Sorry for the delay in updating these Top10 lists.  My hosting company has corrupted recent traffic logs.

Top Ten Fitch Ratings & Algorithmics Papers

I'm really quite pleased and honored to work with a very fine team of researchers. I have made a point of being quite familiar with their work and would be remiss if I didn't share this with you ... Updated: April 1st

I want to underscore that this list reflects the traffic and visitor preferences of the folks to come to DefaultRisk.com. It is interesting to see the "Top Twenty papers" of the folks who go to the actual Fitch Ratings site:
FitchRatings: Top 20 Most-Viewed Reports

#1. Structured Finance CDOs and Event of Default Risk
by Elizabeth R. Nugent of Fitch Ratings
(74K PDF) -- 5 pages -- December 3, 2007

#2. Fitch Equity Implied Rating and Probability of Default Model
by Bo Liu of Fitch Ratings, QFR,
Ahmet E. Kocagil of Fitch Ratings, QFR, and
Greg M. Gupton of Fitch Ratings, QFR
(489K PDF) -- 19 pages -- June 13, 2007

#3. Fitch CDS Implied Ratings (CDS-IR) Model
by Alexander Reyngold of Fitch Ratings, QFR,
Ahmet E. Kocagil of Fitch Ratings, QFR, and
Greg M. Gupton of Fitch Ratings, QFR
(239K PDF) -- 12 pages -- June 13, 2007

#4. How Much Credit in Credit Risk Models?
by Gary van Vuuren of Fitch Ratings,
Krishnan Ramadurai of Fitch Ratings,
Greg M. Gupton of Fitch Ratings, QFR,
Eileen Fahey of Fitch Ratings,
Ian Linnell of Fitch Ratings,
David Marshall of Fitch Ratings,
Kim Olson of Algorithmics, Inc., and
Diane Reynolds of Algorithmics, Inc.
(218K PDF) -- 15 pages -- May 8, 2007

#5. Understanding and Hedging Risks in Synthetic CDO Tranches
by Matthias Neugebauer of Fitch Ratings,
et. al.
(85K PDF) -- 7 pages -- August 4, 2006

#6. First Generation CPDO: Case Study on Performance and Ratings
by Alexandre Linden of Derivative Fitch (London),
Matthias Neugebauer of Derivative Fitch (London),
Stefan Bund of Derivative Fitch (London),
John Schiavetta of Derivative Fitch (New York),
Jill Zelter of Derivative Fitch (New York), and
Rachel Hardee of Derivative Fitch (Hong Kong)
(730K PDF) -– 18 pages -- April 18, 2007

#7. The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing
by Anna Kalemanova of Risklab Germany & Technical University of Munich
Bernd Schmid of Algorithmics, Inc., and
Ralf Werner of Allianz of GRC Risk Methodology
(313K PDF) -- 19 pages -- May 2006

#8. Fast Valuation of Forward-Starting Basket Default Swaps
by Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics, Inc., and
Wanhe Zhang of the University of Toronto
(153K PDF) -- 20 pages -- December 13, 2007

#9. Capital Allocation for Credit Portfolios with Kernel Estimators
by Dirk Tasche of Fitch Ratings, QFR
(366K PDF) –- 21 pages -- November 2007

#10. 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]