- "A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules,"
Journal of Financial Intermediation 12(3), July 2003,
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.
On the approximation of
Xt(z) in the ULP model (PDF, 100KB)]
- "Saddlepoint Approximation of CreditRisk+,"
Journal of Banking and Finance 26(7), July 2002,
- "A Comparative
Anatomy of Credit Risk Models,"
Journal of Banking and Finance 24(1/2), January 2000,
- "Hedging Winner's
Curse with Multiple Bids: Evidence from the
Portuguese Treasury Bill Auction,"
Review of Economics and Statistics 81(3), August 1999,
- "Computationally Convenient Distributional Assumptions for
Common-Value Auctions," Computational Economics 12(1),
August 1998, pp. 61-78.
- "Model Foundations for the Supervisory Formula Approach" in
(William Perraudin, Ed.), London: Risk Books,
- "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)]
Back to my Home page.
- 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).
Designed to work like the built-in polyval and polyder.
Last update: 7-July-2003