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Today's Featured Book Bankruptcy, Credit Risk and High Yield Junk Bondsby Edward I. Altman, Blackwell Publishers, December 2001, Hardcover, 400 pages Training Discounted for DefaultRisk.com visitors only: The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companionby Philipp J. Schönbucher,WBS Training, August 2003, DVD / Interactive CD-ROMSponsor:Shop at Amazon.com and support DefaultRisk.com    This is the web's most comprehensive credit risk modeling and measurement resource for corporate debt. There are currently 1,431 references with abstracts to credit risk management and modeling related research, 1,202 of these are full text freely downloadable papers. If I have missed anything, then please contact me. I spoke at C.R.E.D.I.T. 2007.I published 2 implied ratings models using Equity prices and CDS spreads.I published: How Much Credit in Credit Risk Models?.It's just for fun, but I wrote a brief article for Financial Engineering News.Fitch Group Announces Academic Advisory Board, Launches Grant Program.I was published in Economic Notes.New this week of October-5:Macro Stress and Worst Case Analysis of Loan Portfolios (updated)Valuation and Hedging of Defaultable Game Options in a Hazard Process Model (updated)A Unified Framework for Pricing Credit and Equity Derivatives (updated)On Correlation Effects and Default Clustering in Credit Models The Handbook of Credit Portfolio Managementby Greg N. Gregoriou, Christian HoppeMcGraw-Hill, September 22, 2008, Hardcover, 504 pagesAll of the Top Ten Lists are updated.New in previous weeks:Week of September-28 Macro-model-based Stress Testing of Basel II Capital RequirementsGraphical Models for Correlated DefaultsPricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities (updated)Measuring the Risk of Large Losses (updated) Essential Strategies for Financial Services Complianceby Annie MillsWiley, September 29, 2008, Hardcover, 374 pagesMost Cited Books (updated).Rating Watchlists and the Informational Content of Rating ChangesWeek of September-14 An Empirical Analysis of the Pricing of Collateralized Debt Obligations (updated)The Pricing of Credit Risk DerivativesFrailty Correlated Default (updated)Pricing and Hedging Options on Defaultable AssetsLiquidity and Credit Default Swap SpreadsA Fault Tree Analysis Strategy Using Binary Decision Diagrams Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating Systemby Bogie Ozdemir, Peter MiuMcGraw-Hill, September 12, 2008, Hardcover, 480 pagesMulti-Scale Time-changed Birth Processes For Pricing Multi-name Credit DerivativesWeek of September-14 An Analytic Approach to Credit Risk of Large Corporate Bond and Loan PortfoliosThe Credit Crunch of 2007: What went wrong? Why? What lessons can be learned?CDO Tranche Sensitivities in the Gaussian Copula ModelBond Implied CDS Spread and CDS-Bond Basis Structured Finance and Collateralized Debt Obligations: New Developments in Cash and Synthetic Securitizationby Janet M. TavakoliSeptember 16, 2008, Hardcover, 454 pagesWeek of September-7 Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery (mended)Portfolio Credit Risk: A Model of Correlated Credit Losses Dynamics and the Inverse-Gamma Approximation A Guide To Active Credit Portfolio Managementby Risk BooksAugust 31, 2008, Hardcover, 200 pagesDynamic Models of Portfolio Credit Risk: A simplified approach (updated)Week of August-31 Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks (updated)Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic RecoveryThe Market Price of Credit Risk: The impact of asymmetric information (updated)A Value at Risk Analysis of Credit Default Swaps (updated)Self-exciting Corporate Defaults: Contagion vs. frailty (updated)Lévy Density Based Intensity Modeling of the Correlation Smile (updated)Default and the Maturity Structure in Sovereign Bonds (updated) Global Catastrophic Risksby Martin J. Rees, Nick Bostrom, Milan CirkovicOxford University Press, September 