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, 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...

Recent research into management accounting practices suggests that companies are now placing considerable emphasis on profitability analysis and consider it to be one of the most important management accounting practices. There is however little recent empirical research relating to the content...

Purpose – The purpose of this paper is to suggest a framework for competing theories of entrepreneurship but to argue for transparency in one's attempts to understand this phenomenon. Then to argue that, when matching small business advisers to small business, one should consider their...

The entrepreneurial marketing paradigm is open to several interpretations. One such is that we should consider, in particular, the behaviour of small firms, and in particular, small entrepreneurial firms; another interpretation is to argue for the building of a completely new, and substantive,...

Purpose - The audit committee is one of the most prominent board sub-committees, having a potentially important role to play in ensuring sound corporate governance. This paper examines and discusses the behaviour of companies following revisions to the UK’s Revised...

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,...