Risk Management Tentative Schedule Class Notes

Sample Exam

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Downloaded Papers -- Default Risk
 
 

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(1)¡@Determinants of the Asset Correlations of German Corporations and Implications for Regulatory Capital
¡@¡@ ( By Klaus Dullmann of Deutsche Bundesbank, and Harald Scheuley of the University of Regensburg )

(2)¡@Correlated Defaults in Reduced-Form Models
¡@¡@ ( By Fan Yu of the University of California, Irvine )

(3)¡@Credit Risk Diversification: Evidence from the Eurobond Market
¡@¡@ ( By Simone Varotto of the University of Reading and the Bank of England )
(5)¡@Business and Default Cycles for Credit Risk
¡@¡@ ( By Siem Jan Koopman of the Vrije Universiteit Amsterdam and the Tinbergen Institute, and Andre Lucas of the Vrije Universiteit Amsterdam and the Tinbergen Institute )
(6)¡@Default Risk and Diversification: Theory and Applications
¡@¡@ ( By Robert A. Jarrow of Cornell University, David Lando of the University of Copenhagen, and Fan Yu University of California at Irvine )
(7)¡@The Term Structure of Default in Copula Models
¡@¡@ ( By Shaloub Razak of Bear Stearns and Co. )
(8)¡@How Does Systematic Risk Impact US Credit Spreads? A Copula Study
¡@¡@ ( By Hayette Gatfaoui of the University Paris I - Pantheon-Sorbonne )
(9)¡@On Credit Risk in Supply Chains: Is Negative Default Correlation Among Suppliers Desirable?
¡@¡@ ( By Volodymyr Babich of Case Western Reserve University, Apostolos N. Burnetas of Case Western Reserve University, and Peter H. Ritchken of Case Western Reserve University )
(10)¡@Macroeconomic Dynamics and Credit Risk: A Global Perspective
¡@¡@ ( By M. Hashem Pesaran of the University of Cambridge, Til Schuermann of the Federal Reserve Bank of New York, Bjorn-Jakob Treutler of Mercer Oliver Wyman and WHU, and Scott M. Weiner of Alliance Capital Management L.P. )
(11)¡@Successive Correlated Defaults: Compensators and Simulation
¡@¡@ ( By Kay Giesecke of Cornell University )
(12)¡@Cyclical Correlations, Credit Contagion, and Portfolio Losses
¡@¡@ ( By Kay Giesecke of Cornell University, and Stefan Weber of TU Berlin )
(13)¡@Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany
¡@¡@ ( By Daniel Rosch of the University of Regensburg )
(14)¡@Beyond Correlation: Extreme Co-movements Between Financial Assets
¡@¡@ ( By Roy Mashal of Columbia University, and Assaf Zeevi of Columbia University )
(15)¡@Dependent Defaults and Credit Migrations
¡@¡@ ( By Tomasz R. Bielecki of The Northeastern Illinois University, and Marek Rutkowski of the Warsaw University of Technology )
(16)¡@Credit Contagion and Aggregate Losses
¡@¡@ ( By Kay Giesecke of Cornell University, and Stefan Weber of the Technische Universitat Berlin )

(17)¡@An Simple Exponential Model for Dependent Defaults
¡@¡@ ( By Kay Giesecke of Humboldt-Universitat zu Berlin )

