Other Papers

From FinMath

• Euler Allocation: Theory and Practice
• Forced Selling of Fallen Angels
• Do Unsolicited Ratings Contain a Strategic Rating Component? Evidence from S and P
• Dynamic Credit Portfolio Management: Linking credit risk systems, securitization and standardised credit indices
• Measuring the Risk of Large Losses
• Linking Credit Risk Premia to the Equity Premium
• Laying off Credit Risk: Loan Sales versus Credit Default Swaps
• Ownership Links, Leverage and Credit Risk
• Capital Allocation for Credit Portfolios with Kernel Estimators
• Hedging under the Heston Model with Jump-to-Default
• Credit Rating Dynamics and Markov Mixture Models
• What Credit Ratings Mean
• Adaptive Importance Sampling for Credit Risk Measurement
• The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations
• Interaction of Market and Credit Risk: An analysis of inter-risk correlation and risk aggregation
• Fitch CDS Implied Ratings (CDS-IR) Model
• Capital Structure Arbitrage: Model choice and volatility calibration
• Compound Scenarios: An efficient framework for integrated market-credit risk
• How Much Credit in Credit Risk Models?
• Mathematics in Financial Risk Management
• Calibrating Low-Default Portfolios, using the Cumulative Accuracy Profile
• Tightening Credit Standards: The Role of Accounting Quality
• Portfolio Optimization with a Defaultable Security
• Calibration of PD Term Structures: To Be Markov Or Not To Be
• Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration
• Apples and Pears: The comparison of risk capital and required return in financial institutions
• Bond Durations: Corporates vs. Treasuries
• The Costs of Financial Distress across Industries
• Optimal Investment in a Defaultable Bond
• Leverage, Options Liabilities and Corporate Bond Pricing
• Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
• Rating Philosophies: Some Clarifications
• Default Risk Premia and Asset Returns
• Affine Markov Chain Model of Multifirm Credit Migration
• Distribution-Invariant Risk Measures, Entropy, and Large Deviations
• Capital Structure, Credit Risk, and Macroeconomic Conditions
• Fitch Ratings 1991–2007 Global Structured Finance Transition and Default Study
• Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds
• An Efficient Monte Carlo Method for a Large and Nongranular Credit Portfolio
• An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications
• Pricing and Hedging in the Presence of Extraneous Risks
• The Organization of Credit Risk Management in Banks: Hard versus Soft Information
• Bank Behavior with Access to Credit Risk Transfer Markets
• An Integrated Model for Hybrid Securities
• Are Corporates' Target Leverage Ratios Time-Dependent?
• Importance Sampling for Integrated Market and Credit Portfolio Models
• Fitch Ratings Global Corporate Finance 1990–2005 Transition and Default Study
• Valuation of Capital Structure using Simulation Techniques
• Default Estimation for Low Default Portfolios
• Capital Allocation for Portfolio Credit Risk
• Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
• Default Risk, Shareholder Advantage and Stock Returns
• The Rating Process
• Measuring Provisions for Collateralised Retail Lending
• After VaR: The Theory, Estimation, and Insurance Applications of Quantile-based Risk Measures
• The Role of Support and Joint Probability Analysis in Bank Ratings
• International Structured Finance Rating Comparability Survey
• Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11
• Time to Change - Rating Changes and Policy Implications
• 1986-2002 Credit Risk Loss Experience Study: Private Placement Bonds
• Estimating Continuous Time Transition Matrices From Discretely Observed Data
• Nonparametric Estimation for Non-homogeneous semi-Markov Processes: An application to credit risk
• Risk and Return in Fixed Income Arbitrage: Nickels in front of a steamroller?
• Graphical Data Representation in Bankruptcy Analysis
• Pricing and Hedging of Contingent Credit Lines
• The Influence of FX Risk on Credit Spreads
• The Cost of Distress: Survival, Truncation Risk and Valuation
• Inflation Uncertainty, Asset Valuations, and Five Credit Risk Puzzles
• Better Predictions of Income Volatility Using a Structural Default Model
• Time Series Properties of a Rating System based on Financial Ratios
• Measuring Default Risk Premia from Default Swap Rates and EDFs
• Bank Lines of Credit in Corporate Finance: An Empirical Analysis
• The Pricing Implications of Counterparty Risk for Non-linear Credit Products
• Heterogeneity in Ratings Migration
• Global Business Cycles and Credit Risk
• Efficient Monte Carlo Methods for Convex Risk Measures in Portfolio Credit Risk Models
• Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies
• New Predicting the Credit Cycle with an Autoregressive Model
• A Conditional Valuation Approach for Path-Dependent Instruments
• Economic Benefit of Powerful Credit Scoring
• Confidence Intervals for Probabilities of Default
• A Model of Credit Risk Optimal Policies, and Asset Prices
• Stock Market Performance and the Term Structure of Credit Spreads
• Credit Portfolio Risk and PD Confidence Sets through the Business Cycle
• Risk Contributions in an Asymptotic Multi-Factor Framework
• "Surprise" in Distress Announcements: Evidence from Equity and Bond Markets
• How to Invest Optimally in Corporate Bonds: A reduced-form approach
• A Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements
• Forecasting Extreme Financial Risk
• Implied Migration Rates from Credit Barrier Models
• Modelling the Economic Value of Credit Rating Systems
• The Effects of Rating through the Cycle on Rating Stability, Rating Timeliness and Default Prediction Performance
• Non-Linear Effects of Bond Rating Changes
• Optimal Credit Limit Management Under Different Information Regimes
• Optimal Bank Capital with Costly Recapitalization
• A General Approach to Integrated Risk Management with Skewed Fat-tailed Risks
• Accounting Fraud and the Pricing of Corporate Liabilities Structural Models with Garbling
• Predicting Agency Rating Movements with Spread Implied Ratings
• Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices
• Why Do Firms Pay for Bond Ratings When They Can Get Them for Free? (Job Market Paper)
• Measurement, Estimation and Comparison of Credit Migration Matrices
• Ratings Versus Market-based Measures of Default Risk in Portfolio Governance
• Tail Approximations for Portfolio Credit Risk
• The Relationship Between Default Prediction and Lending Profits: Integrating ROC analysis and loan pricing
• Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies?
