Conceptual And Scientific Foundation | Credit Research Initiative | CRI | National University of Singapore

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

2022

Duan, J.C., S. Li, Y. Xu, 2022, Sequential Monte Carlo Optimization and Statistical Inference. Wiley Interdisciplinary Reviews: Computational Statistics.

2021

Duan, J.C., S. Li, 2021, Enhanced PD-implied Ratings by Targeting the Credit Rating Migration Matrix. Journal of Finance and Data Science 7, 115-125.

2020

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

2020

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

2018

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.

2016

Duan, J.C., W. Miao, 2016, Default Correlations and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics 34, 536-546.

2014

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

2013

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

2012

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.

2012

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.

2012

Duan, J.C., T. Wang, 2012, Measuring Distance-to-Default for Financial and Non-Financial Firms. Global Credit Review 2, 95-108.