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. Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010
#2. Macro, Industry and Frailty Effects in Defaults: The 2008 credit crisis in perspective
by Siem Jan Koopman of VU University Amsterdam & Tinbergen Institute,
André Lucas of VU University Amsterdam & Tinbergen Institute & Duisenberg school of finance, and
Bernd Schwaab Tinbergen Institute & Duisenberg school of finance
(788K PDF) -- 40 pages -- January 26, 2010
#3. Filtering and Incomplete Information in Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Thorsten Schmidt of Chemnitz University of Technology
(1,171K PDF) -- 28 pages -- January 22, 2010
#4. Downturn LGD: A spot recovery approach
by Hui Li of AIG
(337K PDF) -- 23 pages -- January 18, 2010
#5. Is there a Distress Risk Anomaly? Corporate bond spread as a proxy for default risk
by Deniz Anginer of University of Michigan, and
Çelim Yıldızhan of University of Michigan
(492K PDF) -- 47 pages -- January 18, 2010
#6. Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,098K PDF) -- 66 pages -- January 12, 2010
#7. Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery
by Hui Li of AIG
(142K PDF) -- 16 pages -- January 7, 2010
#8. On the Consistency of “European Proxy” of Structural Models for Credit Derivatives
by Frédéric D. Vrins of ING Bank
(326K PDF) -- 15 pages -- January 2010
#9. A Spot Stochastic Recovery Extension of the Gaussian Copula
by Norddine Bennani of Barclays Capital, and
Jerome Maetz of Barclays Capital
(379K PDF) -- 21 pages -- January 2010
#10. Negative Probabilities in Financial Modeling
by Gunter Meissner of University of Hawaii, and
Mark Burgin of the University of California, Los Angeles
(335K PDF) -- 19 pages -- December 28, 2009
#11. Credit Calibration with Structural Models: The Lehman case and equity swaps under counterparty risk
by Damiano Brigo of Imperial College & Fitch Solutions,
Massimo Morini of Banca IMI, and
Marco Tarenghi of Banca Leonardo
(238K PDF) -- 21 pages -- December 22, 2009
#12. Clustered Defaults
by Jin-Chuan Duan of the National University of Singapore
(371K PDF) -- 31 pages -- December 17, 2009
#13. Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions, and
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(316K PDF) -- 23 pages -- December 7, 2009
#14. CVA Computation for Counterparty Risk Assessment in Credit Portfolios
by Samson Assefa of the Université d'Evry Val d'Essonne,
Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne, and
Monique Jeanblanc of the Université d'Evry Val d'Essonne & Europlace Institute of Finance
December 5, 2009
#15. Rethinking Risk Capital Allocation in a RORAC Framework
by Arne Buch of d-fine GmbH,
Gregor Dorfleitner, of University of Regensburg, and
Maximilian Wimmer of University of Regensburg
(403K PDF) -- 25 pages -- December 3, 2009
#16. Future Mark-to-Market Value of Path-dependent Instruments
by Chuang Yi of the Bank of Montreal
(243K PDF) -- 13 pages -- December 2, 2009
#17. Markov Chain Models of Portfolio Credit Risk
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne, and
Alexander Herbertsson of the University of Gothenburg
(1,184K PDF) -- 44 pages -- November 23, 2009
#18. Exact and Efficient Simulation of Correlated Defaults
by Kay Giesecke of Stanford University,
Hossein Kakavand of the Perot Group,
Mohammad Mousavi of Stanford University, and
Hideyuki Takada of Mizuho-DL Financial Technology
(281K PDF) -- 34 pages -- November 20, 2009
#19. Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009
#20. Fixed-Income Portfolio Selection
by Kay Giesecke of Stanford University, and
Jack Kim of Stanford University
(403K PDF) -- 37 pages -- November 11, 2009
