| | Top Ten Most Viewed Papers These lists reflect the ranking of which pages on my site were most popularly viewed in the last two months. I believe that a two month rolling window is a good balance between responsiveness and endurance. Very short windows overly reflect merely which papers are newly posted. These "top ten" lists show which pages have been most viewed. Updated (February-1) "All Time" Ranking is the ranking since March-2003 when I first started retaining records. Current
Rank | "AllTime"
Rank | Top Ten Most Viewed Papers | | 1 | 1 | CreditMetrics™ -- Technical Document
by Greg M. Gupton of the Morgan Guaranty Trust Company,
Christopher C. Finger of the Morgan Guaranty Trust Company, and
Mickey Bhatia of the Morgan Guaranty Trust Company
(1,361K PDF) -- 212 pages -- April 2, 1997 | | 2 | 1660 | 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 | | 3 | 56 | Credit Valuation Adjustment (CVA)
by Shahram Alavian of Lehman Brothers,
Jie Ding of Nomura,
Peter Whitehead of Deutsche Bank, and
Leonardo Laudicina of Nomura
(125K PDF) -- 22 pages -- October 9, 2010 | | 4 | 1663 | 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 | | 5 | 1427 | CVA and Wrong Way Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(357K PDF) -- 25 pages -- August 1, 2011 | | 6 | 4 | CreditRisk+ A Credit Risk Management Framework
by Tom Wilde of CSFB
(413K PDF) -- 72 pages -- October 1997 | | 7 | 1784 | 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 | | 8 | 1786 | 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 | | 9 | 208 | 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 | | 10 | 3 | On Default Correlation: A copula function approach
by David X. Li of The RiskMetrics Group
(219K PDF) -- 12 pages -- March 2000 |
The Remainder of the All Time "Top Ten" Favorites"AllTime"
Rank | Current
Rank | | | 2 | 90 | Valuing Credit Default Swaps I: No Counterparty Default Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(368K PDF) -- 35 pages -- April 2000 | | 5 | 22 | The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
( 243K PDF) -- 38 pages -- January 2004 | | 6 | 54 | Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(305K PDF) -- 39 pages -- February 17, 2004 | | 7 | 28 | LossCalc v2: Dynamic Prediction of LGD
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,187K PDF) -- 44 pages -- January 2005 | | 9 | 118 | Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(256K PDF) -- 34 pages --February 2004 | | 10 | 96 | A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009 |
My intent with these "Abstract" pages was to reference published papers even if (at the time I originally posted) there was no PDF file that I could link to. Over time, many PDF links have been contributed. But I make no guarantees that these will be available for download. These tend to be "classics" that have enduring value. For example, Merton[1974] is by far the most frequently cited reference on this site. Updated (February-1) 1 Chen, Hsin-Hung, Ben-Chang Shia, Hsiu-Yu Lee, "A Comparative Analysis of Credit Risk Management Models for Banking Industry Using Simulation", Applied Economics, Business and Development, Vol. 208, (2011), pp. 554-562, Springer Berlin Heidelberg, ISBN: 978-3-642-23023-3 2 Witzany, Jiří, "Estimating LGD Correlation", IUP Journal of Financial Risk Management, Vol. 52, No. 4, (December 2010), pp. 73-83. 3 Khieu, Hinh D., Donald J. Mullineaux, Ha-Chin Yi, "The Determinants of Bank Loan Recovery Rates", Forthcoming in: Journal of Banking & Finance. 4 Merton, Robert C. " On the Pricing of Corporate Debt: The Risk Structure of Interest Rates", Journal of Finance, Vol. 29, MIT (1974), pp. 449-470. 5 Qui, Jiaping, Fan Yu, "Endogenous Liquidity in Credit Derivatives", Journal of Financial Economics, Forthcoming. 6 Altman, Edward I., " Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy", Journal of Finance, Vol. 23, No. 4, (September 1968), pp. 589-609. 7 Grundke, Peter, "Top-down Approaches for Integrated Risk Management: How accurate are they?", European Journal of Operational Research, Vol. 203, No. 3, (June 2010), pp. 662-672 8 Myers, Stewart and Nicholal S. Majluf, "Corporate Financing and Investment Decisions when Firms have Information that Investors Do Not Have", Journal of Financial Economics, Vol. 13, No. 2, (June 1984), pp. 187-221. 9 Fama, Eugene F. and Kenneth R. French, " Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, University of Chicago, Vol. 33, No. 1, (Feb-1993), pp. 3-56. 10 Cox, John C, Jonathan E. Ingersoll, Jr., and Stephen A. Ross, "A Theory of the Term Structure of Interest Rates", Econometrica, Vol. 53, No. 2, (March 1985), pp. 385-407. |
