"A two factor latent variable model of
the term structure of interest
rates", Rodney L. Jacobs and Robert A. Jones, 1986 (twofac)
"History dependent financial claims: a Monte Carlo approach", Robert A.
Jones and Rodney L. Jacobs, 1986 (monte)
"The timing of investment", W. John Heaney and Robert A. Jones, 1988 (timing)
"Interest rate volatility and real investment", W. John Heaney and
Robert A. Jones, 1988 (invest)
"Pricing GNMA mortgage certificates", Rodney L. Jacobs and Robert A.
Jones, 1990 (gnma)
"Credit risk and credit rationing", Robert A. Jones, 1996 (credit)
"Estimating correlated diffusions", Robert A. Jones, 1999 (correl , maxlike.for)
"Credit risk models, capital standards and self-regulation", Robert A.
Jones, 2000 (osfi)
"Analyzing credit lines with fluctuating credit quality", Robert A.
Jones, 2001 (credline , figures)
"Credit risk equivalent exposure: some new thoughts", Robert A. Jones
and Anton J. Theunissen, RISK,
2002 (exposure)
Extreme value stuff : mainly by
McNeil ....
"Correlation, copulas, multivariate models with applications to market
risk, credit risk and risk integration," Alexander McNeil and Rudiger
Frey, 2001 (GlobalDeriv2001)
"Estimating the tails of loss severity distributions using extreme
value theory," Alexander McNeil, December 1996 (McNeil1996)
"On extremes and crashes," Alexander McNeil, October 1997 (McNeil1997)
"Extreme value theory for risk managers," Alexander McNeil, May 1999 (McNeil1999)
"Modelling dependent defaults," Rudiger Frey and Alexander McNeil,
August 2001 (FreyMcNeil2001)
"Estimation of tail-related risk measures for heteroscedastic
financial time series: an extreme value approach (McNeilFrey2000)
"Modelling dependence with copulas and applications to risk
management," Paul Embrechts, Filip Lindskog, Alexander McNeil, Sept
2001 (EmbrechtsLindskog01.pdf)
"Common Poisson shock models: applications to insurance and credit risk
modelling," Filip Lindskog and Alexander McNeil, Sept 2001 (LindskogMcNeil01.pdf)
"Modelling dependencies in credit risk management," Mark Nyfeler,
thesis, Nov 2000 (nyfeler00.pdf)
"Value at risk calculations, extreme events and tail estimation," Salih
Neftci, Journal of Derivatives,
Spring 2000
"Statistical inference using extreme order statistics," James Pickands
III, Annals of Statistics,
January 1975 (use JSTOR)
"Estimating tails of probability distributions," Richard L. Smith, Annals of Statistics, September
1987 (use JSTOR)