15, 2008, Hardcover, 550 pagesBounds for the Distribution of a Multivariate SumWeek of August-24 An Empirical Comparison of Alternative models of the Short-term Interest RateNew Framework for Measuring and Managing Macrofinancial Risk and Financial StabilityConditional Loss Estimation Using a South African Global Error Correcting Macroeconometric ModelLinking Global Economic Dynamics to a South African Specific Credit Portfolio Support Vector Machinesby Ingo Steinwart, Andreas ChristmannSpringer, August 12, 2008, Hardcover, 602 pagesWeek of August-17 Generic Lévy One-factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDXOn CDO Tranche Pricing when Copula is Nearly ComonotoneCVA Calculation for CDS on Super Senior ABS CDO Modelling Single-name and Multi-name Credit Derivativesby Dominic O'KaneWiley, August 25, 2008, Hardcover, 514 pagesWeek of August-3 Credit Contagion from Counterparty RiskDefault and the Maturity Structure in Sovereign BondsLimited Arbitrage and Liquidity in the Market for Credit Risk (mended) The Definitive Guide to CDOsby Gunter Meissner (Editor)Incisive Media, July 31, 2008, Hardcover, 350 pages Arbitrage-free Loss Surface Closest to Base CorrelationsDeterminants of Sovereign Risk: Macroeconomic fundamentals and the pricing of sovereign debt (updated)Week of July-27 Loss Given Default Implied by Cross-sectional No Arbitrage (Job Market Paper) (updated)Don't Fall from the Saddle: the importance of higher moments of credit loss distributions (updated)Utility Valuation of Multiname Credit Derivatives and Application to CDOs (updated)Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads (updated)Self-exciting Corporate Defaults: Contagion vs. frailty (updated)Extracting Systematic Factors in a Continuous-time Credit Migration ModelThe Discrete Gamma Pool Model (updated) Risk Analysis: A Quantitative Guide, 3rd Ed.by David VoseWiley, May 19, 2008, Hardcover, 752 pages Week of July-20 Hedging Credit: Equity liquidity mattersTesting Homogeneity of Time-Continuous Rating TransitionsPricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach (updated) Credit Derivatives Handbook: Global Perspectives, Innovations, and Market Driversby Greg N. Gregoriou and Paul U. AliMcGraw-Hill, July 2, 2008, Hardcover, 528 pages Systemic Credit Risk: What is the market telling us?Credit Risk Discovery in the Stock and CDS Market: Who, when and why leads?Week of July-13 Lévy Density Based Intensity Modeling of the Correlation SmileRisk Aversion and the Yield of Corporate DebtOptimal Stochastic Recovery for Base Correlation Credit Risk: Models, Derivatives, and Managementby Niklas Wagner (Editor)Chapman & Hall/CRC, May 28, 2008, Hardcover, 600 pagesLiquidating Illiquid Collateral (Job Market Paper) (updated)Premia for Correlated Default Risk (updated)Week of July-6 Recovery Rates, Default Probabilities and the Credit Cycle (updated)Dynamic Default RatesThe Cyclical Behavior of Default and Recovery RatesAsset Correlations and Credit Portfolio Risk: An empirical analysis Bio-Inspired Credit Risk Analysis: Computational Intelligence with Support Vector Machinesby Lean Yu, Shouyang Wang, Kin Keung Lai, Ligang ZhouSpringer, June 5, 2008, Hardcover, 244 pagesWeek of June-29 How has CDO Market Pricing Changed During the Turmoil: Evidence from CDS index tranchesDefault Correlations and the Effect of Estimation Errors on Risk FiguresAre Default Correlations Time Dependent? A Bayesian approachLimited Arbitrage and Liquidity in the Market for Credit RiskLatent Liquidity: A new measure of liquidity, with an application to corporate bondsEstimating a Financial Distress Rating System for Spanish Firms with a Simple Hazard Model Understanding Risk: The Theory and Practice of Financial Risk Managementby David MurphyChapman & Hall/CRC, April 23, 2008, Paperback, 472 pagesWeek of June-22 Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlationGeneralized Beta Regression Models for Random Loss-Given-DefaultAn Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches (updated)A Note on Fitting Markov Operator Credit Risk ModelsCapital Allocation to Business Units and Sub-Portfolios: The Euler principle (updated) Macrofinancial Risk Analysisby Dale Gray, Samuel W MaloneWiley, May 16, 2008, Hardcover, 362 pagesWeek of June-8 Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation (updated)Optimal Leverage Function for CPDOsModeling of CPDOs Identifying Optimal and Implied LeverageA Top-down Approach to Multi-name Credit (updated)The Discrete Gamma Pool Model (updated)In Search of Hybrid Models for Credit Risk: from Leland-Toft to Carr-LinetskyInverse CIR and Semi-Affine Intensity-based Modeling on Credit Risk Options, Futures, and Other Derivatives with Derivagem CD (7th Edition)by John C. HullPrentice Hall, May 2008, Hardcover, 744 pagesExplicit Formulas for Laplace Transforms of Stochastic IntegralsPricing Equity Derivatives Subject To BankruptcyWeek of June-1 Forced Selling of Fallen AngelsCredit Spreads and Incomplete InformationDiscriminatory Power: An obsolete validation criterion?Myth and Reality of Discriminatory Power for Rating SystemsRandomized Structure Model of Credit Spreads (updated) Rethinking Bank Regulation: Till Angels Governby James R. Barth, Gerard Caprio, Ross LevineCambridge University Press, May 12, 2008, Paperback, 448 pagesWeek of May-25 Basel II Correlation Values: An empirical analysis of EL, UL and the IRB ModelA Simple Robust Link Between American Puts and Credit InsuranceFitch Ratings 1991–2007 Global Structured Finance Transition and Default Study Managing Credit Risk: The Great Challenge for Global Financial Marketsby John B. Caouette, Edward I. Altman, Paul Narayanan, Robert NimmoWiley, May 16, 2008, Hardcover, 656 pagesWeek of May-18 Pricing Distressed CDOs with Base Correlation and Stochastic RecoveryModeling the Loss DistributionHow Sovereign is Sovereign Credit Risk?Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlationLarge Portfolio Losses: A dynamic contagion model (updated)Optimal Dynamic Hedging of CliquetsThe Discrete Gamma Pool Model (updated)Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions (updated) The Drunkard's Walk: How Randomness Rules Our Livesby Leonard MlodinowPantheon, May 13, 2008, Paperback, 272 pagesDecomposing Swap Spreads (updated)Pricing Tranched Credit Products with Generalized Multifactor Models (updated)An Improved Implied Copula Model And Its Application To The Valuation Of Bespoke CDO TranchesWeek of May-11 Nested Simulation in Portfolio Risk MeasurementAn Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches (updated)Ratings-Based Pricing and Stochastic SpreadsMacroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (updated) The Banker's Handbook on Credit Risk: Implementing Basel IIby Morton Glantz, Johnathan MunAcademic Press, May 1, 2008, Hardcover, 432 pagesToward a New Framework and a Better Understanding of Credit Default SwapsThe Distribution of Loan Portfolio ValueWeek of May-4 Dynamic Conditioning and Credit Correlation Baskets (updated)A Unified Framework for Pricing Credit and Equity Derivatives (updated) The Cognitive Style of PowerPoint: Pitching Out Corrupts Withinby Edward R. TufteGraphics Press, (2006), Paperback, 32 pagesRisk Contributions of Systematic Factors in Portfolio Credit Risk ModelsRisk Transfer with CDOs (updated)Week of April-27 Self-exciting Corporate DefaultsPremia for Correlated Default Risk (updated)A Comparative Analysis of CDO Pricing Models (updated)Affine Processes and Applications in FinanceMacro Stress Tests and History-Based Stressed PD: The case of Hong Kong Advanced Analytical Models, + DVD: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyondby Johnathan MunWiley, May 2, 2008, Hardcover, 1032 pagesPricing Options on Defaultable Stocks (updated)Week of April-20 A Novel Methodology for Credit Portfolio Analysis: Numerical approximation approachCDO Loss Term-structure Expansions in a Fatal-Shock FrameworkRisk Transfer with CDOs (updated)On Recovery