Credit risk - The hybrid saddlepoint method for credit portfolios - The authors derive a practical analytic approach, which they call the hybrid saddlepoint method, to calculate the credit loss distribution for a heterogeneous portfolio of correlated obligors.

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)

CREDIT PORTFOLIO RISK Time for multi-period capital models - The authors investigate the impact of time discretisation on various risk measures in a structural model setting.

Thompson, Kevin, (2005)

The economics of climate change

Owen, Anthony David, (2004)