody-Hughston-Macrina Approach to Modeling of Defaultable Term Structure
by Nannan Yu of the University of New South, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(263K PDF) -– 27 pages -- December 5, 2005
A Structural Credit-Risk Model based on a Jump Diffusion
by Matthias Scherer of the University of Ulm
(277K PDF) -- 28 pages -- December 2, 2005
Assessing Credit with Equity: A CEV Model with Jump to Default
by Luciano Campi of Université Paris Dauphine,
Simon Polbennikov of Tilburg University, and
Alessandro Sbuelz of the University of Verona
(297) -- 45 pages -- Nevember 2005
Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects
by Raquel M. Gaspar of Stockholm School of Economics, and
Thorsten Schmidt of the University Leipzig
(1,461K PDF) -- 61 pages -- November 2005
Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk
by Alexander J. McNeil of ETH Zürich, and
Jonathan Wendin of ETH Zürich
(456K PDF) -- 27 pages -- October 5, 2005
How Good is Merton Model at Assessing Credit Risk? Evidence from India
by Amit Kulkarni of the National Institute of Bank Management,
Alok Kumar Mishra of the National Institute of Bank Management, and
Jigisha Thakker of the National Institute of Bank Management
(302K PDF) -- 49 pages -- Fall 2005
Estimation of a Reduced-Form Credit Portfolio Model and Extensions to Dynamic Frailties
by Jean-David Fermanian of Ixis-CIB & Crest,
Martin Delloye of Ixis-CIB & Crest, and
Mohammed Sbai of Ecole Nationale des Ponts et Chaussées
(304K PDF) -- 22 pages -- September 12, 2005
On the Applicability of Fourier Based Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk
by Peter Grundke of the University of Cologne
(1,415K PDF) -- 38 pages -- September 2005
Estimating Structural Bond Pricing Models via Simulated Maximum Likelihood
by Max Bruche of the London School of Economics
(386K PDF) -- 35 pages -- August 29, 2005
Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales and Warsaw University of Technology
(232K PDF) -- 19 pages -- August 20, 2005
Analytic Improvement of the Saddle-point Approximation and Spread Risk Attribution in a Portfolio of Tranches
by Damian Taras of Dresdner Kleinwort Wasserstein,
Christopher Cloke-Browne of Dresdner Kleinwort Wasserstein, and
Evan Kalimtgis of Dresdner Kleinwort Wasserstein
(107K PDF) -- 11 pages -- August 4, 2005
Co-monotonic Default Quote Paths for Basket Evaluation
by Christian Bluhm of Credit Suisse, and
Ludger Overbeck of the University of Giessen and HypoVereinsbank
(164K PDF) -- 5 pages -- August 2005
Predictions Based on Certain Uncertainties - A Bayesian Credit Portfolio Approach
by Christoff Gössl of HypoVereinsbank AG
(300K PDF) -– 19 pages -- July 14, 2005
Dependent Events and Changes of Time
by Kay Giesecke of Cornell University, and
Pascal Tomecek of Cornell University
(243K PDF) –- 28 pages -- July 7, 2005
A Multi-period Corporate Credit Model---An Intrinsic Valuation Approach
by Tsung-kang Chen of the National Taiwan University, and
Hsien-hsing Liao of the National Taiwan University
(413K PDF) -- 35 pages -- June 26, 2005
A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model
by Pavel Okunev of LBNL and University of California at Berkeley
(108K PDF) -- 10 pages -- June 19, 2005
Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model
by Pavel Okunev of LBNL and the University of California Berkeley
(95K PDF) -- 8 pages -- June 19, 2005
Credit Risk Models with Incomplete Information
by Xin Guo of the University of California at Berkeley,
Robert A. Jarrow of Cornell University, and
Yan Zeng of Florida State University
(313K PDF) -- 20 pages -- January 21, 2007
Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality
by Alexandros Benos of the University of Piraeus, and
George Papanastasopoulos University of Peloponnese
(260K PDF) -- 34 pages -- June 2005
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
Calculating Credit Risk Capital Charges with the One-factor Model
