Top Ten Most Viewed Authors

Here I list the ten most popularly "viewed" authors.  I find these names by summing the "hits" to all the pages with papers that they authored.  Then, taking these ten names, I list each researcher with their two most popular papers.  Remember, this is an exhibition, not a competition.  Please...no wagering.  Updated November-1

1 Greg M. Gupton:

• CreditMetrics™ -- Technical Document

• Fitch Equity Implied Rating and Probability of Default Model

2 Kay Giesecke:

• Fixed-Income Portfolio Selection

• A Top-down Approach to Multi-name Credit

3 John Hull:

• Forwards and European Options on CDO Tranches

• Pricing Interest-Rate-Derivative Securities

4 Edward I. Altman:

• Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy

• The Re-Emergence of Distressed Exchanges in Corporate Restructurings

5 Damiano Brigo:

• Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation

• Charting a Course Through the CDS Big Bang

6 Alan White:

• The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements

• Valuing Credit Default Swaps I: No Counterparty Default Risk

7 Sébastien Hitier:

• CDO Pricing: Copula implied by risk neutral dynamics

• Pricing CDOs with State Dependent Stochastic Recovery Rates

8 Monique JEANBLANC:

• Defaultable Game Options in a Hazard Process Model

• Immersion Property and Credit Risk Modelling

9 Darrell Duffie:

• Frailty Correlated Default

• Does a Central Clearing Counterparty Reduce Counterparty Risk?

10 Paul Embrechts: 

• An EVT Primer for Credit Risk

• Scaling Of High-Quantile Estimators

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Last modified: July 18, 2009