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Testing non-linear dependence in the hedge fund industry
Mencía González, Javier - 2010
This paper proposes a parsimonious approach to test non-linear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces non-linear dependence by means of empirically relevant polynomial functions of the factors. For comparison...
Persistent link: https://www.econbiz.de/10012530285
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Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect
Dunbar, Kwamie; Edwards, Albert J. - 2007
In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …
Persistent link: https://www.econbiz.de/10009430120
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The Role of Emerging Market in Investment Portfolios
Hallinan, Kelly - 2011
This thesis explores the role of emerging markets in investment portfolios. Could an investment portfolio consisting of emerging market securities have outperformed similar portfolios that did not contain emerging markets over recent years? Gathering data from January 1, 2009 to December 31,...
Persistent link: https://www.econbiz.de/10009430255
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14.123 Microeconomic Theory III, Spring 2009
Eso, Peter - 2009
This half-semester course discusses decision theory and topics in game theory. We present models of individual decision …, supermodularity, monotone comparative statics, background risk, game theory, rationalizability, iterated strict dominance multi …-stage games, sequential equilibrium, trembling-hand perfection, stability, signaling games, theory of auctions, global games …
Persistent link: https://www.econbiz.de/10009432546
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Kreditrisiken - Modellierung und Management: Ein Überblick
Albrecht, Peter - 2005
ZusammenfassungDie Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl...
Persistent link: https://www.econbiz.de/10009447493
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Business failure prediction using decision trees
Gepp, Adrian; Kumar, Kuldeep; Bhattacharya, Sukanto - 2009
Accurate business failure prediction models would be extremely valuable to many industry sectors, particularly financial investment and lending. The potential value of such models is emphasised by the extremely costly failure of high-profile companies in the recent past. Consequently, a...
Persistent link: https://www.econbiz.de/10009441694
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Multi-country study of bank credit risk determinants
Ahmad, Nor Hayati; Ariff, Mohamed - 2007
critical in the cases of loan-dominant banks in emerging economies. Contrary to theory or studies, we find leverage is not …
Persistent link: https://www.econbiz.de/10009441719
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Dynamic Optimization of Area Revenue Insurance and Consumption Smoothing
Lin, Shanshan; Mullen, Jeffrey D.; Wetzstein, Michael - 2010
This study examines the interaction between insurance, credit and liquidityconstraints using a stochastic dynamic model. A risk averse farmer whoseobjective is to manage both production and market risk is assumed tomaximize the expected utility of life-time consumption by using both arearevenue...
Persistent link: https://www.econbiz.de/10009446127
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Basel Capital Requirements and Bank Credit Risk Taking In Developing Countries;
Hussain, M. Ershad; Hassan, M. Kabir - 2005
Existing literature has focused attention on the impact of Basle I and similar capital requirement regulations on developed countries where such regulations were found to be effective in increasing capital ratios and reducing portfolio credit risk of commercial banks. In the present study, we...
Persistent link: https://www.econbiz.de/10009468585
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Statistical Methods in Credit Risk Modeling.
Zhang, Aijun - 2009
This research deals with some statistical modeling problems that are motivated by credit risk analysis. Credit risk modeling has been the subject of considerable research interest in finance and has recently drawn the attention of statistical researchers. In the first chapter, we provide an...
Persistent link: https://www.econbiz.de/10009476967