CredDeriv.bib

@Misc{pw2007,
author = {Ed Parcell and James Wood},
title = {Wiping the smile off your base (correlation curve)},
year = {2007},
note = {Available from: http://www.edparcell.com/WipingTheSmileOffYourBase.pdf},
OPTannote = {}
}



@TechReport{ds1999,
author = {D. Duffie and K. Singleton},
title = {Simulating Correlated Defaults},
institution = {Stanford University},
year = {1999}
}


@Article{asb2003,
author = {L. Andersen and J. Sidenius and S. Basu},
title = {All your hedges in one basket},
journal = {Risk Magazine},
year = {2003},
number = {6772},
month = {November}
}

@Article{as2005,
author = {L. Andersen and J. Sidenius},
title = {Extensions to the gaussian copula: Random recovery and random factor loadings},
journal = {Journal of Credit Risk},
year = {2005},
volume = {1},
number = {1},
pages = {29-70}
}

@article{bv2005,
title = {Credit Correlation: Interpretation and Risks},
journal = {Financial Stability Review},
author = {T. Belsham and N. Vause},
month = {December},
year = {2005},
note = {Bank of England}
}


@InCollection{HS2006,
author = {Svenja Hager and Rainer Sch\"{o}bel},
title = {Deriving the Dependence Structure of Portfolio Credit Derivatives using Evolutionary Algorithms},
booktitle = {Lecture Notes in Computer Science},
pages = {340-347},
publisher = {Springer},
year = {2006},
number = {3994},
note = {Available at SSRN: http://ssrn.com/abstract=893049},
OPTannote = {}
}

@TechReport{kre2008,
author = {Martin Krekel},
title = {Pricing Distressed CDOs with Base Correlation and Stochastic Recovery},
institution = {UniCredit},
year = {2008},
month = {May},
note = { Available from http://www.defaultrisk.com/pp\_cdo\_60.htm },
OPTannote = {}
}


@TechReport{AH2008,
author = {Salah Amraoui and Sebastien Hitier},
title = {Optimal Stochastic Recovery for Base Correlation},
institution = {BNP PARIBAS},
year = {2008}
}

@TechReport{MA2004,
author = {L. McGinty and E. Beinstein and R. Ahluwalia, and M. Watts},
title = {Introducing base correlations},
institution = {JP Morgan.},
year = {2004},
note = {Credit Derivatives Strategy Discussion Paper}
}

@TechReport{KL2004,
author = {Dominic O'Kane and Matthew Livesey},
title = {Base Correlation Explained},
institution = {Lehman Brothers},
year = {2004}
}



@Article{Li2000,
author = {David Li},
title = {On Default Correlation: A Copula Function Approach},
journal = {Journal of Fixed Income},
year = {2000},
pages = {43-54}
}


@Book{SM2005,
author = {Scherer, Bernd and Martin, R. Douglas},
title = {Modern Portfolio Optimization with NuOPT, S-PLUS, and S+Bayes},
publisher = {Springer},
year = {2005}
}



@Misc{Green2005,
author = {Alan Greenspan},
title = {Risk Transfer and Financial Stability},
howpublished = {To the Federal Reserve Bank of Chicago's Forty-first Annual Conference on
Bank Structure, Chicago, Illinois},
month = {May 5},
year = {2005}
}


@Misc{fgz2004,
author = {J Felsenheimer and P. Gisdakis and M. Zaiser},
title = {{DJ iTraxx}: Credit at its best},
howpublished = {HVB Corporates and Markets},
year = {2004}
}

@Misc{Gib2007,
author = {M. S. Gibson},
title = {Credit Derivatives and Risk Management},
howpublished = {Federal Reserve Board Discussion Series},
year = {2007},
number = {2007-47}
}

@article{econ2008cracks,
	author = "{The Economist}",
	title = {Cracks in the Edifice},
	journal = {The Economist},
	year = {2007},
	pages = {109-110},
	number = {November 10}
}
	
@Article{econ2008cdo,
title = {CDOh no!},
journal = {The Economist},
year = {2007},
pages = {110-112},
month = {November 10th}
}



