Saddlepoint approximation of CreditRisk+

Numerical recipes in C

William H. Press, Saul A. Teukolsky, William T. Vetterling et al. · 1994 · 15.3K citations

Mathematical Programming, Numerical Analysis, Electrical Engineering +11

A comparative anatomy of credit risk models

Michael B. Gordy · Journal of Banking & Finance · 2000 · 729 citations

Financial Risk Management, Credit Risk Models, Risk Management +6

Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions

Andrew T. A. Wood, James G. Booth, Ronald W. Butler · Journal of the American Statistical Association · 1993 · 93 citations

Computation of value-at-risk for nonlinear portfolios

Andrey Feuerverger, Augustine Wong · The Journal of Risk · 2000 · 47 citations

Portfolio Optimization, Engineering, Asset Pricing +14

Incorporating severity variations into credit risk

Peter Bürgisser, Alexandre Kurth, Armin Wagner · The Journal of Risk · 2001 · 38 citations

Financial Risk Management, Financial Network Analysis, Credit Risk +17