We address a credit risk model with optimal switching in which a firm optimally switches between two different diffusion regimes. A default boundary and the switching thresholds are endogenously determined, and we examine how the triggers and credit spreads are affected by the differences in...

This paper examines how mutual funds respond to constraints imposed by asset growth. We find a fund's decision to switch management structure to be largely driven by asset growth. However, we find little evidence that changes in management structure are associated with superior fund performance,...

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...