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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe (contributor);  … - 2007
In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...
Persistent link: https://www.econbiz.de/10003549840
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
Persistent link: https://www.econbiz.de/10011900226
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Time-changed Lévy LIBOR market model for the joint estimation and pricing of caps and swaptions
Leippold, Markus; Stromberg, Jacob - 2012 - This version: May 18, 2012
We propose a novel time-changed L évy LIBOR market model for the joint pricing of caps and swaptions. The time changes are split into three components. The first component allows us to match the volatility term structure, the second generates stochastic volatility, and the third one...
Persistent link: https://www.econbiz.de/10009558358
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Affine variance swap curve models
Filipović, Damir - 2012
This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …
Persistent link: https://www.econbiz.de/10009558387
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018
significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …
Persistent link: https://www.econbiz.de/10011899885
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Portfolio selection with exploration of new investment opportunities
Sornette, Didier; Strub, Moris Simon - 2020
We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...
Persistent link: https://www.econbiz.de/10012271124
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Microinformation, nonlinear filtering and granularity
Gagliardini, Patrick; Gouriéroux, Christian; Monfort, Alain - 2010
The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models. For Gaussian linear state space models, or for models with qualitative state variables, the recursive formulas of the filter require the updating of a finite number of...
Persistent link: https://www.econbiz.de/10003979516
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Toward a unified framework of credit creation
Becke, Susanne von der; Sornette, Didier - 2014
We identify the origin of the contradicting perspectives on credit creation offered by Austrian, Mainstream and Post Keynesian economists as the neglect of the primacy of such assets as goods, properties and securities, which always pre-exist any transaction and loan. We develop a unified...
Persistent link: https://www.econbiz.de/10010337985
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Structured Debt Ratings : Evidence on Conflicts of Interest
Efing, Matthias - 2013
This paper tests for conflicts of interest in the rating process of asset- and mortgage-backed securities based on a new aggregation method for a deal's different tranche ratings. Controlling for a large set of determinants of credit risk, we find that credit rating agencies provide better...
Persistent link: https://www.econbiz.de/10013074945