DefaultRisk.com the web's biggest credit risk modeling resource.

Submit Your Paper

Post Your Résumé

Amazon.com Widgets

Site Guide for DefaultRisk.com

DefaultRisk.com The web's biggest credit risk modeling resource.

The Elements of Statistical Learning: Data Mining, Inference, and Prediction
Default / Credit Risk Resources - Papers
- Papers about Credit Pricing and Credit Spreads
- Papers about Credit Risk Modeling
- Papers about Credit Derivatives and Credit Sales
- Papers about Colateralized Debt Obligations (CDOs)
- Papers about Credit: (Correlations / Portfolio Effects / Diversification)
- Papers about Recovery Rates / Loss Given Default
- Papers about Credit Regulation: (Discussions / Pronouncements)
- Papers about Testing Credit Risk Models
- Papers about Credit Scoring
- Sovereign Risk
- Papers about Liquidity Risk
- Computer Codes
- Quant. Methods
- Papers About Other Credit Risk Research
- Related
- Recently Mended Links
- Retitled Papers
Top Ten Lists
- Top10 Newest
- Top10 Papers
- Top10 Fitch & Algo
- Top10 Researchers
- Top10 Authors
Researchers
- Edward I. Altman
- Tomasz R. Bielecki
- Damiano Brigo
  - images/brigo_big.jpg
- Lea V. Carty
- Pierre Collin-Dufresne
- Didier Cossin
- Sanjiv Ranjan Das
- Gregory R. Duffee
- Darrell Duffie
- Allan C. Eberhart
- Paul Embrechts
- Rüdiger Frey
- Kay Giesecke
- Greg M. Gupton
- Jean Helwege
- John Hull
- Robert A. Jarrow
- Monique JEANBLANC
- David Lando
- Jean-Paul LAURENT
  - images/laurent_jean-paul_big.jpg
- André Lucas
- Dilip B. Madan
- Alexander J. McNeil
- William Perraudin
- Marek Rutkowski
- Wim Schoutens
- Philipp J. Schönbucher
- Til Schuermann
- Kenneth J. Singleton
- Andrea Sironi
- Roger M. Stein
- Dirk Tasche
  - images/Tasche_Dirk_DSC0863.jpg
- Stuart M. Turnbull
- Alan D. White
- Fan Yu
Career Center
Today
DefaultRisk: Contact Greg M Gupton
- Submit Your Paper
- Update a Paper
- Submit Conference
  - suggested_link
- Link Error
- Link Exchange
- Other
Credit Risk Conferences and Training Courses
Default / Credit Risk Modeling News
- Default / Credit Distresses
- Live News Feed
- news_archive
Greg M Gupton's Biography
- images/Gupton549x655 - NoGrain.jpg
- Resume of Greg M. Gupton
  - Moody's Press Release
  - CreditMetrics Press Release
World Trade Center Disaster: Updates & Charity Links
Support DefaultRisk.com
Fitch Academic Advisory Board
- fitch_academic_advisory_board_files/filelist.xml
Cover Confusion
- polls/d2_cookie_funnel.asp
Why "secure" an Email address?
Store
- Top Ten Most Viewed Books
- Most Cited Books
  - Cited in Pricing
  - Cited in Modeling
  - Cited in CrDrv
  - Cited in CDO
  - Cited in Correlation
  - Cited in Recoveries
  - Cited in Supervisory
  - Cited in Testing
  - Cited in Scoring
  - Cited in Sovereign
  - Cited in Liquidity
  - Cited in Quant
  - Cited in Other
- Full Store (US)
- Full Store (UK)
- Full Store (DE)
- Full Store (FR)
- Full Store (CA)
- Books
- Random Books
- Markov Processes: Characterization and Convergence
- DefaultRisk Store
- Distressed Securities: Analyzing and Evaluating Market Potential and Investment Risk
- Bankruptcy & Distressed Restructurings: Analytical Issues and Investment Opportunities
- Bankruptcy, Credit Risk
- DefaultRisk Store
- Mathematics of Derivative Securities
- Handbook of Heavy Tailed Distributions in Finance
- Point Processes and Queues: Martingale Dynamics
- Credit Derivatives Pricing Models: Model, Pricing and Implementation
- DefaultRisk Store
- DefaultRisk Store
- The Econometrics of Financial Markets
- Numerical Solution of Stochastic Differential Equations
- DefaultRisk Store
- DefaultRisk Store
- Handbook of Econometrics, Volume 5
- Density Estimation for Statistics and Data Analysis
- Monetary History of the United States, 1867-1960
- DefaultRisk Store
- Levy Processes in Finance: Pricing Financial Derivatives
- A First Course in Stochastic Processes, Second Edition
- Copula Methods in Finance
- Quantitative Analysis, Derivatives Modeling, and Trading Strategies
- Statistics of Random Processes II
- An Introduction to the Bootstrap
- Mathematical Finance - Bachelier Congress 2000
- Forecasting, Structural Time Series Models, and the Kalman Filter
- Pricing Corporate Securities as Contingent Claims
- DefaultRisk Store
- The Econometric Analysis of Transition Data
- Structured Finance Modeling with Object-Oriented VBA
- Modelling Fixed Income Securities and Interest Rate Options (2nd Edition)
- Limit Theorems for Stochastic Processes
- Generalized Linear Models, Second Edition
- An Introduction to Probability Theory and Its Applications, Volume 2
- Multivariate Models and Multivariate Dependence Concepts
