We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via … stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state …

an easier access to credit, while a higher exposure to financial risk determines the immoderation of balance sheet …

smoothness of distributions derived from alternative PDF estimation methods, and develop a set of robust summary statistics …

distinguish between risk- and mispricing-based anomalies. …

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long … is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure … use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted …