We introduce a new point process, the dynamic contagion process, by gener- alising the Hawkes process and the Cox process with shot noise intensity. Our process includes both self-excited and externally excited jumps, which could be used to model the dynamic contagion impact from endogenous and...

In this paper we introduce concepts that build a theoretical notion of reputation risk and establish the need to extend our approach to managing such risk.. The existing literature on reputation risk has tended to be reactive and focus on immediate business threats rather than trying to...

In this paper, I study the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders and competitive market makers who set share prices using the total order flow as a noisy...

The aim of this paper is to investigate the empirical relationship between daily fluctuations in the risk premium for holding a large diversified credit portfolio, which we approximate by a benchmark credit index, and some tradeable market factors which capture systematic risk. The analysis is...

We use the Cox process (or a doubly stochastic Poisson process) to model the claim arrival process for catastrophic events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic...

This article aims to assess barriers to service provision in the banking and telecom sectors of four Middle East and North Africa (MENA) countries, and the impact of these barriers on firm performance. Our methodology involves the computation of aggregate and modal trade restrictiveness indices...

This article investigates the latest developments in longevity-risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood,...

Purpose – This paper aims to investigate the efficiency and effectiveness of alternative credit-scoring models for consumer loans in the banking sector. In particular, the focus is upon the financial risks associated with both the efficiency of alternative models in terms of correct...

When young individuals face binding debt constraints, their human capital investments will be insufficiently financed by private creditors. If generations overlap, then a well-designed fiscal policy may be able to improve human capital investments by replacing missing capital markets with an...

This paper applies options theory to the model of equilibrium credit rationing developed by [Stiglitz, J.E., Weiss, A., 1981. Credit rationing in markets with imperfect information, American Economic Review, 71, 727–752.] by noticing that, given a standard debt contract and limited liability,...