@Article{hw2004,
author = {John Hull and Alan White},
title = {Valuation of a {CDO} and an nth to Default {CDS} Without Monte Carlo Simulation},
journal = {Journal of Derivatives},
year = {2004},
volume = {12},
number = {2}
}

@article{mer1974,
     jstor_articletype = {primary_article},
     title = {On the Pricing of Corporate Debt: The Risk Structure of Interest Rates},
     author = {Merton, Robert C.},
     journal = {The Journal of Finance},
     jstor_issuetitle = {Papers and Proceedings of the Thirty-Second Annual Meeting of the American Finance Association, New York, New York, December 28-30, 1973},
     volume = {29},
     number = {2},
     jstor_formatteddate = {May, 1974},
     pages = {449--470},
     url = {http://www.jstor.org/stable/2978814},
     ISSN = {00221082},
     abstract = {},
     publisher = {Blackwell Publishing for the American Finance Association},
     language = {},
     copyright = {Copyright © 1974 American Finance Association},
     year = {1974},
    }


@Book{LP2007,
author = {Gunter Loeffler and Peter N. Posch },
title = {Credit Risk Modeling using Excel and VBA},
publisher = {Wiley},
year = {2007}
}


@Booklet{HPW2005,
title = {The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model},
OPTkey = {},
author = {Hull, J. and Pedrescu, M. and White, A.},
howpublished = {Working Paper, University of Toronto},
year = {2005}
}

@article{risk2006,
author = "{Risk Magazine}",
title = {Credit model meltdown},
journal = {Risk Magazine},
month = {November},
year = {2006},
volume = {19},
number = {11},
note = {Available from http://www.risk.net/public/showPage.html?page=351397}
}
  

@Misc{Gib2004,
author = {M. S. Gibson},
title = {Understanding the Risk of Synthetic {CDO}s},
howpublished = {Federal Reserve Board Discussion Series},
year = {2004},
number = {2004-36}
}



@Unpublished{Eli2006,
author = {Elizalde, A.},
title = {Credit Risk Models {IV}: Understanding and Pricing {CDO}s},
note = {CEMFI Working Paper No. 0608},
year = {2006},
annote = {CEMFI}
}


@MastersThesis{Neu2007,
author = {Matthias Neugebauer},
title = {A comprehensive Analysis of Advanced Pricing Models for Collateralised Debt Obligations},
school = {University of Oxford},
year = {2007}
}


@Unpublished{LBG2008,
author = {Laurent, J.P. and Burtschell, X. and Gregory, J.},
title = {A comparative analysis of {CDO} pricing models (Updated)},
year = {2008},
note = {Available at: http://www.defaultrisk.com/pp\_crdrv\_71.htm},

}


@Book{Amm2002,
author = {Manuel Ammann},
title = {Credit Risk Valuation - Methods, Models and Applications},
publisher = {Springer-Verlag},
year = {2002}
}

@Book{Schm2003,
author = {Bernd Schmid},
title = {Credit Risk Pricing Models - Theory and Practice},
publisher = {Springer-Verlag},
year = {2003}
}\label{c1}


@Book{Sch2003,
author = {Philip J. Sch\"{o}nbucher },
title = {Credit Derivatives Pricing Models: Models, Pricing and Implementation},
publisher = {Wiley},
year = {2003}
}

@article{JS1987,
     jstor_articletype = {primary_article},
     title = {The Pricing of Options with Default Risk},
     author = {Johnson, Herb and Stulz, René},
     journal = {The Journal of Finance},
     volume = {42},
     number = {2},
     jstor_formatteddate = {Jun., 1987},
     pages = {267--280},
     url = {http://www.jstor.org/stable/2328252},
     ISSN = {00221082},
     abstract = {This paper considers the pricing of options with default risk. The comparative statics of such options can differ from those of ordinary options, and early exercise of such American call options can be optimal. Several examples of options with default risk are considered.},
     publisher = {Blackwell Publishing for the American Finance Association},
     language = {},
     copyright = {Copyright © 1987 American Finance Association},
     year = {1987},
    }


