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Publications by Simon H. Babbs

Severe Loss Probabilities in Portfolio Credit Risk Models

SSRN Electronic Journal

English

Related publications

Large Portfolio Credit Risk Modeling

International Journal of Theoretical and Applied Finance

English

The Pricing of Portfolio Credit Risk

SSRN Electronic Journal

English

Systemic Risk Contributions: A Credit Portfolio Approach

Journal of Banking and Finance

English

Quantifying Credit Portfolio Losses Under Multi-Factor Models

International Journal of Computer Mathematics

Computational Theory

Applied Mathematics

Computer Science Applications

English

Particle Methods for the Estimation of Credit Portfolio Loss Distributions

International Journal of Theoretical and Applied Finance

English

The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions

Journal of Risk and Financial Management

English

GCPM: A FLexible Package to Explore Credit Portfolio Risk

Austrian Journal of Statistics

Applied Mathematics

English

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

Discrete Dynamics in Nature and Society

English

Ruin Probabilities in the Mixed Claim Frequency Risk Models

Mathematical Problems in Engineering

English