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"The pattern of disagreement between bond raters suggests that bank and insurance firms are inherently more opaque than … more lopsided, as theory here predicts. Uncertainty over the banks stems from their assets, loans and trading assets in …, compounds the uncertainty over their assets. Our findings bear on both the existence and reform of bank regulation …
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Even if the correct modeling of default dependence is essential for the valuation of portfolio credit derivatives, for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equalpairwise correlationsfor all assets in the reference portfolio has become the standard...
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Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...
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We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
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