Conceptual And Scientific Foundation

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

Duan, J.C., S. Li, Y. Xu, 2022, Sequential Monte Carlo Optimization and Statistical Inference. Wiley Interdisciplinary Reviews: Computational Statistics. 
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.
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.  
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., W. Miao, 2016, Default Correlations and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics 34, 536-546.
Duan, J.C., 2014, Actuarial Par Spread and Empirical Pricing of CDS by Decomposition. Global Credit Review 4, 51-65.
Duan, J.C., A. Fulop, 2013, Multiperiod Corporate Default Prediction with Partially-Conditioned Forward Intensity. RMI working paper.
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, 95-108.

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