Credit Risk Evaluation Designed for Institutional Targeting in finance

Dependence Modelling for Credit Portfolios

Until July 2003, Stuart M. Turnbull was was Senior Vice President, head of quantitative credit research, Lehman Brothers, New York. Prior to joining Lehman Brother, he was in risk management at the Canadian Imperial Bank of Commerce. When Stuart was an academic, he was the Bank of Montreal Professor of Banking and Finance, Queen's University (Canada), and a Research Fellow, Institute for Policy Analysis (Toronto). He is a graduate of the Imperial College of Science and Technology (London) and the University of British Columbia. He is the author of Option Valuation, and (with Robert A. Jarrow) Derivative Securities. He has published over 40 articles in major finance and economic journals, and in law and economics journals, as well as many articles in practitioner journals. He is co-author with Robert Jarrow of the J-T model of pricing credit derivatives, which is widely used by financial institutions. He has been a consultant to many financial institutions. He is an associate editor of Mathematical Finance, the Journal of Derivatives, the International Journal of Theoretical and Applied Finance, and has served as an associate editor for the Journal of Finance. In August 2003, he moved back to academia and he is now Bauer Chaired Professor at the University of Houston, Texas.