Simon H. Babbs

The Options Clearing Corporation

First Vice President - Quantitative Risk Management

1 N. Wacker Drive

Chicago, IL 60606

United States

  • The Options Clearing Corporation

    • Email
    • Tel: 312 322 6288
    • Fax: 312 322 4442
SCHOLARLY PAPERS

6

DOWNLOADS

526

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

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1.

Severe Loss Probabilities in Portfolio Credit Risk Models

Number of pages: 16 Posted: 20 Feb 2004
Simon H. Babbs and Andrew Johnson
The Options Clearing Corporation and Curtin University
Downloads 295 (165,860)

Abstract:

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Portfolio, credit, risk, models,default, loss, probabilities, severe

2.

Modelling Overnight and Daytime Returns Using a Multivariate Garch-Copula Model

Center for Applied Economics and Policy Research (CAEPR) Working Paper No. 2010-008
Number of pages: 27 Posted: 19 Nov 2010 Last Revised: 26 Aug 2011
Long Kang and Simon H. Babbs
The Options Clearing Corporation and The Options Clearing Corporation
Downloads 231 (211,870)
Citation 2

Abstract:

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Overnight and daytime returns, GARCH-Copula models

3.

Tail Dependence of Major U.S. Stocks

RISK MANAGEMENT AND CORPORATE GOVERNANCE, Abol Jalilvand, Tassos Malliaris, ed., Routledge, 2011
Posted: 26 Aug 2011 Last Revised: 15 Sep 2011
Long Kang and Simon H. Babbs
The Options Clearing Corporation and The Options Clearing Corporation

Abstract:

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copula, tail dependence, non-parametric estimation, risk measures, extreme value theory

4.

Kalman Filtering of Generalized Vasicek Term Structure Models

Posted: 30 Dec 1998
K. Ben Nowman and Simon H. Babbs
City University London and The Options Clearing Corporation

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5.

A Theory of the Term Structure with an Official Short Rate

Financial Options Research Centre Working Paper No. 94/49, May 1994
Posted: 10 Oct 1998
Simon H. Babbs and Nick Webber
The Options Clearing Corporation and University of Warwick - Warwick Business School

Abstract:

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6.

Term Structure Modelling Under Alternative Official Regimes

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Posted: 03 Jul 1998
Simon H. Babbs and Nick Webber
The Options Clearing Corporation and University of Warwick - Warwick Business School

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