During my last few years at the Bank of Canada I was on two Bank for International Settlements (BIS) Committee on the Global Financial Markets (CGFS) working groups that resulted in a couple of published papers with various co-authors - one on credit risk transfer and another on structured finance credit ratings. During this period, and prior to it, I published several articles in Bank of Canada Financial System Reports, and Quarterly Reports (see list to left). The list also includes some unpublished papers that cover some of the non-credit risk work that I've been involved with. Most of it concerns pricing fixed income instruments, from when I traded the FX portfolio.
My most recently published financial stability work is focused on structured finance. In the Summer of 2005 the Journal of Credit Risk published a paper I wrote with the BIS's Ingo Fender that compares Monte Carlo rating methodologies to the "binomial expansion technique" (BET) used on some structures by Moody's. It also compares Moody's "expected loss" focused methodologies to the "default probability" approaches used by S&P and Fitch. I've also written an article with the Bank of Canada's Jim Armstrong on synthetic CDOs that was published in the Bank's June '05 FSR.
I also worked on a Monte Carlo portfolio credit risk evaluator for the Bank's FX reserves portfolio. In that context, I've written up a "dummies guide" to loss distribution calculations.
Since June 2005 I've been working in the Financial Stability Division of the IMF where I cover credit risk issues. Our main "product" is the semi-annual Global Financial Stability Report (GFSR), although I was part of a team that produced a working paper that explored the potential limits of risk transfer markets (see left).
In terms of tools and resources, I'm using Microsoft Excel and free-for-non-commercial-use PopTools Excel add-on package. I have also played around with the open source QuantLibXL add-on package, but I have found that it runs rather slower than PopTools. In my IMF work I'm also using Scilab quite extensively for large-scale quantitative computing.
IMF GFSR chapter on credit derivatives (April 2006)
BofC FSR article on synthetic CDOs (June 2005)
BofC FSR Update on OSFI B-5 (December 2004)
BIS WP on CDO rating methodologies (November 2004)
BdF article on CRT analytic issues (June 2003)
BoC FSR articles on Canadian CRT markets (June 2003)
BoC Review article on credit derivatives
BoC Review article on GoC swap usage
Technical note on pricing GoC marketable securities
Technical note on US T-Bill market idiosyncracies
Two-pager on month-end US Treasury free lunch
Technical note on pricing forward-dated trades
Technical note on pricing repo trades
Technical note on pricing WI rolls
My blog: http://creditriskchronicles.blogspot.com
- Riskmetrics and Creditmetrics technical documents
- Don Chance's excellent teaching notes
- Matlab and Scilab programming environments (I prefer Scilab because it's free)
- Poptools Excel simulation add-in (free for non-commercial use)
- Quantlib quantitative finance programming library, including an Excel add-in (free)
- Mathtools Excel quantitative resources
- IDEAS and SSRN working paper repositories
- List of finance sites and people
- DefaultRisk.com credit risk paper repository
- Gloriamundi VaR resource repository
- Wilmott quantitative finance forum
- Securitization news and resources
- Vinod Kothari's securitization portal
- Wikopedia, Reference Desk & Dictionary
- And Google for general-purpose searching
- PDF Creator for printing to PDF (free)
- 7-Zip file compression software (free)
- Mozilla's Firefox web browser (free)