We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation uncertainty. The latter can be quantified by confidence intervals. But assumptions about dependencies of these intervals are inconsistent with assumptions of conventional credit...

Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...

In this paper we develop the first estimator of the covariance matrix that relies solely on forward-looking information. This estimator only uses price information from a cross-section of plain-vanilla options. In an out-of-sample study for US blue-chip stocks we show that a minimum-variance...

This paper proposes a new approach to style analysis by applying a general state space model and Monte Carlo filter. Particularly, we regard coefficients of style indices as state variables in the state space model and employ Monte Carlo filter as an estimation method. Moreover, we utilize a...

This dissertation studies the Markowitz model and its main problems, presents different alternatives to overcome them, and compare its performance through an empirical test with the historical closing prices of a set of funds. The main concussions of the empirical analysis are: (1) All the...