Basel III seeks to improve the financial sector's resilience to stress scenarios which calls for a reassessment of banks' credit risk models and, particularly, of their dependence on business cycles. This paper advocates a Mixture of Markov Chains (MMC) model to account for stochastic business...

Theoretical credit risk models a la Merton (1974) predict a non-linear negative link between a firm's default likelihood and asset value. This motivates us to propose a flexible empirical Markov-switching bivariate copula that allows for distinct time-varying dependence between credit default...

Wireless sensor networks (WSNs) have been widely used for intelligent building management applications. Typically, indoor environment parameters such as illumination, temperature, humidity and air quality are monitored and adjusted by an intelligent building management system. However, owing to...

This paper assesses the role of correlation dynamics in mean-variance sector allocation. A correlation timing framework is deployed to evaluate dynamic strategies against a static constant covariance strategy and the nonparametric RiskMetrics covariance model. We find using sector portfolios in...

This paper explores the interest rate transmission mechanism on the basis of a large disaggregated sample of British monthly deposit and loan rates 1993-2005 for seven key products. The focus is on the adjustment speed towards the long run equilibrium rate. A sizeable proportion of UK deposits...

This paper compares rival sovereign default models that differ in how country-, region- and time-specific effects are treated. The quality of the models is gauged using inference-based criteria and the plausibility of estimates. An out-of-sample forecast evaluation framework is deployed based on...

We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...