Working Papers

• On the distribution of a discrete sample path of a square-root diffusion, Federal Reserve Board FEDS 2012-12, March 2012.
  [Abstract (w/ link to paper)]
• The Bank as Grim Reaper: Debt Composition and Recoveries on Defaulted Debt (with Mark Carey), July 2007.
  [Download (pdf)]
• Granularity Adjustment for Basel II (with Eva Lütkebohmert), April 2012.
  Updates Deutsche Bundesbank Discussion Paper Series 2, No. 01/2007, January 2007.
• Measuring Systematic Risk in Recoveries on Defaulted Debt: Firm-Level Ultimate LGDs (with Mark Carey), 2004.
• Estimating Default Correlations from Short Panels of Credit Rating Performance Data (with Erik Heitfield), 2002.
• 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]
  

Publications in Refereed Journals

• "Granularity Adjustment for Mark-to-Market Credit Risk Models" (with James Marrone), Journal of Banking and Finance, forthcoming.
  [Abstract]
• "Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models" (with Søren Willemann), Management Science 58(3), March 2012.
  [Abstract]
• "Nested Simulation in Portfolio Risk Measurement" (with Sandeep Juneja), Management Science 56(10), October 2010.
  [Abstract]
• "A Note on Turán Type and Mean Inequalities for the Kummer Function" (with Roger W. Barnard and Kendall C. Richards), Journal of Mathematical Analysis and Applications 349(1), January 2009.
  [Abstract]
• "Procyclicality in Basel II: Can we Treat the Disease Without Killing the Patient?" (with Bradley Howells), Journal of Financial Intermediation 15(3), July 2006.
  [Abstract]
• "Switching Costs and Adverse Selection in the Market for Credit Cards: New Evidence" (with Paul Calem and Loretta Mester), Journal of Banking and Finance 30(6), June 2006.
  [ Abstract]
• "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.
  • Reprinted in Economic Capital (Ashish Dev, Ed.), London: Risk Books, 2004.
• "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]
  • Methodology is extended and refined in book chapter "Saddlepoint Approximation" listed in Other Publications.
• "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.
  [Abstract]
• "Computationally Convenient Distributional Assumptions for Common-Value Auctions," Computational Economics 12(1), August 1998, pp. 61-78.
  [Abstract] [Software]

Other Publications

• "Small-sample estimation of models of portfolio credit risk" (with Erik Heitfield) in Recent Advance in Financial Engineering: The Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009, (M. Kijima, C. Hara, K. Tanaka and Y. Muromachi, Eds.), World Scientific Publishing, 2010. Updates old working paper "Estimating Default Correlations from Short Panels of Credit Rating Performance Data."
• "Risk-Based Regulatory Capital and Basel II" (with Erik Heitfield) in Oxford Handbook of Banking (Allen Berger, Phil Molyneux and John O.S. Wilson, Eds.), Oxford University Press, 2010.
• "Nested simulation" (with Sandeep Juneja) in Encyclopedia of Quantitative Finance, Wiley, 2010.
• Preface, Pillar II in the New Basel Accord: The Challenge of Economic Capital (Andrea Resti, Ed.), London: Risk Books, 2008.
• "Model Foundations for the Supervisory Formula Approach" in Structured Structured Credit Products: Pricing, Rating, Risk Management and Basel II (William Perraudin, Ed.), London: Risk Books, 2004.
• "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.
• 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.
  [Download (pdf)]

Software for Download

• Bivariate Normal CDF add-in for Microsoft Excel (9KB zipped).
• Implementation of GIG and BNLG specifications in Computationally Convenient Distributional Assumptions for Common Value Auctions.

Last update: 30-Apr-2012