13 August 2008

A Multiple Period Gaussian Jump to Default Risk Model [ PDF ]

22 April 2008

Letter sent to British Bankers' Association and London Investment Banking Association:

BIPRU 7.10. Use of a Value at Risk Model: Model Resilience and Backtesting Exceptions [PDF]

29 October 2007

A Multi-Period Gaussian Copula Model of Default Risk

13 February 2007

Assessing Alternative Assumptions on Default Risk Capital in the Trading Book

27 April 2007

Update On FSA's Approach To Calculate Default Risk

24 April 2007

Calculating Hypothetical Profit & Loss