- Principles of Corporate Finance + Student CD + Ethics in Finance PowerWeb
- An Introduction to the Theory of Point Processes, Volume 1
- Continuous Univariate Distributions, Vol 2
- Analysis of Survival Data
- Statistical Models Based on Counting Processes
- Loss Models: From Data to Decisions, Second Edition
- Derivative Securities: The Complete Investor's Guide
- Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk
- Advanced Econometrics
- Large Deviations Techniques and Applications
- The Volatility Surface A Practitioner's Guide
- Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 2nd Edition
- Probabilistic Metric Spaces
- Applied logistic regression
- Advanced modelling in finance using Excel and VBA
- Asset Pricing - revised edition
- Dynamic Asset Pricing Theory, Third Edition
- Diffusions, Markov Processes and Martingales
- Financial Modelling with Jump Processes
- Monte Carlo Statistical Methods
- Credit Derivatives and Structured Credit: A Guide for Investors
- DefaultRisk Store
- The Statistical Analysis of Failure Time Data
- Numerical Recipes in C++: The Art of Scientific Computing
- DefaultRisk Store
- The New Basel Capital Accord
- DefaultRisk Store
- Credit Risk Management and Basel II
- Option Pricing: Black-Scholes Made Easy
- Risk Management: Value at Risk and Beyond
- Séminaire de Probabilités XLI
- Lévy Processes and Infinitely Divisible Distributions
- Markov Chains
- An Introduction to Copulas
- Credit Risk: Pricing, Measurement, and Management
- Kendall's Advanced Theory of Statistics, Volume 1: Distribution Theory
- Brownian Motion and Stochastic Calculus
- Fundamentals of Futures and Options Markets and Derivagem Package, 6th Edition
- The Basel II Risk Parameters: Estimation Validation and Stress Testing
- Estimation and Inference in Econometrics
- Risk Management and Financial Institutions
- The Theory of Stochastic Processes
- Credit Derivatives: CDOs and Structured Credit Products
- The Basel Handbook: A Guide for Financial Practitioners (2nd edition)
- Saddlepoint Approximations
- Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies
- Derivatives in Financial Markets with Stochastic Volatility
- Theory of Financial Decision Making
- Portfolio Selection Efficient Diversification of Investments
- Microeconomics of Banking
- The Theory and Practice of Econometrics
- Applied Stochastic Control of Jump Diffusions
- Advances in Mathematical Finance
- Table of Integrals, Series, and Products, Seventh Edition
- Developments in Collateralized Debt Obligations: New Products and Insights
- Credit risk modeling with affine processes
- Credit Derivative Strategies: New Thinking on Managing Risk and Return
- Financial Risk Manager Handbook
- Derivatives Models on Models
- Financial Markets in Continuous Time 2nd Edition
- Paul Wilmott Introduces Quantitative Finance
- A Second Course in Stochastic Processes
- Semimartingale Theory and Stochastic Calculus
- Statistical Analysis of Extreme Values with Applications to Insurance
- Paris-Princeton Lectures on Mathematical Finance 2004
- The Fundamentals of Risk Measurement
- Time Series Analysis by State Space Methods
- Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann
- Continuous Multivariate Distributions, Volume 1, Models and Applications, 2nd Edition
- Scenarios for Risk Management and Global Investment Strategies
- International Financial Instability
- Advances in Neural Information Processing Systems 19: Proceedings of the 2006 Conference
- Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors
- Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel I Accord to Wall Street and Beyond
- The Cognitive Style of PowerPoint: Pitching Out Corrupts Within
- Managing Credit Risk: The Great Challenge for Global Financial Markets
- Rethinking Bank Regulation: Till Angels Govern
- Credit Risk: Models, Derivatives, and Management
- Understanding Risk: The Theory and Practice of Financial Risk Management
- Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Drivers
- The Definitive Guide to CDOs
- Support Vector Machines
- A Guide To Active Credit Portfolio Management
- Structured Finance and Collateralized Debt Obligations: Developments in Cash and Synthetic Securitization
- Essential Strategies for Financial Services Compliance
- Applied Quantitative Finance
- Applied Probability: Proceedings of an Ims Workshop on Applied Probability
- DefaultRisk Store
- DefaultRisk Store
- Credit Risk Management: Basic Concepts
- DefaultRisk Store
- CDS Delivery Option: Better Pricing of Credit Default Swaps
