Credit portfolio modelling: Credit ensembles - The authors address the question of how individual counterparties contribute to the total credit risk of a portfolio. They provide an analytic method, new to credit modelling, to estimate all joint default statistics conditional upon a given portfolio loss. The results portfolio changes with loss amount and how clusters of default arise in credit ...

Cutting edge - Technical papers on quantitative finance and risk management - Credit portfolio modelling - The road to partition - Applying the ensemble approach developed in these pages last month, the author calculates risk contributions and show how the measure higher-order default dependence using the method of partitions.

Thompson, Kevin, (2003)

From the Field - Upstart retail chain Noodle Kidoodle, scheduled to open 13 superstores in 1995, is proving that there's a market for smart toys.

Thompson, Kevin, (1995)

CUTTING EDGE - Credit risk - Accelerated ensemble Monte Carlo simulation - Traditional vanilla methods of Monte Carlo simulation can be extremely time-consuming if accurate estimation of the loss distribution is required. The authors show that the ensemble Monte Carlo method, introduced here, significantly outperforms unbiased Monte Carlo simulation, in terms of both accuracy and speed.

Thompson, Kevin, (2009)