In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically 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...

We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and recursive updating formulas are also provided. We also explain how to use appropriately the Kalman filter to estimate the parameters of the model...

According to traditional option pricing models,1 financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations,...

In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...

In this paper the testing and estimation problems are discussed in the case of serial correlation. Various models are particular cases of the general framework considered: the nonlinear simultaneous equations models, the probit models, the tobit models, the disequilibrium models, the frontier...

A general framework for asymptotic tests is proposed. The framework contains as particular cases tests based on various estimation techniques: maximum likelihood methods, pseudo-maximum likelihood (PML) methods and quasi-generalized PML methods, <italic>m</italic>-estimation methods, moments or generalized...

We propose a quadratic term-structure model of the EURIBOR-OIS spreads. Contrary to OIS, EURIBOR rates incorporate credit and liquidity risks resulting in compensations for (a) facing default risk of debtors, and (b) possible unexpected funding needs on the lender’s side. Our approach allows...

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically 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 purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential-affine stochastic discount factor (SDF) and to preserve, at the...