(18)¡@Modeling the Processes of Correlated Default
¡@¡@ ( By Sanjiv R. Das of Santa Clara University, and Gary Geng of Gifford Fong Associates )
(19)¡@Measuring Credit Correlations: Equity Correlations are Not Enough!
¡@¡@ ( By Bin Zeng of Moody's |KMV, and Jing Zhang of Moody's |KMV )
(20)¡@Correlated Default Risk
¡@¡@ ( By Sanjiv R. Das of Santa Clara University, Laurence Freed of Moody's Investors Service, Gary Geng of Gifford Fong Associates, and Nikunj Kapadia of the University of Massachusetts )
(21)¡@Correlated Default with Incomplete Information
¡@¡@ ( By Kay Giesecke of Humboldt-Universitat zu Berlin )
(22)¡@Copula-Dependent Default Risk in Intensity Models
¡@¡@ ( By Philipp J. Schonbucher of Bonn University, and Dirk Schubert of Bonn University )
(23)¡@An Empirical Assessment of Asset Correlation Models
¡@¡@ ( By Bin Zeng of Moody's|KMV, and Jing Zhang of Moody's|KMV )
(24)¡@Correlation of Default Events: Some New Tools
¡@¡@ ( By Salih Neftci of the University of New York and the University of Reading )
(25)¡@Modelling Dependence with Copulas and Applications to Risk Management
¡@¡@ ( By Paul Embrechts of the Department of Mathematics ETHZ, Filip Lindskog of the Department of Mathematics ETHZ, and Alexander McNeil of the Department of Mathematics ETHZ )
(26)¡@Modelling Dependent Defaults
¡@¡@ ( By Rudiger Frey of the University of Zurich, and Alexander J. McNeil of the Federal Institute of Technology )
(27)¡@Models of Joint Defaults in Credit Risk Management: An Assessment
¡@¡@ ( By Ulrich Erlenmaier of the University of Heidelberg )
(28)¡@An Actuarial Model of Credit Risk Contagion
¡@¡@ ( By Sergio M. Focardi of The Intertek Group )
(29)¡@Linear Correlation Estimation
¡@¡@ ( By Filip Lindskog of ETH-Zentrum )
(30)¡@Copula from the Limit of a Multivariate Binary Model
¡@¡@ ( By Dennis Wong of Bank of America Corporation )
(31)¡@What Are the Sources of Country and Industry Diversification?
¡@¡@ ( By Kent Hargis of Goldman Sachs, and Jianping (J.P.) Mei of New York University )
(32)¡@Modelling Dependencies in Credit Risk Management
¡@¡@ ( By Mark A. Nyfeler of the Swiss Federal Institute of Technology Zurich )
(33)¡@The Correlation Effect
¡@¡@ ( By Hans Gersbach of the University of Heidelberg, and Alexander Lipponer of the University of Heidelberg )
(34)¡@Integrating Correlations
¡@¡@ ( By Peter Burgisser, Alexandre Kurth, Armin Wagner, and Michael Wolf of UBS )
(35)¡@Valuing Credit Default Swaps II: Modeling Default Correlations
¡@¡@ ( By John Hull of the University of Toronto and, Alan White of the University of Toronto )
(36)¡@On Default Correlation: A Copula Function Approach
¡@¡@ ( By David X. Li of The RiskMetrics Group )
(37)¡@Evaluating "Correlation Breakdowns" During Periods of Market Volatility
¡@¡@ ( By Mico Loretan and William B. English of the Board of Governors of the Federal Reserve System )
(38)¡@Modelling Default Correlation in Bond Portfolios
¡@¡@ ( By Mark Davis of the Vienna University of Technology, and Violet Lo of Tokyo-Mitsubishi International, plc. )
(39)¡@Default Correlations, Macroeconomic Risk and Credit Portfolio Management
¡@¡@ ( By Hans Gersbach of the University of Heidelberg, Alexander Lipponer of the University of Heidelberg )
(40)¡@Default Correlation
¡@¡@ ( By Adriano A. Rampini of Northwestern University )
(41)¡@Correlation and Dependence in Risk Management: Properties and Pitfalls
¡@¡@ ( By Paul Embrechts ETH-Zentrum, Alexander McNeil ETH-Zentrum, and Daniel Straumann ETH-Zentrum )
(42)¡@Simulating Correlated Defaults
¡@¡@ ( By Darrell Duffie of Stanford University, Kenneth Singleton of Stanford University )
(43)¡@Correlation: Pitfalls and Alternatives
¡@¡@ ( By Paul Embrechts, Alexander McNeil & Daniel Straumann Department Mathematik, ETH Zentrum )
(44)¡@Correlation - the hidden risk in Collateralized Debt Obligations
¡@¡@ ( By Richard K. Skora of Skora & Company Inc., Credit Risk Management )
(45)¡@Aggregation of Correlated Risk Portfolios: Models & Algorithms
¡@¡@ ( By Shaun S. Wang for the CAS Committee on Theory of Risk )
(46)¡@On Approximation of Copulas
¡@¡@ ( By Tomasz Kulpa of the Department of Mathematics, University of Silesia )
(47)¡@Moody's Rating Migration and Credit Quality Correlation, 1920-1996
¡@¡@ ( By Lea V. Carty of Moody's |KMV )
(48)¡@Default Correlation: An Analytical Result
¡@¡@ ( By Chunsheng Zhou of the Federal Reserve Board of Governors )
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