Recent empirical studies have demonstrated the informative nature of the equity returns in explaining the variation of the underlying firm's credit default swap (CDS) spreads. Motivated by these findings, we propose a unified credit-equity model by extending the latent structural model in Kijima...

Many empirical researches report that value-at-risk (VaR) measures understate the actual 1% quantile, while for Inui, K., Kijima, M. and Kitano, A., VaR is subject to a significant positive bias. Stat. Probab. Lett., 2005, 72, 299-311. proved that VaR measures overstate significantly when...