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 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. Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and funding value adjustments
by Antonio Castagna of iason Ltd.
(243K PDF) -- 19 pages -- January 24, 2012 #2. Analytical Pricing of CDOs in a Multi-factor Setting by a Moment Matching Approach
by Antonio Castagna of iason Ltd.,
Fabio Mercurio of Bloomberg LP & iason Ltd., and
Paola Mosconi of Banca IMI
(213K PDF) -- 18 pages -- January 16, 2012 #3. Sovereign Recovery Schemes: Discounting and risk management issues
by Joe Bonnaud of BNP Paribas,
Laurent Carlier of BNP Paribas,
Jean-Paul Laurent of the Université Paris 1 Panthéon-Sorbonne, and
Jean-Luc Vila - Independent Consultant
(163K PDF) -- 18 pages -- January 5, 2012 #4. Sovereign Correlations in Recent Recessions
by Taehan Bae of University of Regina, and
Ian Iscoe of Algorithmics Inc, an IBM Company
(690K PDF) -- 18 pages -- January 2012 #5. Next Generation System-Wide Liquidity Stress Testing
by Christian Schmieder of the International Monetary Fund,
Heiko Hesse of the International Monetary Fund,
Benjamin Neudorfer of Oesterreichische Nationalbank,
Claus Puhr of Oesterreichische Nationalbank, and
Stefan W. Schmitz of Oesterreichische Nationalbank
(139K PDF) -- 61 pages -- January 2012 #6. Allen, David Edmund, Robert John Powell, Abhay Kumar Singh, "Beyond Reasonable Doubt: Multiple tail risk measures applied to European industries", Applied Economics Letters, Vol. 19, No. 7, (2012), pp. 671-676. #7. Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
by Fabio Sigrist of ETH Zürich, and
Werner A. Stahel of ETH Zürich
(163K PDF) -- 18 pages -- December 24, 2011 #8. Bayesian Estimation of Probabilities of Default for Low Default Portfolios
by Dirk Tasche of Financial Services Authority, United Kingdom
(552K PDF) -- 29 pages -- December 23, 2011 #9. Default and Systemic Risk in Equilibrium
by Agostino Capponi of the Purdue University, and
Martin Larsson of the Cornell University
(480K PDF) -- 42 pages -- December 23, 2011 #10. CVA-VaR
by Shahram Alavian of Royal Bank of Scotland, and
Etienne Koehler of University of Paris-1
(409K PDF) -- 19 pages -- December 13, 2011 #11. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
by Xin Zhang of VU University Amsterdam & Tinbergen Institute,
Bernd Schwaab of European Central Bank, and
André Lucas of Duisenberg School of Finance
(170K PDF) -- 8 pages -- December 13, 2011 #12. Funding Valuation Adjustment: A consistent framework including CVA, DVA, collateral, netting rules and re-hypothecation
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of King's College, London
(260K PDF) -- 23 pages -- December 12, 2011 #13. Application of Own Credit Risk Adjustments to Derivatives - consultative document
by the Basel Committee on Banking Supervision
(128K PDF) -- 12 pages -- December 2011 #14. A New Method to Estimate the Risk of Financial Intermediaries
by Manthos D. Delis of City University, London, and
Efthymios Tsionas of Athens University of Economics and Business
(260K PDF) -- 21 pages -- November 15, 2011 #15. Qui, Jiaping, Fan Yu, "Endogenous Liquidity in Credit Derivatives", Journal of Financial Economics, Forthcoming. #16. Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo of King's College, London
(402K PDF) -- 47 pages -- November 8, 2011 #17. Restructuring Counterparty Credit Risk
by Claudio Albanese of Global Valuation, Ltd, London,
Damiano Brigo of King's College, London, and
Frank Oertel of Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin)
(461K PDF) -- 24 pages -- November 1, 2011 #18. Credit Risk Measurement Methodologies
by David E. Allen of Edith Cowan University, and
Robert J. Powell of Edith Cowan University
(761K PDF) -- 7 pages -- November 2011 #19. A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling
by Natalia Puzanova of Deutsche Bundesbank
(570K PDF) -- 33 pages -- November 2011 #20. Qi, Min and Xinlei Zhao, "Comparison of Modeling Methods for Loss Given Default", Journal of Banking & Finance, Vol. 35, No. 11, (November 2011), pp. 2842-2855. | 
