We address the calibration issues of the weighted-indexed semi-Markov chain (WISMC) model applied to high-frequency financial data. Specifically, we propose to automate the discretization of the price returns and the volatility index by using four different approaches, two based on statistical...

This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...