The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...

We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...

Modern econometrics requires implementation of highly specialized software. In contrast to mathematical arguments used in implementing new econometric techniques the corresponding software algorithms require specific platforms. The specialization of hardware and software, in fact, seriously...

MMM is an infrastructure for managing the deployment and use of distributed application services on the WWW. MMM propagates a paradigm that enables the leasing of software components, as opposed to the classical software licensing model Applications reside and execute on the software provider's...