The commercial mortgage-backed security market has experienced rapid growth in recent years, and is now the second most important source of intermediation to the commercial real estate sector. Despite its growing importance, relatively little academic research has questioned the apparent success...

Johansen and Sornette proposes that the crash has fundamentally an endogenous origin and exogenous shocks only serve as triggering factors. This endogenous force is shown in price as power law log-periodicity (PLLP) signature prior to a crash. We estimate the highly nonlinear model developed by...

Since their introduction Kernel Methods have proven their superior performance in many different application areas. Recently these algorithms have also been employed for different tasks in the area of finance. In this contribution we present an introduction to the methodology and give an...

This paper presents a fully rational general equilibrium model that produces a time-varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences similar to Campbell &...

Equity market crashes or booms are extreme realizations of the underlying return distribution. This paper questions whether booms are more or less likely than crashes and whether emerging markets crash more frequently than developed equity markets. We apply Extreme Value Theory (EVT) to...

It is well-documented that economies experience business cycles. Economic and financial activities fall sharply during recessions and rise sharply during booms. This phenomenon also gives rise to cyclical asset pricing implications: high asset prices (low returns) during booms and low prices...

In this paper we study corporate debt values, capital structure, and the term structure of interest rates in a unified framework. We employ numerical techniques to compute the firm's optimal capital structure and the value of its long-term risky debt and yield spreads when the value of the...

In this paper we present some contingent claim analysis’ models for the firm value. We focus on two different approaches: the structural (Merton) approach and a new one that treats the asset value as a claim on the firm’s securities. The non-observability of the assets’...

This paper investigates the impact of financial development on property valuation in a rational expectations framework by modeling the agency theoretic perspective of risk averse investors (property owners) and financiers (banks/ capital markets). In contrast to previous research, we consider a...