Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall...

In this paper, we consider asset pricing models under the multivariate t-distribution with finite second moment. Such a distribution, which contains the normal distribution, offers a more flexible framework for modeling asset returns. The main objective of this work is to develop statistical...

Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money...