DefaultRisk Site Guide

Credit Risk Modeling at Major US Banking Institutions

A Comparative Anatomy of Credit Risk Models

JEL G31

A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities

Estimation of a Reduced-Form Credit Portfolio Model and Extensions to Dynamic Frailties

Credit Risk Modelling: Current Practices and Applications

Integrating Interest Rate Risk and Credit Risk in Asset and Liability Management

Portfolio Credit Risk

From CreditMetrics to CreditRisk+ and Back Again

Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk

Ratings-based Credit Risk Modelling: An empirical analysis

JEL L51

Some Elements of Rating-Based Credit Risk Modeling

A Comparative Analysis of Current Credit Risk Models

A Markov Model for the Term Structure of Credit Risk Spreads

A Comparison of Stochastic Default Rate Models

The Jarrow and Turnbull Default Risk Model - Evidence from the German Market

Analytical Value-At-Risk with Jumps and Credit Risk

A Generalized Framework for Credit Risk Portfolio Models

A Simplified Method for Calculating the Credit Risk of Lending Portfolios

Modelling of Default Risk: Mathematicals Tools

CreditMetrics

CreditRisk+ A Credit Risk Management Framework

Probabilistic Aspects of Default Risk Modeling

Credit Risk Modelling

Calculation of Higher Moments in CreditRisk+ with Applications

Factor Models for Portfolio Credit Risk

Calculating Value-at-Risk Contributions in CreditRisk+

Devil in the Parameters

Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality

Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy

Comparative Analysis of Alternative Credit Risk Models:

A Hybrid Genetic-Quantitative Method for Risk-Return Optimisation of Credit Portfolios

Credit Spread Bounds and their Implications for Credit Risk Modeling

Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model

The Dependence of Recovery Rates and Defaults

Modeling Default Risk

Modelling of Default Risk: an Overview

VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights

Credit Risk Modeling and Valuation: An Introduction

Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment

JEL D81

Predictions of Default Probabilities in Structural Models of Debt

JEL G0

A One-Parameter Representation of Credit Risk and Transition Matrices

Large Portfolio Losses

Tail Behavior of Credit Loss Distributions for General Latent Factor Models

Merton’s Model, Credit Risk, and Volatility Skews

Evaluating the Forecasts of Risk Models

Modeling Credit Risk with Partial Information

Partial Information, Default Hazard Process, and Default-Risky Bonds

Extreme Tails for Linear Portfolio Credit Risk Models

Multi-Period Defaults and Maturity Effects on Economic Capital in a Ratings-Based Default-Mode Model

Credit Risk Contributions to Value-at-Risk and Expected Shortfall

Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities

JEL C63

Monte Carlo Simulation of Economic Capital Requirement And Default Protection Premium

Unifying Discrete Structural Credit Risk Models and Reduced-Form Models

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

On Modelling Credit Risk Using Arbitrage Free Models

Perpetual Convertible Bonds with Credit Risk

Modeling the Distance-to-Default Process of a Firm

Optimal Default Boundary in Discrete Time Models

JEL C61

Taken to the Limit: Simple and Not-so-simple Loan Loss Distributions

Probability of Loss on Loan Portfolio

Limiting Loan Loss Probability Distribution

Modelling Dynamic Portfolio Credit Risk

Modeling Default Risk: A new structural approach

A Framework for Collateral Risk Control Determination

Calculating Credit Risk Capital Charges with the One-factor Model

A Radial Basis Function Approach to Credit Barrier Model

Building a Credit Risk Valuation Framework for Loan Instruments

Interacting Defaults and Counterparty Risk: a Markovian Approach

An Extension of the Jarrow-Lando-Turnbull Model to Random Recovery Rate

Computation of VaR and VaR Contribution in the Vasicek Portfolio Credit Loss Model: A Comparative Study

Modelling Credit Risk in Indian Bond Markets

Multi-Period Corporate Failure Prediction With Stochastic Covariates

Numerically Stable Computation of CreditRisk+

Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives

Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications

JEL F3 & F30

Forecasting Credit Portfolio Risk

Essentials of Credit Portfolio Management

A Structural Credit-Risk Model based on a Jump Diffusion

JEL C16

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation

The Correlation-Neutral Measure for Portfolio Credit

Credit Risk and Macroeconomic Dynamics

Structural Versus Reduced Form Models: A New Information Based Perspective

A New Framework for Dynamic Credit Portfolio Loss Modeling

A Multi-period Corporate Credit Model---An Intrinsic Valuation Approach

JEL G3

Dependent Credit Migrations

JEL C35

Credit Risk Models II: Structural Models

Credit Risk Models III: Reconciliation Reduced - Structural Models

Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities

CreditRisk+ by Fast Fourier Transform

Replication of Defaultable Claims within the Reduced-Form Framework

Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims

Comonotonic Default Quote Paths for Basket Evaluation

Analytic Loss Distributions of Heterogeneous Portfolios in the Asset Value Credit Risk Model

