In this paper, we introduce a new class of models for count endogenous variables, i.e. the additive log-differentiated probability models (ALDP). This class is similar to the semi-parametric proportional hazard models used for duration data, and has some interesting implications in terms of...

In order to derive closed-form expressions of the prices of credit derivatives, the standard models for credit risk usually price the default intensities but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

The aim of our paper is to price credit derivatives written on a single name when this name is a bank. Indeed, due to the special structure of the balance sheet of a bank and to the interconnections with other institutions of the financial system, the standard pricing formulas do not apply and...

This paper proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic...

The Gaussian Affine Term Structure Model (ATSM) introduced by Duffie and Kan is often used in finance to price derivatives written on interest rates or to compute the reserve to hedge a portfolio of credits (CreditVaR), and in macroeconomic applications to study the links between real activity...

The basic assumption of a structural VARMA model (SVARMA) is that it is driven by a white noise whose components are uncorrelated (or independent) and are interpreted as economic shocks, called "structural" shocks. These models have to face two kinds of identification problems. The first...

The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models since they require the updating of a function. The aim of this paper is to consider the situation of a large number n of individual measurements, called...

The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models since they require the updating of a function. The aim of this paper is to consider the situation of a large number n of individual measurements, called...

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows us to distinguish the exogenous and endogenous default dependence. We prove the...

The aim of our paper is to price credit derivatives written on a single name when this name is a bank. Indeed, due to the special structure of the balance sheet of a bank and to the interconnections with other institutions of the financial system, the standard pricing formulas do not apply and...