Credit Risk

Executive Education: Credit Risk Modeling for Financial Institutions

Book: Credit Risk, with Kenneth J. Singleton, Princeton University Press, 2003; ( Table of Contents ), ( Corrections to Tables 10.2-10.4 ),

Papers:

``Swap Rates and Credit Quality'' (with Ming Huang), Journal of Finance, vol. 51 (1996), 921-950. (.pdf file download),

``Swap Rates and Credit Quality -- Supplementary Results'' (with Ming Huang), containing technical material beyong that published in our 1996 article in The Journal of Finance , Working Paper, Graduate School of Business, Stanford University, March, 1995. (.ps file download) (.pdf file download),

``Recursive Valuation of Defaultable Securities and the Timing of the Resolution of Uncertainty'' (with Mark Schroder and Costis Skiadas), Annals of Applied Probability, vol. 6 (1996), 1075-1090. (.pdf file download),

``An Econometric Model of the Term Structure of Interest Rate Swap Yields'' (with Ken Singleton), Journal of Finance, vol. 52 (1997), pp. 1287-1323, winner of Smith-Breeden Prize. (.pdf file download),

``An Overview of Value at Risk'' (with Jun Pan), Journal of Derivatives , Spring 1997, vol. 4, 7-49, reprinted in Options Markets, edited by G. Constantinides and A. G. Malliaris, London: Edward Elgar , 2000.

``First-to-Default Valuation'', (.ps file download) (.pdf file download), Institut de Finance, University of Paris, Dauphine, and Graduate School of Business, Stanford University, May 10, 1998.

``Defaultable Term Structure Models with Fractional Recovery of Par,'' (.ps file download) (.pdf file download), Graduate School of Business, Stanford University, August 1, 1998.

``Simulating Correlated Defaults'' (.ps file download) (.pdf file download), (with Kenneth Singleton), Graduate School of Business, Stanford University, September, 1998.

``Modeling Term Structures of Defaultable Bonds'' (with Ken Singleton), Review of Financial Studies, vol. 12 (1999), pp. 687-720, winner, Smith-Breeden Award. (.pdf file download),

``Credit Swap Valuation,'' Financial Analysts Journal, January-February, 1999, pp. 73-87. (.pdf file download), reprinted in Credit Risk: Models and Management edited by David Shimko, London: Risk Books, 2000.

``Risk and Valuation of Collateralized Debt Obligations,'' Financial Analysts Journal , January-February 2001, pp. 41-59, (with Nicolae Garleanu), winner of 2001 Graham and Dodd Award of Excellence. (.pdf file download of a working-paper version, with additional details),

``Floating-Fixed Credit Spreads'' (.ps file download) (.pdf file download), (with Jun Liu), Financial Analysts Journal, Vol. 57, Number 3, May-June, 2001, pp. 76-87.

``Term Structure of Credit Spreads with Incomplete Accounting Information'' (.ps file download) (.pdf file download), (with David Lando), Econometrica, Vol. 69 (2001), pp. 633-664.

``Analytical Value at Risk with Jumps and Credit Risk,'' (.ps file download) (.pdf file download), with Jun Pan, Finance and Stochastics. Vol. 5 (2001), pp. 155-180.

``Liquidation Risk,'' (with Alexandre Ziegler) (.ps file download) (.pdf file download), Financial Analysts Journal , May-June 2003, pp 42-51.

``Modeling Sovereign Yield Spreads: A Case Study of Russian Debt,'' (.pdf file download), (with Lasse Pedersen and Ken Singleton) Journal of Finance , Vol. 58 (2003), pp. 119-160, nominated for Smith-Breeden award.

``Market Pricing of Deposit Insurance,'' (.pdf file download), (with Robert Jarrow, Amiyatosh Purnanandam, and Wei Yang), Journal of Financial Services Research, Volume 24 (2003), pp. 93-119.

``Large Portfolio Losses,'' (.pdf file download), (with Amir Dembo and Jean-Dominique Deuschel), Finance and Stochastics , Volume 8 (2004), pp. 3-16.

``Measuring and Marking Counterparty Risk,'' (.pdf file download), (with Eduardo Canabarro), in ALM of Financial Institutions, edited by Leo Tilman, Institutional Investor Books, 2004, Chapter 9.

``Multi-Period Corporate Failure Prediction with Stochastic Covariates'' (.pdf file download), (with Leandro Saita and Ke Wang), Graduate School of Business, Stanford University, June, 2004, forthcoming, Journal of Financial Economics .

``Measuring Default-Risk Premia from Default Swap Rates and EDFs'' (.pdf file download), (with Antje Berndt, Rohan Douglas, Mark Ferguson, and David Schranz), Graduate School of Business, Stanford University, November, 2005.

``Credit Risk Modeling with Affine Processes,'' (.pdf file download), Cattedra Galileana Lectures, Scuola Normale, Pisa, April, 2002, Journal of Banking and Finance , Volume 29 (2005), pp. 2751-2802.

``Common Failings: How Corporate Defaults are Correlated'' (.pdf file download), (with Sanjiv Das, Nikunj Kapadia, and Leandro Saita), Graduate School of Business, Stanford University, June, 2004, forthcoming in The Journal of Finance .

``Frailty Correlated Default'' (.pdf file download), (with Andreas Eckner, Guillaume Horel, and Leandro Saita), Graduate School of Business, Stanford University, October, 2006.

``Innovations in Credit Risk Transfer: Implications for Financial Stability'' , Graduate School of Business, Stanford University, June, 2007.