This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...

Two different probability measures are of importance when calculating the risk of a large portfolio: the risk-neutral measure for pricing, and the real measure to project true earnings. When using Monte Carlo, the natural method is to conduct two different simulations, one in each probability...

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

This paper concerns the pricing of American options with stochastic stopping time constraints expressed in terms of the states of a Markov process. Following the ideas of Menaldi, Robin, and Sun (1996) we transform the constrained into an unconstrained optimal stopping problem. The...

We study a test statistic based on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven...

We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins-Monro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical...

We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the volatility is modelled by a square root process with a...

In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...