wilmott.com

Any one knows this type of papers?

I hope somebody answered you a while ago but if not I suggest you take a look at the credit grades (by risk metrics) web site. They have a simple merton-type model for credit ratings which results in a credit spread. You can use this model in reverse to link market and credit risk. Just start with a credit spread, compute the implied asset volatility of the underlying and you now have the equity delta of the credit. This can have at least three usestrading strategies (not sure if they work but I know a bunch of people pushing them)convertible bond pricing that integrates credit and market riskvalue at risk in an integrated way for creditsi have only tested the latter but it seems to give reasonable resultsps you can get the data on the firm from compustat directly - there is nothing special about the credit grades data except for some modifications when they try to look at financial institutions.

I will write a paper soon on this very topic. Other than that, I really don't know of a lot of literature on the topic. Arvinitis et al has a chapter on it. One of his colleagues named Andrew Wright has a PPT presentation on it on the web. It is definitely a very interesting subject.

QuoteOriginally posted by: NoniusOne of his colleagues named Andrew Wright has a PPT presentation on it on the web. Nonius,Could you please refer me to this presentation?Thanks

Here you go:Taking an Holistic Approach to Risk Management by Andrew Wright

Thanks!