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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...
Persistent link: https://www.econbiz.de/10005861474
This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.
Persistent link: https://www.econbiz.de/10005843342
This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap transaction data.
Persistent link: https://www.econbiz.de/10005843402
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...
Persistent link: https://www.econbiz.de/10008911532
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...
Persistent link: https://www.econbiz.de/10005841713
Persistent link: https://www.econbiz.de/10008984042
Persistent link: https://www.econbiz.de/10001697467
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...
Persistent link: https://www.econbiz.de/10013243940
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...
Persistent link: https://www.econbiz.de/10014396514