A credit derivative is a financial instrument whose value depends on the credit risk of an underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any payment obligation. This thesis proposes four new computational methods for the valuation of credit...

By facilitating mutually beneficial transactions, trust is a crucial ingredient for economic development. We explore the determinants of trust by studying a model in which agents rely on imperfectly enforceable contracts to support cooperation in a prisoners' dilemma production game. We show how...

Regulators require banks to employ value‐at‐risk (VaR) to estimate the exposure of their trading portfolios to market risk, in order to establish capital requirements. However, portfolio‐level VaR analysis is a high‐dimensional problem and hence computationally intensive. This article...