Implied Default Barrier in Credit Default Swap Premia [757 Kb], Francisco Alonso (Banco de España), Santiago Forte (ESADE – Universitat Ramon Llull) e José Manuel Marqués (Banco de España)

Inter-Risk Diversification Effects of Integrated Market and Credit Risk Analysis [438 Kb], Thomas Breuer (Fachhochschule Vorarlberg, Dornbirn), Martin Jandacka (Fachhochschule Vorarlberg, Dornbirn), Klaus Rheinberger (Fachhochschule Vorarlberg, Dornbirn) e Martin Summer (Oesterreichische Nationalbank, Vienna)

Guarantee-backed Loans and Credit Risk: a Default Prediction Model [191 Kb], Luigi Buzzacchi (Politecnico di Torino), Elisa Ughetto (Politecnico di Torino) e Andrea Pezzulli (CESPRI - Università Bocconi, Milano)

Migration Dependence among the U.S. Business Sectors [772 Kb], Oussama Chakroun (HEC Montréal)

Basel II Capital Requirements for Structured Credit Products and Economic Capital: a Comparative Analysis [410 Kb], Luca Giaccherini (Banca d’Italia) e Giovanni Pepe (Banca d’Italia)

Measuring Portfolio Credit Risk of Consumer Loans [48 Kb], Madhur Malik (University of Southampton) e Lyn Thomas (University of Southampton)

Real-World Pricing for Defaultable Term Structure Models [10 Kb], Nicola Bruti-Liberati (University of Technology Sidney), Christina Nikitopoulos-Sklibosios (University of Technology Sidney), Eckhard Platen (University of Technology Sidney) e Erik Schlögl (University of Technology Sidney)

Credit Risk Analysis of Cashflow CDO Structures [201 Kb], Philippos Papadopoulos (ABN AMRO Bank, Amsterdam) e Caroline I.M.L. Tan (ABN AMRO Bank, Amsterdam)

Default Correlation Modelling: Binomial Lattices, Cross Entropy and Perfect Match [108 Kb], Tao Peng (University of Technology Sidney) e Erik Schlögl (University of Technology Sidney)

Credit Rating Impact on CDO Evaluation [448 Kb] , Daniel Rösch (University of Regensburg) e Harald Scheule (University of Melbourne)