Conceptual And Scientific Foundation

The following scientific articles document the CRI’s theoretical and technical foundation.

Duan, J.-C., E. Van Laere, 2012, A Public Good Approach to Credit Ratings - From Concept to Reality, Journal of Banking and Finance 36, 3239-3247.

Duan, J.-C., J. Sun, and T. Wang, 2012, Multiperiod Corporate Default Prediction - A Forward Intensity Approach. Journal of Econometrics 170, 191-209. The computer code and a data sample are available here.

Duan, J.-C., T. Wang, 2012, Measuring Distance-to-Default for Financial and Non-Financial Firms, Global Credit Review 2, 98-108.

Duan, J.-C., A. Fulop, 2013, Multiperiod Corporate Default Prediction with Partially-Conditioned Forward Intensity. RMI working paper.

Duan, J.C., 2014, Actuarial Par Spread and Empirical Pricing of CDS by Decomposition. Global Credit Review 4, 51-65.

Duan, J.C., W. Miao, 2016, Default Correlations and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics 34, 51-65.

Chan-Lau, J.A., J.C., Duan, C, Chuang, W, Sun, 2018, Financial Network and Systemic Risk via Forward‐Looking Partial Default Correlations. Working paper.

Duan, J.C., S. Li, 2020, Enhanced PD-implied Ratings by Targeting the Credit Rating Migration Matrix. Working paper.

Duan, J.C., 2020, Proxy CDS Curves for Individual Corporates Globally.

Duan, J.C., Y. Zhu, 2020, Credit Risk Cycle Indices - Properties and Macroprudential Policy.