This paper investigates the use of tick-by-tick data for intraday market risk measurement. We propose a method to compute an Intraday Value at Risk based on irregularly spaced high-frequency data and an intraday Monte Carlo simulation. A log-ACD-ARMA-EGARCH model is used to specify the joint...

Many structural models specify the default barrier, but few have explored its empirical significance and determinants. The effect of liquidity shortage is not well measured, nor is the effect of strategic default well identified. We use the maximum likelihood (ML) approach to estimate the...