Counterparty Risk: a Credit Contagion Model For a Bank Loan Portfolio, Diana Barro (Università di Venezia) and 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) and Alexander J. McNeil (ETH, Zürich)

Do We Need to Worry about Credit Risk Correlation?, Abel Elizalde (Centro de Estudios Monetarios y Financieros, Madrid and 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) and Julien Houdain (Ecole Normale Supérieure, Cachan and Fortis Investment, Paris)

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

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

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

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

The Comovement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis, Lars Norden (University of Mannheim) and Martin Weber (University of Mannheim and 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) and Jochen Andritzky (International Monetary Fund)

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