In this paper, we show that most existing Gaussian dynamic term structure models (GDTSMs) can be nested as special cases under a unified Heath-Jarrow-Morton (HJM)-based framework of GDTSM construction. Our study provides not only a systematic way to examine the commonality of many seemingly...

There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...

This study examines the performance of the professional analysts in the Blue Chip Financial Forecasts vis-agrave;-vis set of competing econometric benchmarks, including shrinkage versions that adjust for in-sample over-fit in improving out-of-sample performance. The individual participants...

Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage-free model of the yield curve, this research proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that...

We build dynamic term structure models using a generalized structure of observable, forward-looking factors, where the dynamics of multi-horizon survey forecasts of inflation, output growth and monetary policy are modelled jointly with the physical process driving their realisations. When...

This paper presents a reduced form model for the valuation of variable-coupon bonds where the coupon rate fluctuates with the credit rating of the issuing firm. We work within a class of intensity based pricing models where a Cox (or a doubly stochastic Poisson) process governs the intensity of...

Using a factor-analytic model that extracts common valuation information from the prices of stocks that were not banned, we estimate that the ban on short-selling financial stocks imposed by the SEC in September 2008 led to substantial price inflation in the banned stocks. The inflation reversed...

This presentation was given to the MIT Alumni Association of Orange County. The goal was to deliver an educational presentation to demystify the world of hedge funds and quantitative investing. We discussed the money management industry and briefly described what quants do, how they do it, and...

This paper surveys some economic principles required to understand the characteristics and effects of flash orders and trading. We present the benefits and current controversies surrounding flash orders. Finally, we offer recommendations that would be of interest to policymakers