by Susanne Emmer of Dr. Nagler & Company GmbH, and
Dirk Tasche of Deutsche Bundesbank
(225K PDF) -- 17 pages -- January 4, 2005
Tail Approximation for Credit Risk Portfolios with Heavy-tailed Risk Factors
by Krassimir Kostadinov of the Munich University of Technology
(262K PDF) -- 24 pages -- January 2005
Shape Factor Models in Credit Risk
by Philip Gisdakis of the University of Oxford
(452K PDF) -- 56 pages -- December 21, 2004
Risk Measurement with Integrated Market and Credit Portfolio Models
by Peter Grundke of the University of Cologne
(216K PDF) -- 40 pages -- December 2004
On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models
by Jin-Chuan Duan of the University of Toronto,
Genevičve Gauthier of HEC, and
Jean-Guy Simonato of HEC
(204K PDF) -- 19 pages -- November 30, 2004
On Bias of Testing Merton's Model
by Hoi Ying Wong of the Chinese University of Hong Kong, and
Ka Leung Li of the Chinese University of Hong Kong
(110K PDF) -- 9 pages -- November 8, 2004
Partial Information, Default Hazard Process, and Default-Risky Bonds
by Monique Jeanblanc of the Université d'Evry, and
Stoyan Valchev of ISB Zurich
(537K PDF) -- 32 pages -- November 4, 2004
Discrete Credit Barrier Models
by Claudio Albanese of Imperial College, London, and
Oliver X. Chen of the National University of Singapore
(369K PDF) –- 17 pages -- November 2004
A Queueing Network Approach to Portfolio Credit Risk
by Mark Davis of the Imperial College, London, and
Juan C. Esparragoza of the Imperial College, London
(545K PDF) –- 33 pages -- October 31, 2004
Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(467K PDF) -- 67 pages -- October 24, 2004
The Jarrow and Turnbull Default Risk Model - Evidence from the German Market
by Manfred Fruehwirth of Vienna University, and
Leopold Soegner of the Technical University of Vienna
(565K PDF) -- 49 pages -- October 17, 2004
Merton's Model, Credit Risk, and Volatility Skews
by John Hull of the University of Toronto,
Izzy Nelken of Super Computer Consulting Incorporated, and
Alan White of the University of Toronto
(333K PDF) -- 38 pages -- September 2004
CreditRisk+ by Fast Fourier Transform
by Mario R. Melchiori of the Universidad Nacional del Litoral
(672K PDF) -- 19 pages -- July 2004
Credit Risk Modeling with Affine Processes
by Darrell Duffie of Stanford University
(473K PDF) -- 69 pages -- June 2004
Structural Versus Reduced Form Models: A New Information Based Perspective
by Robert A. Jarrow of Cornell University, and
Philip Protter of Cornell University
(115K PDF) -- 10 pages -- May 2004
Predictions of Default Probabilities in Structural Models of Debt
by Hayne E. Leland of the University of California, Berkeley
(206K PDF) -- 31 pages -- April 22, 2004
Replication of Defaultable Claims within the Reduced-Form Framework
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales
(380K PDF) -- 47 pages -- April 13, 2004
Forecasting Credit Portfolio Risk
by Alfred Hamerle of the Universität Regensburg,
Thilo Liebig of Deutsche Bundesbank, and
Harald Scheule of the Universität Regensburg
(335K PDF) -- 44 pages -- February 2004
Modeling Credit Risk with Partial Information
by Umut Çetin of Cornell University,
Robert Jarrow of Cornell University,
Philip Protter of Cornell University, and
Yıldıray Yıldırım of Syracuse University
(103K PDF) -- 12 pages -- August 2004
Modeling Default Risk
by Peter J. Crosbie of Moody's|KMV, and
Jeffrey R. Bohn of Moody's|KMV
(480K PDF) -- 31 pages -- December 18, 2003
Common Poisson Shock Models: Applications to insurance and credit risk modelling
by Filip Lindskog of Risklab and ETH Zentrum, and
Alexander J. McNeil of ETH Zentrum
(553K PDF) –- 30 pages -- November 2003
The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models
by Ren-raw Chen of Rutgers University
(422K PDF) -- 42 pages -- October 24, 2003
An Extension of the Jarrow-Lando-Turnbull Model to Random Recovery Rate
