Top Ten Twenty Newest Papers!
This page started as a "Top Ten" list of the most recently authored papers. But then people e-mailed to say that, "Although this was their favorite page..." <Thanks!> they wanted the list to keep on going rather than cutting it off at only ten. I think that would become a bit much, but I'm happy to lengthen it to a "Top Twenty". Enjoy!
(What journal subscription can give you this level of immediate access to credit research?!?!)
And now the Top Ten Twenty:
#1. Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
by Shaojie Deng of Stanford University,
Kay Giesecke of Stanford university, and
Tze Leung Lai of Stanford University
(238K PDF) -- 25 pages -- September 8, 2010
#2. Risky Funding: A unified framework for counterparty and liquidity charges
by Massimo Morini of Banca IMI, and
Andrea Prampolini of Banca IMI
(562K PDF) – 16 pages -- August 30, 2010
#3. Optimal Timing to Purchase Options
by Tim Leung of Johns Hopkins University, and
Mike Ludkovski of the University of California, Santa Barbara
(238K PDF) -- 25 pages -- August 20, 2010
#4. The Merton Structural Model and IRB Compliance
by Matej Jovan of the Bank of Slovenia
(233K PDF) -- 19 pages -- August 13, 2010
#5. Exploring the Sources of Default Clustering
by Shahriar Azizpour of Stanford University,
Kay Giesecke of Stanford University, and
Gustavo Schwenkler of Stanford University
(2.210K PDF) -- 17 pages -- August 10, 2010
#6. Credit Rating Dynamics in the Presence of Unknown Structural Breaks
by Haipeng Xing of the State University of New York, Stony Brook,
Ning Sun of the State University of New York, Stony Brook, and
Ying Chen of MEAG New York Corp.
(297K PDF) -- 35 pages -- August 5, 2010
#7. The Potential Future Exposure of Path-dependent Instruments: Comment on Lomibao-Zhu's approach
by Chuang Yi of the Royal Bank of Canada
(272K PDF) -- 7 pages -- July 30, 2010
#8. Does a Central Clearing Counterparty Reduce Counterparty Risk?
by Darrell Duffie of Stanford University, and
Haoxiang Zhu of Stanford University
(170K PDF) -- 30 pages -- July 24, 2010
#9. Lévy Subordinator Model of Default Dependency
by BS Balakrishna of unaffiliated
(368K PDF) -- 16 pages -- July 22, 2010
#10. Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula 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'Evry Val d'Essonne & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne & the Sharif University of Technology
(825K PDF) – 35 pages -- July 15, 2010
#11. Understanding the Effect of Concentration Risk in the Banks' Credit Portfolio: Indian cases
by Arindam Bandyopadhyay of the National Institute of Bank Management, Pune, India
(719K PDF) -- 24 pages -- July 2010
#12. Analytical Framework for Credit Portfolios
by Mikhail Voropaev of ING Bank
(1,046K PDF) -- 16 pages -- July 2010
#13. Validation of Credit Default Probabilities via Multiple Testing Procedures
by Sebastian Döhler of the University of Applied Sciences Darmstadt
(757K PDF) -- 35 pages -- June 25, 2010
#14. Credit Risk, Market Sentiment and Randomly-Timed Default
by Dorje C. Brody of Imperial College London,
Lane P. Hughston of Imperial College London, and
Andrea Macrina of King's College London & Kyoto University
(172K PDF) -- 12 pages -- June 15, 2010
#15. Exact Simulation of Point Processes with Stochastic Intensities
by Kay Giesecke of Stanford University,
Hossein Kakavand of the Perot Group, and
Mohammad Mousavi of Stanford University
(263K PDF) -- 31 pages -- June 15, 2010
#16. Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis
by Konstantinos Spiliopoulos of Brown University, and
Richard B. Sowers of the University of Illinois at Urbana–Champaign
(337K PDF) -- 27 pages -- June 15, 2010
#17. Handling Exotic Positions for Counterparty Risk Management
by Shahram Alavian of Lehman Brothers International Europe
(281K PDF) -- 11 pages -- June 12, 2010
#18. Market Models for CDOs Driven by Time-inhomogeneous Lévy Processes
by Ernst Eberlein of the University of Freiburg,
Zorana Grbac of the University of Freiburg, and
Thorsten Schmidt of the Chemnitz University of Technology
(268K PDF) -- 31 pages -- June 10, 2010
#19. Credit Risk Premia and Quadratic BSDEs with a Single Jump
by Stefan Ankirchner of the Universtät Bonn,
Christophette Blanchet-Scalliet of the Université de Lyon, and
Anne Eyraud-Loisel of the Université Lyon 1
(303K PDF) -- 27 pages -- June 8, 2010
#20. Granularity Adjustment for Mark-to-Market Credit Risk Models
by Michael B. Gordy of the Federal Reserve Board, and
James Marrone of the Federal Reserve Board
(474K PDF) -- 39 pages -- June 3, 2010
