Publications in Refereed Journals

• "A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules," Journal of Financial Intermediation 12(3), July 2003, pp. 199-232.
  [Abstract]
  • Awarded Best Paper of Volume XII, Journal of Financial Intermediation.
  • 25th place on Risk Magazine's list of most-cited papers, 1998-2003 (December 2003).
  • Reprinted in Economic Capital (Ashish Dev, Ed.), London: Risk Books, forthcoming.
• "Random Tranches" (with David Jones), Risk, March 2003.
  [Technical appendix: On the approximation of X_t(z) in the ULP model (PDF, 100KB)]
  • Reprinted in Credit Risk Modelling: The Cutting-edge Collection (Michael B. Gordy, Ed.), London: Risk Books, 2003.
• "Saddlepoint Approximation of CreditRisk+," Journal of Banking and Finance 26(7), July 2002, pp. 1337-1355.
  [Abstract]
• "A Comparative Anatomy of Credit Risk Models," Journal of Banking and Finance 24(1/2), January 2000, pp. 119-149.
  [Abstract]
  • 11th place on Risk Magazine's list of most-cited papers, 1998-2003 (December 2003).
  • Reprinted in Model Risk: Concepts, Calibration and Pricing (Rajna Gibson, Ed.), London: Risk Books, 2003.
• "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Review of Economics and Statistics 81(3), August 1999, pp. 448-465.
• "Computationally Convenient Distributional Assumptions for Common-Value Auctions," Computational Economics 12(1), August 1998, pp. 61-78.
  [Software]

Other Publications

• "Model Foundations for the Supervisory Formula Approach" in Structured Products (William Perraudin, Ed.), London: Risk Books, forthcoming.
• "Saddlepoint Approximation" in CreditRisk+ in the Banking Industry (V.M. Gundlach and F.B. Lehrbass, Eds.), Springer, 2004.
• "Granularity Adjustment in Portfolio Credit Risk Measurement" in Risk Measures for the 21st Century (Giorgio P. Szegö, Ed.), Wiley, 2004.
• "Introduction" in Credit Risk Modelling: The Cutting-edge Collection (Michael B. Gordy, Ed.), London: Risk Books, 2003.
• "What Wags the Tail? Identifying the Key Assumptions in Models of Portfolio Credit Risk," in Mastering Risk: Volume 2 ‘Applications' (Carol Alexander, Ed.), London: FT-Prentice Hall, 2001.
• "Credit VaR Models and Risk-Bucket Capital Rules: A Reconciliation," Proceedings of the 36th Annual Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 2000.
  [Paper (PDF, 148KB)]

Working Papers

• Procyclicality in Basel II: Can we Treat the Disease Without Killing the Patient? (with Bradley Howells), May 2004.
  [ Paper (PDF, 193 kb)]
• A Generalization of Generalized Beta Distributions,
  Federal Reserve Board FEDS 1998-18, April 1998.
  [Abstract (w/ link to paper)]
• Multiple Bids in a Multiple-Unit Common Value Auction, June 1996.
  [Abstract] [Paper (PS)]
  
• Solving Common Value Auctions Using Genetic Algorithms (with Raymond Board), June 1996.
  [Abstract]
  

Software for Download

• Bivariate Normal CDF add-in for Microsoft Excel (9KB zipped).
• CreditRisk+ Toolbox version 1.02 for MATLAB v5 (11KB zipped).
  Implements CSFP's CreditRisk+ model of portfolio credit value-at-risk.
• Partition Toolbox version 1.0 for MATLAB v5 (5KB zipped).
  Contains routines for creating a structured variable containing all partitions of a given integer.
  Also provides partition functions p(m) and q(m), the sigma divisor function, and Stirling numbers of the first and second kind.
• Implementation of GIG and BNLG specifications in Computationally Convenient Distributional Assumptions for Common Value Auctions.
• Genetic Algorithm Minimizer version 3.1 for MATLAB (8KB zipped).
  Designed as an alternative to the built-in fminsearch.
• Chebyshev polynomial approximation routines for MATLAB v5 (4KB zipped).
  Version 1.2. Designed to work like the built-in polyval and polyder.

Last update: 7-July-2003