Submit Your Paper | Fitch Ratings Jobs [ Worldwide] | Post Your Résumé
For Recruiters | | Featured Book
Paris-Princeton Lectures on Mathematical Finance 2004 Finance 2004
by Rene A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyen Pham, Erik Taflin, Springer, (October 1, 2007), Paperback, 248 pages |  | Training Discounted for DefaultRisk.com visitors only:
The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM | Sponsor:
Shop at Amazon.com and support DefaultRisk.com  |
| | Sorry for the delay in updating these Top10 lists. My hosting company has corrupted recent traffic logs. Top Ten Most Viewed PapersThese 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 (April-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 | 112 | Recovery Rates, Default Probabilities and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos Gonzalez-Aguado of CEMFI
(374K PDF) -- 40 pages -- October 22, 2007 | | 2 | 2 | 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 | | 3 | 9 | CreditRisk+ A Credit Risk Management Framework
by Tom Wilde of CSFB
(413K PDF) -- 72 pages -- October 1997 | | 4 | 272 | Asset Liquidity, Debt Valuation and Credit Risk
by Ethan Cohen-Cole of the Federal Reserve Bank of Boston
(800K PDF) -- 38 pages -- April 2007 | | 5 | 1318 | Portfolio Credit: Top Down vs. Bottom Up Approaches
by Kay Giesecke of Stanford University
(170K PDF) -- 17 pages -- February 8, 2008 | | 6 | 52 | Dynamic Models of Portfolio Credit Risk: A Simplified Approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(181K PDF) -- 29 page -- December 2006 | | 7 | 1326 | Structured Finance CDOs and Event of Default Risk
by Elizabeth R. Nugent of Fitch Ratings
(74K PDF) -- 5 pages -- December 3, 2007 | | 8 | 1334 | Premia for Correlated Default Risk
by Shahriar Azizpour of Stanford University, and
Kay Giesecke of Stanford University
(739K PDF) -- 29 pages -- February 26, 2008 | | 9 | 432 | Fitch Equity Implied Rating and Probability of Default Model
by Bo Liu of Fitch Ratings, QFR,
Ahmet E. Kocagil of Fitch Ratings, QFR, and
Greg M. Gupton of Fitch Ratings, QFR
(489K PDF) -- 19 pages -- June 13, 2007 | | 10 | 318 | Credit Risk - A structural model with jumps and correlations
by Rudi Schäfer of Lund University,
Markus Sjölin of Lund University,
Andreas Sundin of Lund University,
Michal Wolanski of Lund University, and
Thomas Guhr of Lund University
(1,009K PDF) -- 24 pages -- February 3, 2008 |
Some More All Time Favorites| Current | "AllTime"
Rank | | | 11 | 1 | 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 | | 107 | 3 | Credit Risk Modeling and Valuation: An Introduction
by Kay Giesecke of Cornell University
(305K PDF) -- 39 pages -- February 17, 2004 | | 67 | 4 | 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 | | 86 | 5 | 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 | | 90 | 6 | 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 | | 114 | 7 | LossCalc™: Moody's Model for Predicting Loss Given Default (LGD)
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,189K PDF) -- 32 pages -- February 2002 |
A reference/abstract is listed on my site (rather than a full downloadable paper) because: 1) its authorship pre-dates the common use of PDF formatting, or 2) it has been published and is no longer freely accessible in PDF format. So you tend to see the older "classics" that have enduring value. For example, I would guess that Merton[1974] is the most frequently sited reference on this site. Updated (April-1) 1 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. [Introduction] 2 Valuzis, Mantas, "On the Probabilities of Correlated Defaults: a First Passage Time Approach", Nonlinear Analysis: Modelling and Control, Vol. 13, No. 1, (March 2008), pp. 117-133. [Abstract] 3 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. [Abstract] 4 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. [Abstract] 5 Black, Fischer and Myron Scholes, "The Pricing of Option and Corporate Liabilities", The Journal of Political Economy, Vol. 81, No. 3, (May-Jun. 1973), pp. 637-654. [Abstract] 6 Anderson, Ronald and Suresh Sundaresan, "A Comparative Study of Structural Models of Corporate Bond Yields: An exploratory investigation", Journal of Banking & Finance, Vol. 24, No. 1, (January 2000), pp. 255-269. [Abstract] 7 Israel, Robert B., Jeffrey S. Rosenthal, and Jason Z. Wei, "Finding Generators for Markov Chains via Empirical Transition Matrices with Applications to Credit Ratings", Mathematical Finance, Vol. 11, No. 2, (April 2001), pp. 245-265. [Abstract] 8 Andersen, Leif and Jakob Sidenius, "Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings", Journal of Credit Risk, Vol. 1, No. 1, (Winter 2004), pp. 29–70. [Abstract] 9 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. [Abstract] 10 Jarrow, Robert A. and Stuart M. Turnbull. "Pricing Derivatives on Financial Securities Subject to Credit Risk", Journal of Finance, Vol. L, No. 1, Cornell University, and Queen's University (Canada) (Mar-1995), pp. 53-85. [Abstract] |
