We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013) recently introduced a class of confidence sets, the so-called PoSI intervals, that cover a certain non-standard quantity of interest with a user-specified minimal coverage probability,...

We compare several confidence intervals after model selection in the setting recently studied by Berk et al. (2013), where the goal is to cover not the true parameter but a certain non-standard quantity of interest that depends on the selected model. In particular, we compare the PoSI-intervals...

We compare several confidence intervals after model selection in the setting recently studied by Berk et al. (2013), where the goal is to cover not the true parameter but a certain non-standard quantity of interest that depends on the selected model. In particular, we compare the PoSI-intervals...

The authors perform an original research on the fundamentals of winning virtuous strategies creation toward the leveraged buyout transactions implementation during the private equity investment in the conditions of the resonant absorption of discrete information in the diffusion - type financial...

We present a new model for pricing Quanto FTD where the FX could be strongly dependent to some or all credit names. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of first to default and where the jump size depends on credit name...

This note explores the mathematical theory to solve modern gambler’s ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to...

The Hodrick-Prescott (HP) filter is a commonly used method, particularly in potential output studies. However its suitability depends on a number of conditions. Very small open economies do not satisfy these as their macroeconomic series exhibit pronounced trends, large fluctuations and...

The picture of electrification across the Asia Pacific Economic Cooperation (APEC) economies is complex. APEC members are in various states of smart grid development, ranging from no activity, conducting demonstrations, and engaging in joint projects with other economies. Each member economy has...

Systematic risk has been a focus for stress testing and risk capital assessment. Under the Vasicek asymptotic single risk factor model framework, entity default risk for a risk homogeneous portfolio divides into two parts: systematic and entity specific. While entity specific risk can be...

The Basel Accords have created the need to develop and implement models for PD, LGD and EAD. Although PD is quite well researched, LGD and EAD still lag both in theoretical and practical aspects. This paper proposes some empirical approaches for EAD/LGD modelling and provides technical insights...