In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are...

In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation's total asset and debt. Moreover, the rating changes are allowed...

In this paper, we establish an intensity based multi-factor model to value LCDS. The pricing model incorporates the modeling of default, prepayment and recovery risks. Using one factor model, negative correlation between the default and prepayment intensities and positive correlation between the...

This paper provides a methodology for valuing a basket Loan CDS (LCDS) by considering both default and prepayment risks. Under ¡°top down¡± and intensity framework, using a single-factor model, correlated default and prepayment risks are considered, where the stochastic interest rate is used...

In this study, the Ir 33 Ni 28 Ta 39 bulk metallic glass (BMG) is used as the object and the influence of different loads and loading rates on the room-temperature creep behaviour of Ir 33 Ni 28 Ta 39 BMG are investigated using nanoindentation technology. The results show that the...

We examine whether mutual fund managers have differential skill in the buy and sell domains. Although they have characteristic-timing ability in aggregate, we show they exhibit asymmetric ability when buying and selling. Our key finding is that fund managers with superior selling ability are...

This paper examines the role conviction plays in asset management and its relationship with investment returns. We measure the strength of fund manager conviction through a fund’s Active Share, i.e., the extent to which an investment portfolio differs from its benchmark index. First, we show...