by Pietro Millossovich of the Universitŕ degli Studi di Trieste
(572K PDF) -- 22 pages -- July 4, 2003
Interacting Defaults and Counterparty Risk: a Markovian Approach
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus of the University of Leipzig
(313K PDF) -- 20 pages -- July 2003
Numerically Stable Computation of CreditRisk+
by Hermann Haaf of Commerzbank AG,
Oliver Rei˙ of the Weierstrass Institute, and
John Schoenmakers of the Weierstrass Institute
(299K PDF) -- 11 pages -- May 12, 2003
Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model
by Uwe Wehrspohn of Heidelberg University
(337K PDF) -- 19 pages -- May 2003
Enhancing CreditRisk+
by Götz Giese of Commerzbank AG
(81K PDF) -- 9 pages -- April 2003
Essentials of Credit Portfolio Management
by Kaj Nyström of Swedbank, and
Jimmy Skoglund of Swedbank
(352K PDF) -- 58 pages -- March 20, 2003
Credit Risk and Macroeconomic Dynamics
by M. Hashem Pesaran of the University of Cambridge, and
Til Schuermann of the Federal Reserve Bank of New York
(701K PDF) -- 6 pages -- March 2003
Modelling Dynamic Portfolio Credit Risk
by Ebbe Rogge of the Imperial College of London & ABN AMRO Bank, and
Philipp J. Schönbucher of EHT Zurich
(379K PDF) -- 28 pages -- February 2003
A Framework for Collateral Risk Control Determination
by Diddier Cossin of HEC, University of Lousanne,
Zhijiang Huang of Fame and HEC, University of Lousanne,
Daniel Aunon-Nerin of Fame and HEC, University of Lousanne, and
Fernando González of the European Central Bank
(1,894K PDF) -- 48 pages -- January 2003
The Distribution of Loan Portfolio Value
by Oldrich Alfons Vasicek of KMV
(103K PDF) -- 10 pages -- December 2002
Calculating Value-at-Risk Contributions in CreditRisk+
by Hermann Haaf of Commerzbank AG, and
Dirk Tasche of RiskLab Switzerland
(246K PDF) -- 12 pages -- November 22, 2002
Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims
by Christophette Blanchet-Scalliet of the Université d'Évry Val dEssonne, and
Monique Jeanblanc of the Université d'Évry Val dEssonne
(176K PDF) -- 14 pages -- November 4, 2002
Tail Behavior of Credit Loss Distributions for General Latent Factor Models
by André Lucas of the Tinbergen Institute Amsterdam,
Pieter Klaassen of Vrije Universiteit,
Peter Spreij of the University of Amsterdam, and
Stefan Straetmans of Maastricht University
(354K PDF) -- 24 pages -- November 8, 2002
Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions
by Philipp J. Schönbucher of Bonn University
(410K PDF) -- 23 pages -- August 2002
Credit Risk Contributions to Value-at-Risk and Expected Shortfall
by Alexandre Kurth of UBS AG, and
Dirk Tasche of Deutsche Bundesbank
(244K PDF -- 12 pages -- July 31, 2002
Unifying Discrete Structural Credit Risk Models and Reduced-Form Models
by Cho-Jieh Chen of the University of Waterloo, and
Harry Panjer of the University of Waterloo
(262K PDF) -- 37 pages -- July 15, 2002
Large Portfolio Losses
by Amir Dembo of Stanford University,
Jean-Dominique Technische Universität, Berlin, and
Darrell Duffie of Stanford University
(147K PDF) -- 19 pages -- March 11, 2003
Credit Spread Bounds and their Implications for Credit Risk Modeling
by Ren-Raw Chen of Rutgers University, and
Jing-zhi Huang of Penn State University
(369K PDF) -- 41 pages -- June 20, 2002
Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment
by Hans Rau-Bredow of the Universität Würzburg
(134K PDF) -- 16 pages -- June 14, 2002
Optimal Default Boundary in Discrete Time Models
by Agata Altieri of the Universitá di Padova, and
Tiziano Vargiolu of the Universitá di Padova
(212K PDF) -- 16 pages -- June 2002
Extreme Tails for Linear Portfolio Credit Risk Models
by André Lucas of the Tinbergen Institute Amsterdam,
Pieter Klaassen of Vrije Universiteit,
Peter Spreij of the University of Amsterdam, and
Stefan Straetmans of Maastricht University
(553K PDF) -- 19 pages -- May 28, 2002
The Dependence of Recovery Rates and Defaults
