Counterparty Risk: a Credit Contagion Model For a Bank Loan Portfolio, Diana Barro (Università di Venezia) e Antonella Basso (Università di Venezia)

Counterparty Credit Risk and the Determinants of the U.S. Interest Rate Swaps, Enrico Bernini (Università Bocconi)

Identifying the Statistical Factors of Credit Spread Changes on Corporate Bonds: Evidence from the US Industrial Sector, Safa Ben Hassine (University of Paris II)

Estimating Structural Bond Pricing Models via Simulated Maximum Likelihood, Max Bruche (London School of Economics)

From Default Probabilities to Credit Spreads: Credit Risk Models Explain Market Prices, Stefan M. Denzler (Financial Modeling Group Converium Ltd., Zürich), Michel M. Dacorogna (Financial Modeling Group Converium Ltd., Zürich), Ulrich A. Müller (Financial Modeling Group Converium Ltd., Zürich) e Alexander J. McNeil (ETH, Zürich)

Do We Need to Worry about Credit Risk Correlation?, Abel Elizalde (Centro de Estudios Monetarios y Financieros, Madrid e Universidad Pública de Navarra)

Collateralized Debt Obligations Pricing and Factor Models: a New Methodology Using Normal Inverse Gaussian Distributions, Dominique Guegan (Ecole Normale Supérieure, Cachan) e Julien Houdain (Ecole Normale Supérieure, Cachan e Fortis Investment, Paris)

The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing, Anna Kalemanova (Risklab Germany e Technische Universität München), Bernd Schmid (Algorithmics Incorporated) e Ralf Werner (Allianz Group Risk Controlling)

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions, Siem Jan Koopman (Vrije Universiteit Amsterdam e Tinbergen Institute Amsterdam), André Lucas (Vrije Universiteit Amsterdam e Tinbergen Institute Amsterdam) e André Monteiro (Vrije Universiteit Amsterdam e Tinbergen Institute Amsterdam)

Predicting Agency Rating Migrations with Spread Implied Ratings, Jianming Kou (University of Reading) e Simone Varotto (University of Reading)

Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk, Alexander J. McNeil (ETH Zürich) e Jonathan Wendin (ETH Zürich)

The Comovement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis, Lars Norden (University of Mannheim) e Martin Weber (University of Mannheim e Centre for Economic Policy Research, London)

Overpricing in Emerging Market Credit Default Swap Contracts? Some Evidence from Recent Distress Cases, Manmohan Singh (International Monetary Fund) e Jochen Andritzky (International Monetary Fund)

An Incomplete-Market Term-Structure Model for Collateralized Debt Obligations Michael B. Walker (University of Toronto)