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data contain much less information than one might think, due to the presence of correlation. We conclude that the prior in …
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an IGARCH process. By means of a new dynamic conditional correlation model (SP-DCC), we finally document the presence of … time-varying conditional correlations relating temperature anomalies across various zones and SOI. The correlation pattern …
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Concurrent with the rapid development of the market for catastrophe (cat) bonds, a steady decline in their risk premia has been observed. Whether the latter trend is consistent with the evolution of natural disasters risk is an open question. Indeed, a large share of outstanding risk capital in...
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securitized mortgages. This paper uses the impact of one such sharp rule, the conforming loan limit, on securitization volumes. We … securitization activity in years following such a billion-dollar disaster. Such increase is larger in neighborhoods for which such a …
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