by Yen-Ting Hu of Birkbeck College, and
William Perraudin of Birkbeck College & Bank of England & CEPR
(158K PDF) -- 26 pages -- February 2002
VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(326K PDF) -- 15 pages -- January 23, 2002
Default Risk and Hazard Process
by Monique Jeanblanc of Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(416K PDF) -- 32 pages -- December 2001
Modeling the Distance-to-Default Process of a Firm
by Marco Avellaneda of New York University, and
Jingyi Zhu of the University of Utah
(274K PDF) -- 18 pages -- October 26, 2001
A Hybrid Genetic-Quantitative Method for Risk-Return Optimisation of Credit Portfolios
by Frank Schlottmann of the Institute AIFB, and
Detlef Seese of the University Karlsruhe
(362K PDF) -- 27 pages -- October 25, 2001
Calculation of Higher Moments in CreditRisk+ with Applications
by Michael B. Gordy of the Board of Governors of the Federal Reserve System
(157K PDF) -- 20 pages -- September 21, 2001
Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities
by Norbert Jobst of the University of Cyprus & Brunel University, and
Stavros A. Zenios of the University of Cyprus & University of Pennsylvania
(599K PDF) -- 35 pages -- July 2001
On Modelling Credit Risk Using Arbitrage Free Models
by Frank S. Skinner of the University of Reading, and
Antonio Díaz of the Universidad de Castilla - La Mancha
(369K PDF) -- pages 24 -- July 2001
Comparative Analysis of Alternative Credit Risk Models: an Application on German Middle Market Loan Portfolios
by Markus Kern of the Ludwig-Maximilians-University Munich, and
Bernd Rudolph of the Ludwig-Maximilians-University Munich
(146K PDF) -- 30 pages -- January 2001
Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy
by Alexis Derviz of Czech National Bank & Institute of Information Theory and Automation CAS, and
Narcisa Kadlčáková of Czech National Bank
(403K PDF) -- 77 pages -- 2001
Factor Models for Portfolio Credit Risk
by Philipp J. Schönbucher of Bonn University
(142K PDF) -- 20 pages -- December 2000
Building a Credit Risk Valuation Framework for Loan Instruments
by Scott Aguais of Algorithmics LLP,
Larry Forest of Algorithmics LLP, and
Dan Rosen of Algorithmics LLP
(343K PDF) -- 26 pages -- December 2000
A Simplified Method for Calculating the Credit Risk of Lending Portfolios
by Akira Ieda of the Institute for Monetary and Economic Studies, Bank of Japan,
Kohei Marumo of the Institute for Monetary and Economic Studies, Bank of Japan, and
Toshinao Yoshiba of the Institute for Monetary and Economic Studies, Bank of Japan
(445K PDF) -- 34 pages -- December 2000
A Comparison of Stochastic Default Rate Models
by Christopher C. Finger of the RiskMetrics Group
(111K PDF) -- 34 pages -- August 2000
Modelling Credit Risk in Indian Bond Markets
by Jayanth R. Varma of the Indian Institute of Management, and
V. Raghunathan of the Indian Institute of Management
(113K PDF) -- 18 pages -- June 2000
Modelling of Default Risk: Mathematical Tools
by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(864K PDF) -- 67 pages -- March 30, 2000
A Comparative Anatomy of Credit Risk Models
by Michael B. Gordy of the Board of Governors of the Federal Reserve System
(481K PDF) -- 31 pages -- January 2000
A Comparative Analysis of Current Credit Risk Models
by Michel Crouhy of the Canadian Imperial Bank of Commerce,
Dan Galai of the Hebrew University, and
Robert Mark of the Canadian Imperial Bank of Commerce
(1,585K PDF) -- 59 pages -- January 2000
Analytical Value-At-Risk with Jumps and Credit Risk
by Darrell Duffie of Stanford University, and
Jun Pan of Stanford University
(379K PDF) -- 27 pages -- November 29, 1999
Modelling of Default Risk: an Overview
by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(724K PDF) -- 58 pages -- October 27, 1999
An Integrated Market and Credit Risk Portfolio Model
by Ian Iscoe of Algorithmics Inc.,
Alex Kreinin of Algorithmics Inc., and
Dan Rosen of Algorithmics Inc.
