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
