Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm leverage, volatility and the riskless interest rate. We...

We introduce an asset-allocation framework based on the active control of the value-at- risk of the portfolio. Within this framework, we compare two paradigms for making the allocation using neural networks. The first one uses the network to make a forecast of asset behavior, in conjunction with...