This article builds a new structural default model under the assumption that assets returns follow dynamics displaying jumps of both signs. In essence, we expand the work of Hilberink and Rogers which is itself an extension of the Leland and Toft framework, but that deals only with negative...

Many owners of growing privately-held firms make operational and financial decisions in an effort to maximize the expected present value of the proceeds from an Initial Public Offering (IPO). We ask: What is the right time to make an IPO and How should operational and financial decisions be...

Stress tests with handpicked scenarios might misrepresent risks either because the scenarios considered are too implausible or because some dangerous scenarios are not considered. Systematic search for the worst case within some set of plausible scenarios is introduced to overcome these two...

One of the main concern and regulatory topic financial institutions have to deal with is the model risk. Senior managers tend to consider more and more model risk as one of the highest exposure a financial institution has (as illustrated by the lastest EBA paper related to Advanced Measurement...

Risk-based allocation strategies, also known as Smart Beta allocations, define the weights of assets in portfolios as functions of the individual and common asset risk. In this paper we focus on the Minimum Variance (MV), Maximum Diversification (MD), Equal Risk Contribution (ERC) and...

Energietransitie vraagt om bezinning op regulering De energiesector staat voor grote veranderingen. Door geleidelijke uitputting van binnenlandse gasvoorraden, de noodzaak om fossiele energiebronnen te vervangen door duurzame bronnen en de nodige vervanging van verouderde netwerkonderdelen, zal...

We inspect the question how to adapt to macro-economical variables those probability of default (PD) estimates where Merton's model assumptions cannot be used. The need for this is to obtain trustworthy estimates of PD from a given economical situation. The structure of a known market-credit...

This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...

In this paper we analyse the impact of the regulatory framework for the new regulatory period (2011 – 2013) on the long-term profitability of TenneT TSO, the operator of the highvoltage electricity network in the Netherlands. Long-term profitability is a key component of the financeability of...

Stress tests with handpicked scenarios might misrepresent risks either because dangerous scenarios are not considered or because the scenarios considered are too implausible. To overcome these two pitfalls we propose a systematic search for the worst case within a relative entropy ball of...