@MastersThesis{Gal03,
author = {Stefano S. Galiani},
title = {Copula Functions and their Application in Pricing and Risk Managing Multiname Credit Derivative Products},
school = {King's College London},
year = {2003},
month = {September}
}

@Article{yan2007,
author = {Jun Yan},
title = {Enjoy the Joy of Copulas: With the Copula Package},
journal = {Journal of Statistical Software},
year = {2007},
OPTkey = {},
volume = {21},
number = {4},
month = {October}
}

@Book{nel2005,
author = {Roger B. Nelson},
title = {An Introduction to Copulas},
publisher = {Springer-Verlag},
year = {2005},
edition = {Second}
}


@article{cs2003,
     jstor_articletype = {primary_article},
     title = {The Valuation of Default-Triggered Credit Derivatives},
     author = {Chen, Ren-Raw and Sopranzetti, Ben J.},
     journal = {The Journal of Financial and Quantitative Analysis},
     jstor_issuetitle = {},
     volume = {38},
     number = {2},
     jstor_formatteddate = {Jun., 2003},
     pages = {359--382},
     url = {http://www.jstor.org/stable/4126755},
     ISSN = {00221090},
     abstract = {Credit derivatives are among the fastest growing contracts in the derivatives market. We present a simple, easily implementable model to study the pricing and hedging of two widely traded default-triggered claims: default swaps and default baskets. In particular, we demonstrate how default correlation (the correlation between two default processes) impacts the prices of these claims. When we extend our model to continuous time, we find that, once default correlation has been taken into consideration, the spread dynamics have very little explanatory power.},
     publisher = {University of Washington School of Business Administration},
     language = {},
     copyright = {Copyright © 2003 University of Washington School of Business Administration},
     year = {2003},
    }


@article{hs2002,
     jstor_articletype = {primary_article},
     title = {A Methodology for Assessing Model Risk and Its Application to the Implied Volatility Function Model},
     author = {Hull, John and Suo, Wulin},
     journal = {The Journal of Financial and Quantitative Analysis},
     jstor_issuetitle = {},
     volume = {37},
     number = {2},
     jstor_formatteddate = {Jun., 2002},
     pages = {297--318},
     url = {http://www.jstor.org/stable/3595007},
     ISSN = {00221090},
     abstract = {We propose a methodology for assessing model risk and apply it to the implied volatility function (IVF) model. This is a popular model among traders for valuing exotic options. Our research is different from other tests of the IVF model in that we reflect the traders' practice of using the model for the relative pricing of exotic and plain vanilla options at one point in time. We find little evidence of model risk when the IVF model is used to price and hedge compound options. However, there is significant model risk when it is used to price and hedge some barrier options.},
     publisher = {University of Washington School of Business Administration},
     language = {},
     copyright = {Copyright © 2002 University of Washington School of Business Administration},
     year = {2002},
    }

@article{jt1995,
     jstor_articletype = {primary_article},
     title = {Pricing Derivatives on Financial Securities Subject to Credit Risk},
     author = {Jarrow, Robert A. and Turnbull, Stuart M.},
     journal = {The Journal of Finance},
     jstor_issuetitle = {},
     volume = {50},
     number = {1},
     jstor_formatteddate = {Mar., 1995},
     pages = {53--85},
     url = {http://www.jstor.org/stable/2329239},
     ISSN = {00221082},
     abstract = {This article provides a new methodology for pricing and hedging derivative securities involving credit risk. Two types of credit risks are considered. The first is where the asset underlying the derivative security may default. The second is where the writer of the derivative security may default. We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the dollar payoff from a risky security into a certain payoff and a "spot exchange rate." Arbitrage-free valuation techniques are then employed. This methodology can be applied to corporate debt and over the counter derivatives, such as swaps and caps.},
     publisher = {Blackwell Publishing for the American Finance Association},
     language = {},
     copyright = {Copyright © 1995 American Finance Association},
     year = {1995},
    }

@Article{cg2008,
author = {Z. Chen and P. Glasserman},
title = {Fast Pricing of Basket Default Swaps},
journal = {Operations Research},
year = {2008},
volume = {56},
number = {2},
pages = {286-303},
month = {March}
}