Documentos y artículos
Portfolio Credit Risk (T. Wilson)
Modelling Dependent Defaults: Asset Correlations Are not Enough (R Frey, A McNeil, M Nyfeler)
Simulating Correlated Defaults (D Duffier, K Singleton)
Credit Portfolio Management (T Garside, H Stott, A Stevens)
Principles for the Management of Credit Risk (Basel Comm. on Banking Supervision)
Debt: A Factor of Both "Good" and "Bad" Stress During an Economic Recession: Evidence from France
Credit Ratings and Complementary Sources of Credit Quality Information
Credit Risk Modelling: Current Practices and Applications
Some Elements of Rating-Based Credit Risk Modeling (D Lando)
The arbitrage-free valuation and hedging of demand deposits and credit card loans (RA Jarrow, DR van Deventer) Journal of Banking & Finance 22 (1998) 249-272
Making internal ratings work (B Mark, M Crouhy)
A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities
Estimating the price of default risk
Models of Joint Defaults in Credit Risk Management: An Assessment (U Erlenmaier)
Valuing Credit Default Swaps II: Modeling Default Correlations
Active credit portfolio management (A Kuritzkes)
Trends in Credit Risk Management (TC Wilson) The Journal of Financial Engineering, 7: 217-241
