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 ),

Selected Testimony:

Senate Testimony on Credit Derivatives, July, 2008 .

Bank One vs. Commissioner of Internal Revenue, Expert Report and Court Decision

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,'' (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'' (with Leandro Saita and Ke Wang), The Journal of Financial Economics .2007, Vol. 83, 635-665.

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

``Credit Risk Modeling with Affine Processes,'' 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'' (with Sanjiv Das, Nikunj Kapadia, and Leandro Saita), The Journal of Finance , 2007, Vol. 62, pp. 93-117.

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

Senate Testimony on Credit Derivatives, July, 2008 .

"Does a Central Clearing Counterparty Reduce Counterparty Risk?" (with Haoxiang Zhu), February, 2009, Graduate School of Business, Stanford University..

Policy Issues Facing the Market for Credit Derivatives, in The Road Ahead for the Fed, edited by John D. Ciorciari and John B. Taylor, Hoover Institution Press, 2009.

The Failure Mechanics of Dealer Banks, Working paper, Graduate School of Business, Stanford University, 2009.

"How Should We Regulate Derivatives Markets," Briefing Paper Number 5, The Pew Financial Reform Project.

``Frailty Correlated Default'' (with Andreas Eckner, Guillaume Horel, and Leandro Saita), Journal of Finance 2009, Volume 64: 2089-2123.

``Policy Perspectives on OTC Derivatives Market Infrastructure'' (with Ada Li and Theo Lubke), Staff Report Number 424, Federal Reserve Bank of New York, January, 2010.