Journals

• Forum

Problems & Solutions: Financially Motivated Model Performance Measures

There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…

• 20 Dec 2005

• Original research

Credit portfolio risk and probability of default confidence sets through the business cycle

• 20 Dec 2005

• Forum

Linear and non-linear credit scoring by combining logistic regression and support vector machines

• 20 Dec 2005

• Original research

Capital structure arbitrage and market timing under uncertainty and trading noise

• 20 Dec 2005

• Original research

The pricing implications of counterparty risk for non-linear credit products

• 20 Dec 2005

• Original research

Practical and theoretical challenges in validating Basel parameters: key learnings from the experience of a Canadian bank

• 20 Dec 2005

• Original research

On the aggregation of local risk models for global risk management

• 04 Oct 2005

• Original research

Currency dependence of corporate credit spreads

• 04 Oct 2005

• Original research

The quantification of operational risk

• 04 Oct 2005

• Original research

Misspecified copulas in credit risk models: how good is Gaussian?

• 04 Oct 2005

• Original research

Evaluation of compound options using perturbation approximation

• 15 Sep 2005

• Original research

Fast solutions of complementarity formulations in American put pricing

• 15 Sep 2005

• Original research

Control variates for Monte Carlo valuation of American options

• 15 Sep 2005

• Original research

Extended Libor market models with stochastic volatility

• 15 Sep 2005

• Forum

Book Review: An Introduction to Credit Risk Modeling

• 30 Aug 2005

• Forum

Recovery swaps

• 30 Aug 2005

• Original research

Better ingredients

• 30 Aug 2005

• Forum

Bootstrapping default probability curves

• 30 Aug 2005

• Forum

CDO pricing with factor models: survey and comments

• 30 Aug 2005

• Forum

Problems & Solutions

There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…

• 30 Aug 2005

• Original research

A model of corporate bond pricing with liquidity and marketability risk

• 30 Aug 2005

• Original research

Recovering volatility from option prices by evolutionary optimization

• 23 Jun 2005

• Original research

Sparse wavelet methods for option pricing under stochastic volatility

• 23 Jun 2005

• Original research

Risk-management methods for the Libor market model using semidefinite programming

• 23 Jun 2005