Linear models with stable error densities are considered, and their local asymptotic normality with respect to the regression parameter is established. We use this result, combined with Le Cam's third lemma, to obtain local powers and asymptotic relative efficiencies for various classical rank...

Classical estimation techniques for linear models either are inconsistent, or perform rather poorly, under α-stable error densities; most of them are not even rate-optimal. In this paper, we propose an original one-step R-estimation method and investigate its asymptotic performances under...

This paper is dedicated to recovery and residual value risks' modelling issues of automotive lease portfolios. First, loss-given-default distributions are estimated and compared for different samples based on risk drivers. Second, the residual value risk is approached through a resampling...

Each new crisis comes with financial innovations being pointed as scapegoats. But innovations are in general new tools materialising around existing strategies to make them more available and measurable. Their pace of evolution paired with that of the complexity of the interconnectedness between...

Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the...

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in an attempt to evaluate one of the main lines of research in...

Since the Markowitz mean-variance framework of 1952 and the subsequent discoveries of the CAPM and the APT, finance researchers have always strived to produce a reference performance measure adjusted for risk. With such a measure, any supplemental return would be denominated as “alpha”. But...

Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is the only study we know which uses actual transaction...