(512K PDF) -- 18 pages -- September 1999
Devil in the Parameters
by H. Ugur Koyluoglu, Anil Bangia, and Thomas Garside all of Oliver, Wyman & Company
(171K PDF) -- 30 pages -- July 26, 1999
Credit Risk Modelling
by Patricia Jackson of the Bank of England,
Pamela Nickell of the Bank of England, and
William Perraudin of the Bank of England
(373K PDF) -- 28 pages -- June 1999
Credit Risk Modelling: Current practices and applications
by the Basle Committee on Banking Supervision
(290K PDF) -- 65 pages -- April 1999
Evaluating the Forecasts of Risk Models
by Jeremy Berkowitz of the Federal Reserve Board
(132K PDF) -- 33 pages -- March 16, 1999
Some Elements of Rating-Based Credit Risk Modeling
by David Lando of the University of Copenhagen
(192K PDF) -- 22 pages -- February 24, 1999
Integrating Interest Rate Risk and Credit Risk in Asset and Liability Management
by Robert A. Jarrow of Cornell University, and
Donald R. van Deventer of Kamakura Corporation
(143K PDF) -- 20 pages -- December 28, 1998
Portfolio Credit Risk
by Thomas C. Wilson of McKinsey and Company
(259K PDF) -- 12 pages -- October 1998
A One-Parameter Representation of Credit Risk and Transition Matrices
by Lawrence R. Forest, Jr. of KPMG Peat Marwick,
Barry Belkin of Daniel H. Wagner Associates, and
Stephan J. Suchower of Daniel H. Wagner Associates
(96K HTML) -- 9 pages -- Third Quarter 1998
A Generalized Framework for Credit Risk Portfolio Models
by H. Ugur Koyluoglu of Oliver, Wyman & Company, and
Andrew Hickman of CSFP Capital, Inc.