- The Battle for Wall Street: Behind the Lines in the Struggle that Pushed an Industry into Turmoil
- Mastering Credit Derivatives: A step-by-step guide to credit derivatives and structured credit
- Anticipating Correlations: A New Paradigm for Risk Management
- DefaultRisk Store
- Material Markets: How Economic Agents are Constructed
- Active Credit Portfolio Management in Practice
- DefaultRisk Store
- DefaultRisk Store
- DefaultRisk Store
- DefaultRisk Store
- DefaultRisk Store
- Stochastic Processes and Applications to Mathematical Finance: Proceedings of the 6th International Symposium, Ritsumeikan University, Japan, 6-10 March 2006
- DefaultRisk Store
- DefaultRisk Store
- DefaultRisk Store
- Levy Processes in Credit Risk
- DefaultRisk Store
- Malliavin Calculus for Lévy Processes with Applications to Finance
- DefaultRisk Store
- DefaultRisk Store
- DefaultRisk Store
- DefaultRisk Store
- The Flaw of Averages: Why We Underestimate Risk in the Face of Uncertainty
- DefaultRisk Store
- Lévy Processes and Stochastic Calculus, 2nd Ed.
- Financial Boom and Gloom: The Credit and Banking Crisis of 2007-2009 and Beyond
- Credit Risk Assessment: The New Lending System for Borrowers, Lenders, and Investors
- Mathematical Modelling and Numerical Methods in Finance
- DefaultRisk Store
- Foundations of Financial Markets and Institutions (4th Edition)
- DefaultRisk Store
- Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices
- DefaultRisk Store
- Risk Assessment: Decisions in Banking and Finance
- Concentration Risk in Credit Portfolios
- Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
- Bailout: What the Rescue of Bear Stearns and the Credit Crisis Mean for Your Investments
- Banking on Basel: The Future of International Financial Regulation
- Martingale Methods in Financial Modelling
- The Handbook of Credit Portfolio Management
- Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System
- Global Catastrophic Risks
- Modelling Single-name and Multi-name Credit Derivatives
- Generalized Additive Models
- Risk Analysis: A Quantitative Guide
- Bio-Inspired Credit Risk Analysis: Computational Intelligence with Support Vector Machines
- Derivatives Trading and Option Pricing
- Macrofinancial Risk Analysis
- Options, Futures, and Other Derivatives with Derivagem CD, 7th Edition
- The Drunkard's Walk: How Randomness Rules Our Lives
- The Banker's Handbook on Credit Risk: Implementing Basel II
- Actuarial Theory for Dependent Risks: Measures, Orders and Models
- Extreme Values, Regular Variation, and Point Processes
- Handbook of Brownian Motion - Facts and Formulae
- Credit Correlation: Life After Copulas
- The Mathematics of Arbitrage
- Proportional Hazards Regression
- Emerging Markets and Financial Globalization: Sovereign Spreads in 1870-1913 and Today
- Why Are There So Many Banking Crises?: The Politics and Policy of Bank Regulation
- A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation
- Statistics of Financial Markets: An Introduction
- Modeling, Measuring and Managing Risk
- Mathematical and Statistical Methods for Insurance and Finance
- Nonparametric Analysis of Univariate Heavy-Tailed Dat Research and Practice
- Risk Measures for the 21st Century
- International Political Risk Management
- Simulation and the Monte Carlo Method
- Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently
- Time Series Analysis
- Financial Applications using Excel Add-in Development in C/C++
- Investment under Uncertainty
- The Handbook of Portfolio Mathematics: Formulas for Optimal Allocation & Leverage
- Econometric Analysis of Panel Data
- Foundations of International Macroeconomics
- Handbook of Statistics 14: Statistical Methods in Finance
- The Black Swan: The Impact of the Highly Improbable
- How I Became a Quant: Insights from 25 of Wall Street's Elite
- The Analytics of Risk Model Validation
- Econometric Analysis, 6th Edition
- Introductory Lectures on Fluctuations of Lévy Processes with Applications
- The Analysis of Cross-Classified Categorical Data
- Data Driven Statistical Methods
- Probability Theory and Examples
- A Structural Framework for the Pricing of Corporate Securities
- Marked Point Processes on the Real Line: The Dynamical Approach
- The Handbook of Fixed Income Securities
- Prudential Supervision: What Works and What Doesn't
- Arbitrage Theory in Continuous Time
- Lévy Processes
- Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables
- Volatility and Correlation: The Perfect Hedger and the Fox
- Advanced Credit Risk Analysis
- Continuous Time Finance
- The Structured Credit Handbook
- Econometric Analysis of Cross Section and Panel Data
