QMF 2007

From FinMath

Some notes on credit papers presented at QMF 2007.

Contents 1 Wed Dec 12 2 Thu Dec 13 3 Fri Dec 14 4 Related

[edit] Wed Dec 12

• Paper:Investment Timing Liquidity and Agency Costs of Debt Stefan Hirth (2007)

• Paper:Adaptive Integration for Multi-factor Portfolio Credit Loss Models. Xinzheng Huang

• Paper:Modelling credit-spread dynamics in a hitting-time model. Natalie Packham.

• Paper:A Meshless Collocation Method for Default Barrier Models with General Volatility Structure. Zonghang Yang.

• Paper:GEs method for mapping credit risk models output to internal risk ratings. Radu Neagu.

• Paper:Classifying Corporate Bonds a Simple Approach. Hans-Jurg Butler.

• Paper:Default correlation modelling binomial lattices cross entropy and perfect match. Tao Peng.

• Paper:A Second-Order Discretization Scheme for the CIR Process Application to the Heston Model Aurelien Alfonsi.

[edit] Thu Dec 13

• Paper:CDO Approximation in CDO Tranches Pricing via Stein Method. Nicole El Karoui.

• Paper:Filtering and Smoothing for Markov Modulated Compound Poisson Models. Robert Elliott.

• Paper:Jumps and Recovery rates Inferred from Corporate CDS Premia. Tanja Veza.

• Paper:A Flexible Structural Model for Credit Default Swaps. Paul Schneider.

• Paper:Nth to default swaps valuation and analysis. George Jabbour.

• Paper:Measuring CDS Rate with Copula-Dependent Default Intensity. Jiwook Jang.

• Paper:Pricing CDS Rate for Jump Diffusion Default Intensity Processes. Jeong-Hoon Kim.

• Paper:Generating Transition Probability Matrices through an Optimization Framework. Kete Chalermkraivuth.

[edit] Fri Dec 14

• Paper:A Structural Model with Unobserved Default Boundary. Alex Novikov.

• Paper:Calculating Marginal Risk Contributions to VAR and ES using Saddlepoint approximation Applications to Infectious Default Model. Yukio Muromachi.

• Paper:Credit Adjusted Swap. Alex Radchik.

[edit] Related

Also see Conferences for other credit derivative research related conferences.