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Publications by MARK H. A. DAVIS

Large Portfolio Credit Risk Modeling

International Journal of Theoretical and Applied Finance

English

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The Pricing of Portfolio Credit Risk

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Systemic Risk Contributions: A Credit Portfolio Approach

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Severe Loss Probabilities in Portfolio Credit Risk Models

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GCPM: A FLexible Package to Explore Credit Portfolio Risk

Austrian Journal of Statistics

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Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model

Discrete Dynamics in Nature and Society

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Modeling Credit Risk With Partial Information

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Minimizing Credit Risk and Improving the Quality of the Credit Portfolio of the Commercial Bank

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Credit Portfolio Risk and PD Confidence Sets Through the Business Cycle

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Portfolio Credit Risk With Extremal Dependence: Asymptotic Analysis and Efficient Simulation

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