Showing 1 - 10 of 10
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...
Persistent link: https://www.econbiz.de/10009439495
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...
Persistent link: https://www.econbiz.de/10009439871
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...
Persistent link: https://www.econbiz.de/10009439932
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...
Persistent link: https://www.econbiz.de/10009440093
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,...
Persistent link: https://www.econbiz.de/10009479482
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...
Persistent link: https://www.econbiz.de/10009450416
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,...
Persistent link: https://www.econbiz.de/10009458225
This talk reviews some of the applications of mathematical programming in finance. Of course mathematical programming has long been recognised as a vital modelling approach to solve optimization problems in finance. Markowitz’s Nobel Prize winning work on portfolio optimization showed how...
Persistent link: https://www.econbiz.de/10009458314
Start-ups are crucial in the modern economy as they provide dynamism and growth. Research on the performance of new ventures increasingly investigates initial resources as determinants of success. Initial resources are said to be important because they imprint the firm at start-up, limit its...
Persistent link: https://www.econbiz.de/10009458525
A covariance matrix of asset returns plays an important role in modern portfolio analysis and risk management. Despite the recent interests in improving the estimation of a return covariance matrix, there remain many areas for further investigation. This thesis studies several issues related to...
Persistent link: https://www.econbiz.de/10009485092