We propose a fast algorithm for computing the expected tranche loss in the Gaussian factor model with arbitrary accuracy using Hermite expansions. No assumptions about homogeneity of the portfolio are made. The algorithm is a generalization of the algorithm proposed in \cite{PO}. The advantage...

We propose a simple approach to combining internal and external loss data in the case when internal and external data come from the same distribution. We assume that the internal data is uncensored but the external data includes only losses above a known threshold. This approach is an...

In the context of interdependence of the financial markets, it becomes interesting to analyze the implications associated with the Terrorist Attacks of the 11th of September of 2001, in the USA, in terms of the development of contagion mechanisms between the main international stock exchanges....

The primary purpose of this article is to investigate the relationship between bank capital and credit risk taking in emerging market economies. We also investigate the influence of several regulatory, institutional and legal features on the relationship between risk and capital. We apply a...

Comment offrir à aux entreprises, en particulier les petites, une évaluation individualisée de leur qualité, leur permettant, d’une part, de mieux gérer leurs projets et leur développement et, d’autre part, de signaler leur qualité aux tiers, dont les banques. Le problème...

Technology transfer agreements between universities and industrial companies usually involve royalties, sublicensing considerations and allocation of equity. This article extends the analysis of my previous one ("The Economic Sense of Royalty Rates", ewp-fin/970903)to deal with sublicensing...

The UK experienced a major residential real estate boom-bust cycle from the mid-Eighties to the mid-Nineties, accompanied by unprecedented shifts in the owner occupancy rate of young households. Previous empirical analyses have pointed toward income changes and financial deregulation as the...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the Black and Sholes formula (1973) and Cox and Ross (1976 a and b), has been formalized in a general framework by Harrison and Kreps (1979), Harrison and Pliska (1979) and Kreps...

Risk-neutral valuation is used widely in derivatives pricing. It is shown in this paper, however, that the naïve approach of simply setting the growth rate of the underlying security to risk-free interest rate, which happens to work for a geometric Brownian motion (GBM) process, fails to work...

Bulgaria is a small South-eastern European country with a population of 8 million inhabitants in economic transition. During the bank crisis (1996-97) about 1/3 of all banks went bankrupt. On 5 July 1997, the Bulgarian government, jointly with IMF, introduced the Currency Board Arrangement,...