• Spectral Capital Allocation
• Accounting Quality and Debt Contracting
• Structural Models in Consumer Credit
• Market Dynamics Associated with Credit Ratings: A Literature Review
• A Simple Model for Credit Migration and Spread Curves
• Asset Allocation with Dependent Default Risk
• Mean- Variance Hedging of Defaultable Claims
• Avoiding the Rating Bounce: Why rating agencies are slow to react to new information
• Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds
• How Ratings Agencies Achieve Rating Stability
• Market Completeness in the Presence of Default Risk
• An Internal Ratings Migration Study
• Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios
• Risk Management, Capital Structure and Lending at Banks
• Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk
• What is a More Powerful Model Worth?
• Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
• Equity Returns Following Changes in Default Risk: New insights into the informational content of credit ratings
• Debtor-in-possession Financing and Bankruptcy Resolution: Empirical Evidence
• Pricing Vulnerable Black-Scholes Options with Dynamic Default Barriers
• An Analytic Approach to Rating Transitions
• The Informational Content and Accuracy of Implied Asset Volatility as a Measure of Total Firm Risk
• Spectral Risk Measures for Credit Portfolios
• Credit Risk in the Leasing Business - A case study of low probability of default
• Bank Lending Policy, Credit Scoring and Value at Risk
• Inferring the Default Rate in a Population by Comparing Two Incomplete Default Databases
• An Examination of Rating Agencies' Actions Around the Investment-Grade Boundary
• Integrating Market Risk and Credit Risk: A Dynamic Asset Allocation Perspective (Job Market Paper)
• A Survey of Cyclical Effects in Credit Risk Measurement Models
• Estimation in the Continuous Time Mover-stayer Model with an Application to Bond Ratings Migration
• Simulating Historical Ratings Transition Matrices for Credit Risk Analysis in Mathematica
• Affine Processes and Applications in Finance
• Implications of Correlated Default For Portfolio Allocation to Corporate Bonds
• Default Risk in Equity Returns
• Default Episodes in the 90s: Factbook and Preliminary Lessons
• The Economics of the Bank and of the Loan Book
• Is Banks' Cost of Equity Capital Different Across Countries? Evidence from the G10 Countries Major Banks
• Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures
• Of Moody's and Merton: a structural model of bond rating transitions
• Loan Equivalents for Revolving Credits and Advised Lines
• Default- and Call-Adjusted Duration for Corporate Bonds
• Value at Risk Bounds for Portfolios of Non-normal Returns
• Regularization Algorithms for Transition Matrices
• Default and Recovery Rates of Corporate Bond Issuers: 2000
• Analysis of Length of Time Spent in Chapter 11 Bankruptcy
• Parameterizing Credit Risk Models with Rating Data
• The Credit Risk of Japanese Banks during the Bubble Period: A Pilot Study of Macro Stress Simulation
• Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios
• Modeling Credit Migration
• A Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads
• Toward a Better Estimation of Wrong-Way Credit Exposure
• The Evolution and Determinants of Emerging Market Credit Spreads in the 1990s
• The Nature of Credit Risk: the effect of maturity, type of obligor, and country of domicile
• The Timing of Debt Issuance and Rating Migrations: Theory and Evidence
• Wrong Way Exposure-Are Firms Underestimating Their Credit Risk?
• Improving Counterparty Risk Management Practices
• Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults
• The Equity Performance of Firms Emerging from Bankruptcy
• Capital Allocation and Bank Management Based on the Quantification of Credit Risk
• Analyzing Alternative Intraday Credit Policies in Real-Time Gross Settlement Systems
• Information Systems for Risk Management
• What Do We Know about Capital Structure? Some Evidence from International Data
• Understanding Aggregate Default Rates of High Yield Bonds
• The Anatomy of the High Yield Bond Market