(137K PDF) -- 19 pages -- September 14, 1998
From CreditMetrics to CreditRisk+ and Back Again
by Michael B. Gordy Board of Governors of the Federal Reserve System
(141K PDF) -- 9 pages -- June 23, 1998
Credit Risk and Risk Neutral Default Probabilities: Information about migrations and defaults
by Gordon Delianedis of UCLA, and
Robert Geske of UCLA
(918K PDF) -- 39 pages -- May 1998
Credit Risk Models at Major U.S. Banking Institutions: Current state of the art and implications for assessments of capital adequacy
by the Task Force on Internal Credit Risk Models of the Federal Reserve System
(145K PDF) -- 58 pages -- May 1998
Probabilistic Aspects of Default Risk Modeling
by Tomasz Bielecki of Northeastern Illinois University, and
Marek Rutkowski of the Technical University of Warsaw
(386K PDF) -- 24 pages -- 1998
A Markov Model for the Term Structure of Credit Risk Spreads
by Robert A. Jarrow of Cornell University,
David Lando of the University of Copenhagen, and
Stuart M. Turnbull of Queen's University
(467K PDF) -- 43 pages -- Summer 1997
A Jump- Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
by Chunsheng Zhou of the Board of Governors of the Federal Reserve System
(349K PDF) -- 49 pages -- March 1997
Probability of Loss on Loan Portfolio
by Oldrich Vasicek of Moody's|KMV
(55K PDF) -- 6 pages -- February 12, 1987
Limiting Loan Loss Probability Distribution
by Oldrich Vasicek of Moody's|KMV
(55K PDF) -- 6 pages -- August 9, 1991
Additional References (sorted by author)
Andersen, Leif and Jakob Sidenius, "Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings", Journal of Credit Risk, Vol. 1, No. 1, (Winter 2004), pp. 29–70. [Abstract]
Andersson, Fredrik, Helmut Mausser of Algorithmics, Inc., Dan Rosen of Algorithmics, Inc., and Stanislav Uryasev, "Credit Risk Optimization with Conditional Value-at-Risk Criterion", Mathematical Programming, Vol. 89, No. 2, (January 2001), pp. 273-291. [Abstract]
Arvanitis, Angelo, Jonathan Gregory, and Jean-Paul Laurent, "Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999), pp. 27-43. [Abstract]
Barnhill Jr., Theodore M. and William F. Maxwell, "Modeling Correlated Market and Credit Risk in Fixed Income Portfolios", Journal of Banking & Finance, Vol. 26, No. 2-3, (March 2002), pp. 347-374. [Abstract]
Chen, Cho-Jieh and Harry Panjer, "Unifying Discrete Structural Models and Reduced-form Models in Credit Risk using a Jump-diffusion Process", Insurance: Mathematics and Economics, Vol. 33, No. 2, (October 2003), pp. 357-380. [Abstract]
Crowder, Martin, Mark Davis, and Giacomo Giampieri, "Analysis of Default Data Using Hidden Markov Models", Quantitative Finance, Vol. 5, No. 1, (February 2005), pp. 27-34. [Abstract]
Duffee Gregory R., "On Measuring Credit Risks of Derivative Instruments", Journal of Banking & Finance, Vol. 20, No. 5, (June 1996), pp. 805-833. [Abstract]
Elliott, Robert J., Monique Jeanblanc, and Marc Yor, "On Models of Default Risk", Mathematical Finance, Vol. 10, No. 2, (April 2000), pp. 179-196. [Abstract]
Gupton, Greg M., "The New Talk of the Town: CreditMetrics™, A Credit Value-at-Risk Approach", Journal of Lending & Credit Risk Management, Vol. 79, No. 12, (August 1997), pp. 44-54. [Abstract]
Jarrow, Robert A. and Stuart M. Turnbull, "The Intersection of Market and Credit Risk", Journal of Banking & Finance, Vol. 24, No. 1-2, (January 2000), pp. 271-299. [Abstract]
Kijima, Masaaki and Katsuya Komoribayashi, "A Markov Chain Model for Valuing Credit Risk Derivatives", Journal of Derivatives, Vol. 6, No. 1, (Fall 1998), pp. 97-108. [Abstract]
Kusuoka, Shigeo, "A Remark on Default Risk Models", Advances in Mathematical Economics, Vol. 1, (1999), pp. 69-82. [Abstract]
Lando, David, "On Cox Processes and Credit Risky Securities", Derivatives Research, Vol. 2, No. 2-3, (December 1998), pp. 99-120. [Abstract]
Philps, Daniel and Solomon Peters, "Expected Loss and Fair Value Over the Credit Cycle", Journal of Credit Risk, Vol. 1, No. 2, (Spring 2005), pp. 35-49. [Abstract]
Skinner, Frank S., "A Trinomial Model of Bonds with Default Risk", Financial Analysts Journal, Vol. 50, No. 2, (March/April 1994), pp. 73-78. [Abstract]
Zazzara, Cristiano, "Credit Risk in the Traditional Banking Book: A VaR approach under correlated default", Economia societŕ e istituzioni, Vol. 12, No. 3, (November 2000), pp. 331-361. [Abstract]