A Simple Multi-Factor “Factor Adjustment” for the Treatment of Credit Capital Diversification

A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model

Estimating Structural Bond Pricing Models via Simulated Maximum Likelihood

On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models

Analytic Improvement of the Saddle-point Approximation and Spread Risk Attribution in a Portfolio of Tranches

Shape Factor Models in Credit Risk

Tail Approximation for Credit Risk Portfolios with Heavy-tailed Risk Factors

Risk Measurement with Integrated Market and Credit Portfolio Models

A Note on Lando's Formula and Conditional Independence

Discrete Credit Barrier Models

On Bias of Testing Merton's Model

Firm Heterogeneity and Credit Risk Diversification

Credit Risk Modelling Using Time-Changed Brownian Motion

Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises

Credit Risk Models with Incomplete Information

A Multivariate Jump-Driven Financial Asset Model

Assessing Credit with Equity: A CEV Model with Jump to Default

The Skewed t Distribution for Portfolio Credit Risk

Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

A Queueing Network Approach to Portfolio Credit Risk

Default Risk and Hazard Process

Measuring Marginal Risk Contributions in Credit Portfolios

On the Brody-Hughston-Macrina Approach to Modeling of Defaultable Term Structure

Dependent Events and Changes of Time

Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model

Predictions Based on Certain Uncertainties - A Bayesian Credit Portfolio Approach

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

JEL C43

On the Applicability of Fourier Based Methods to Credit Portfolio Models with Integrated Interest Rate and Credit Spread Risk

How Good is Merton Model at Assessing Credit Risk? Evidence from India

A Cash Flow Based Corporate Credit Portfolio Analysis: A conditional independent default approach

Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation

Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects

Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure

Credit Risk - A structural model with jumps and correlations

Credit Risk: Modeling and Application

Beyond Hazard Rates: A new framework for credit-risk modeling

Default Intensity and Expected Recovery of Japanese Banks and “Government”: New Evidence from the CDS Market

Modeling Defaultable Securities with Recovery Risk

A Structural Model with Unobserved Default Boundary

Modeling Credit Risk for SMEs: Evidence from the US market

Credit Risk in a Network Economy

Reduced Form Modelling for Credit Risk

Jumps in Intensity Models

JEL C60

Credit Risk in Pure Jump Structural Models

Correlated Default Modeling with a Forest of Binomial Trees

A Jump to Default Extended CEV Model: An application of Bessel processes

Bankruptcy, Counterparty Risk, and Contagion

Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions

Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model

Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default

Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence

Default Distribution and Credit Market Implications

Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions

A Simple Jump to Default Model

Valuation of Risky Debt: a Multi-Period Bayesian Framework

JEL C11

Defaultable Options in a Markovian Intensity Model of Credit Risk

Modeling Portfolio Defaults Using Hidden Markov Models with Covariates

On the Term Structure of Loss Distributions: A forward model approach

Dynamic Models of Portfolio Credit Risk: A Simplified Approach

Common Poisson Shock Models: Applications to insurance and credit risk modelling

Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model

A New Structural Approach to the Default Risk of Companies

Cross- and Autocorrelation in Multi-period Credit Portfolio Models

An Integrated Market and Credit Risk Portfolio Model

Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios

Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss

Economic Capital Assessment via Copulas: Aggregation and Allocation of Different Risk Types

Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Enhancing CreditRisk+

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program

On Partial Defaults in Portfolio Credit Risk: Comparing economic and regulatory view

JEL G18

Flexing the Default Barrier

Computational Techniques for Basic Affine Models of Portfolio Credit Risk

On the Parameterization of the CreditRisk+ Model for Estimating Credit Portfolio Risk

Modeling the Distribution of Credit Losses with Observable and Latent Factors

Convertible Bonds in a Defaultable Diffusion Model

Dynamic Credit Portfolio Modelling in Structural Models with Jumps

Portfolio Credit: Top Down vs. Bottom Up Approaches

Credit Risk Modeling with Affine Processes

Immersion Property and Credit Risk Modelling

A Useful Result on First Passage OU Process

Randomization in the Default Boundary Problem

Credit Risk Assessment Considering Variations in Exposure: Application to commitment lines

Strategic Default Jump as Impulse Control in Continuous Time

Credit Risk and Risk Neutral Default Probabilities: Information about migrations and defaults

A Novel Methodology for Credit Portfolio Analysis: Numerical approximation approach

Risk Contributions of Systematic Factors in Portfolio Credit Risk Models

The Distribution of Loan Portfolio Value

Models

Credit Modeling Books

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