And Intensity Correlation: A new class of credit risk models Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investorsby Brian P. Lancaster, Glenn M. Schultz, Frank J. FabozziWiley, April 25, 2008, Hardcover, 524 pagesHedging Default Risks of CDOs in Markovian Contagion Models (updated)Credit Risk Transfer: Developments from 2005 to 2007Regimes of Volatility: Some observations on the variation of S&P 500 implied volatilitiesWeek of April-6Euler Allocation: Theory and Practice (updated)Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics (updated)Forecasting Cross-Sections of Frailty-Correlated DefaultLarge Portfolio Losses: A dynamic contagion modelCorrelated Binomial Models and Correlation Structures (updated)Do Unsolicited Ratings Contain a Strategic Rating Component? Evidence from S&PWhy Do Firms Pay for Bond Ratings When They Can Get Them for Free? (Job Market Paper)What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches Extreme Values, Regular Variation, and Point Processesby Sidney I. ResnickSpringer, November 26, 2007, Paperback, 320 pagesExcess Volatility of Corporate BondsWeek of March-30 Hedging and Asset Allocation for Structured ProductsOwnership Links, Leverage and Credit RiskMultiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit DerivativesThe Discrete Gamma Pool ModelComparing Some Alternative Lévy Base Correlation Models for Pricing and Hedging CDO Tranches CREDIT CORRELATION: Life After Copulasby Alexander LiptonWorld Scientific Publishing, December 25, 2007, Hardcover, 176 pagesInfectious Default Model with Recovery and Continuous LimitsWeek of March-23 Credit Risk and Risk Neutral Default Probabilities: Information about migrations and defaultsGlobal List of Credit Rating Agencies (updated)A Stochastic Framework for Public Debt Sustainability AnalysisModeling the Recovery Rate in a Reduced Form Model (updated) International Financial Instabilityby Douglas D. Evanoff (Editor), George G. Kaufman (Editor), and John R. LaBrosse (Editor)World Scientific Publishing, "October 15, 2008" -- but now shipping, Hardcover, 492 pagesPrimary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" ApproachA Risk Management Approach to Emerging Markets Sovereign Debt Sustainability with an Application to Brazilian DataDebt Intolerance
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About this Web SiteThis is not a vendor site. It is just my own. I have been excited by credit risk methodologies throughout my career (I work at Fitch Ratings with a crack quant team). Although I am the principal author of CreditMetrics® and LossCalc™ (and have a natural affinity for them), I am more of an advocate for the continued study of credit risk modeling. Wonderfully, there are over fourteen hundred researchers featured on this site (see full list)!"I'm making the world less risky;one credit portfolio at a time!"-- Greg M. GuptonWhat I want is to advance the state-of-the-art of credit risk management ... through YOU. I hope to give you all the tools to understand the strengths and limits of credit value-at-risk models so you can take the best and ... I trust ... create better ones. This site has been under continual development since 2000 and will continue to grow. I'm trying to satisfy two audiences:Practitioners have a no-nonsense need to address risk in a timely fashion. Institutions hire research people to develop internally (and adapt from external sources) risk measurement and pricing systems to address tangible needs.Academics have the more strategic, but no less difficult, need to efficiently access the many disparate sources of prior research and to gain insight into current practitioner practice & demand.Greg M. Gupton, Webmaster [ Home ] [ Papers ] [ Top Ten Lists ] [ Researchers ] [ Jobs ] [ Submissions ] [ Conferences+ ] [ Greg M. Gupton ]Please contact me with problems or suggestions.Copyright © 2000-2008 DefaultRisk.com Last modified: October 10, 2008 |
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