This study provides a rigorous empirical comparison of structural and reduced-formcredit risk frameworks. As major difference we focus on the discriminative modelingof the default time. In contrast to the previous literature, we calibrate both approaches to the same data set, apply comparable...

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap transaction data.

In recent years, industry loss warranties (ILWs) have become increasingly popular in the reinsurance market. The defining feature of ILW contracts is their dependence on an industry loss index. The use of an index reduces moral hazard and generally results in lower prices compared to...

The Fundamental Theorem of Asset Pricing states - roughly speaking - that the absence of arbitrage possibilities for a stochastic process S is equivalent to the existence of an equivalent martingale measure for S. It turns out that it is quite hard to give precise and sharp versions of this...

Growing from six Member States in 1952 to 15 by 1995, the European Union today embraces more than 370 million people, from the Arctic Circle to Portugal, from Ireland to Crete. Though rich in diversity, the Member States share certain common values. By entering into partnership together, their...

This paper provides an analysis of the market developments in 1988 with respect to primary commodities and the outlook for these commodities in the near and medium term. Attention is focused on the major nonfuel primary commodities traded in international markets. Movements in the overall price...

During the early years of its existence, the National Bureau of Economic Research (NBER) assembled an extensive data set on all aspects of the pre-WWII macroeconomy. Until 1978, this data set existed only on the handwritten sheets to which the early NBER researchers copied the data from original...

Various attempts have been made to measure trade union coverage, collective bargaining, freedom of association, and quot;voicequot; to better understand social dialogue. This is essential to implement and control decent work. This paper collects statistics from various sources, describing how...