Basic purpose of a credit default swap (CDS) is to protect its buyer against a default of a reference entity. During the ongoing EMU debt crisis this purpose was questioned when Greek default was postponed continuously and actions of European public authorities gave rise to speculations that...

Basic purpose of a credit default swap (CDS) is to protect its buyer against a default of a reference entity. During the ongoing EMU debt crisis this purpose was questioned when Greek default was postponed continuously and actions of European public authorities gave rise to speculations that...

Basic purpose of a credit default swap (CDS) is to protect its buyer against a default of a reference entity. During the ongoing EMU debt crisis this purpose was questioned when Greek default was postponed continuously and actions of European public authorities gave rise to speculations that...

The aim of this paper is to shed light on Collateralized Debt Obligation (CDO) valuation based on data before and during the 2007-2009 global turmoil. We present the One Factor Gaussian Copula Model and examine five hypotheses regarding CDO sensitivity to entry parameters. For our modelling we...

Abstract To obtain statistical inference about interaction hypotheses without making strong distributional assumptions, permutation tests based on permuting the outcomes are often being used. It was shown that in continuous and binary data these tests might not be even approximately valid and...

When patients are monitored for potentially recurrent events such as infections or tumor metastases, it is common for clinicians to ask patients to come back sooner for follow-ups based on the results of the most recent exam. This means that subjects' observation times will be irregular and...