- Recovery Risk: The Next Challenge in Credit Risk Management
- Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications
- Credit Risk Modeling using Excel and VBA
- Limited Dependent and Qualitative Variables in Econometrics
- Credit Derivatives and Credit Linked Notes
- Credit Risk: Models and Management, 2nd Edition
- Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide.Book & CD-ROM
- Statistics of Random Processes I
- Derviative Credit Risk 2nd Edition
- Hull-White On Derivatives
- Continuous Martingales and Brownian Motion
- High Yield Bonds: Market Structure, Valuation, and Portfolio Strategies
- Internal Credit Risk Capital Allocation and Performance Measurement
- The Risks of Financial Institutions
- The Practice of Risk Management
- Stochastic Integration and Differential Equations
- Credit Risk Valuation
- Credit: The Complete Guide to Pricing, Hedging and Risk Management
- Credit Risk: Modeling, Valuation, and Hedging
- book_featured
- The Essentials of Risk Management
- Credit Scoring & Its Applications
- Copulas: From theory to application in finance
- Credit Derivatives: CDOs and Structured Credit Products
- Monte Carlo Methods in Financial Engineering
- Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt, 3rd Ed
- An Introduction to Credit Risk Modeling
- Credit Ratings: Methodologies, Rationale and Default Risk
- Collateralized Debt Obligations and Structured Finance
- Credit Risk Modelling: The Cutting-edge Collection - Technical Papers published in Risk 1999-2003
- Debt Defaults and Lessons from a Decade of Crises
- The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
- Credit Derivatives: The Definitive Guide
- Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide
- Credit Risk Pricing Models: Theory and Practice
- Credit Risk Modeling: Theory and Applications
- Liquidity Black Holes: Understanding, Quantifying and Managing Financial Liquidity Risk
- CreditRisk+ in the Banking Industry
- Economic Capital: A Practitioner Guide
- Understanding Credit Derivatives and Related Instruments
- Credit Derivatives: Risk Management, Trading and Investing
- Risk and Asset Allocation
- The Credit Market Handbook: Advanced Modeling Issues
- Structured Credit Products: Pricing, Rating, Risk Management and Basel II
- Quantitative Risk Management: Concepts, Techniques, and Tools
- Paris-Princeton Lectures on Mathematical Finance 2003
- Active Credit Portfolio Management
- Modelling Extremal Events: for Insurance and Finance
- Extremes and Integrated Risk Management
- Selfsimilar Processes
- Collateralized Debt Obligations: Structures and Analysis
- Introduction to C++ for Financial Engineers: An Object-Oriented Approach
- Synthetic and Structured Assets
- Credit Derivatives: A Primer on Credit Risk, Modeling
- The Visual Display of Quantitative Information, 2nd edition
- Structured Credit Portfolio Analysis, Baskets and CDOs
- Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
- Credit Derivatives
- Sovereign Default Risk Valuation
- Integrating Market, Credit and Operational Risk: A Complete Guide for Bankers & Risk Professionals
- Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation
- Structured Finance and Insurance: The ART of Managing Capital and Risk
- Modeling Risk: Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, and Optimization Techniques
- Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
- Introduction to Structured Finance
- Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel
- Value at Risk, 3rd Ed.
- The Credit Default Swap Basis
- GARP FRM Readings
- Simulation Techniques in Financial Risk Management
- The Misbehavior of Markets: A Fractal View of Risk, Ruin & Reward
- When Genius Failed: The Rise and Fall of Long-Term Capital Management
- My Life as a Quant: Reflections on Physics and Finance
- Against the Gods: The Remarkable Story of Risk
- Heard on the Street: Quantitative Questions from Wall Street Job Interviews
- Fischer Black and the Revolutionary Idea of Finance
- Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets
Glossary of Credit and Risk Terms
- Glossary of Credit Risk - A-to-B
- Glossary of Credit Risk - C
- Glossary of Credit Risk - D
- Glossary of Credit Risk - E-to-H
- Glossary of Credit Risk - I-to-M
- Glossary of Credit Risk - N-to-Z
Credit Risk Modeling Links: Vendors, Web Resources, Data, Rating Agencies, Regulators
- Credit Rating Agencies: (the full global list)
  - Historical List
DefaultRisk Site Guide
DefaultRisk: Keyword Search of Site

Amazon.com Widgets

[ Home ]

Please contact me with problems or suggestions.
Copyright © 2000-2010 DefaultRisk.com
Last modified: July 18, 2009