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. An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches
by Peter Feldhütter of the Copenhagen Business School
(423K PDF) -- 47 pages -- May 7, 2008
#2. Self-exciting Corporate Defaults
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(487K PDF) -- 36 pages -- May 1, 2008
#3. Risk Transfer with CDOs
by Jan Pieter Krahnen of Goethe University Frankfurt,
Christian Wilde of Goethe University Frankfurt
(190K PDF) -- 23 pages -- April 28, 2008
#4. Premia for Correlated Default Risk
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(690K PDF) -- 31 pages -- April 28, 2008
#5. 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
#6. 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
#7. Toward a New Framework and a Better Understanding of Credit Default Swaps
by Ari Brandes of Georgetown University
(344K PDF) -- 48 pages -- April 21, 2008
#8. Dynamic Conditioning and Credit Correlation Baskets
by Claudio Albanese, Independent Consultant
Alicia Vidler of Merrill Lynch
(1,487K PDF) -- 30 pages -- March 25, 2008
#9. A Unified Framework for Pricing Credit and Equity Derivatives
by Erhan Bayraktar of the University of Michigan, and
Bo Yang of the University of Michigan
(504K PDF) -- 27 pages -- April 21, 2008
#10. A Comparative Analysis of CDO Pricing Models
by Xavier Burtschell of BNP-Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(243K PDF) -- 26 pages -- April 21, 2008
#11. Nested Simulation in Portfolio Risk Measurement
by Michael B. Gordy of the Federal Reserve Board, and
Sandeep Juneja of the Tata Institute of Fundamental Research
(347K PDF) -- 33 pages -- April 8, 2008
#12. Hedging Default Risks of CDOs in Markovian Contagion Models
by Jean-Paul Laurent of the University of Lyon & BNP Paribas
Areski Cousin of the University of Lyon, and
Jean-David Fermanian of BNP Paribas
(220K PDF) –- 31 pages -- April 8, 2008
#13. CDO Loss Term-structure Expansions in a Fatal-Shock Framework
by Laurent Veilex of Credit-Suisse
(1,067K PDF) -- 28 pages -- April 2008
#14. Credit Risk Transfer: Developments from 2005 to 2007
by Basel Committee on Banking Supervision
(539K PDF) -- 87 pages -- April 2008
#15. Euler Allocation: Theory and Practice
by Dirk Tasche of Fitch Ratings, QFR, London
(342K PDF) -- 21 pages -- April 2008
#16. Correlated Binomial Models and Correlation Structures
by Masato Hisakado of Standard & Poor's,
Kenji Kitsukawa of Keio University, and
Shintaro Mori of Kitasato University
(179K PDF) –- 12 pages -- March 25, 2008
#17. What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches
by Andrew Kuritzkes of Mercer Oliver Wyman, and
Til Schuermann of the Federal Reserve Bank of New York
(195K PDF) -- 58 pages -- March 23, 2008
#18. Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
by Henrik Jönsson of EURANDOM, Eindhoven, and
Wim Schoutens of Katholieke Universiteit Leuven
(225K PDF) -- 23 pages -- March 10, 2008
#19. Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
by Evan Papageorgiou of Princeton University, and
Ronnie Sircar of Princeton University
(378K PDF) -- 29 pages -- March 3, 2008
#20. Macro Stress Tests and History-Based Stressed PD: The case of Hong Kong
by Michael Wong of the University of Hong Kong & CT Risk Solutions, and
Yat-fai Lam of Hong Kong Monetary Authority
(149K PDF) -- 17 pages -- March 2008
