Accurate modeling of extreme price changes is vital to financial risk management. We examine the small sample properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and propose a model-based bias-corrected estimation approach....

We apply the Hull and White (2000) model with its standard intensity and its approximate no-arbitrage valuation approach to the pricing of credit default swaps (CDSs). Based on a representative sample of individual obligors from the DJ CDX.NA.IG index universe, we evaluate the pricing...

Modeling credit default swap (CDS) spreads usually requires more than calibrating a single model. Focusing on the structural model category, CreditGrades as in Finger (2002) and the Das and Sundaram (2000) trinomial tree model are two promising model candidates. Using a broad sample of 54...

Heteroskedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume - i.e. unexpected above-average trading activity - which is derived from uncorrelated volume innovations. Assuming weakly exogenous volume, we extend the Lamoureux and...

This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model which specifies the yield curve dynamics. We then apply a broad...