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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

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

14.123 Microeconomic Theory III, Spring 2009

Eso, Peter - 2009

, repeated games, and correlation. …

Persistent link: https://www.econbiz.de/10009432546

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

Modeling Dependence in the Design of Whole Farm---A Copula-Based Model Approach

Zhu, Ying; Ghosh, Sujit K.; Goodwin, Barry K. - 2008

The objective of this study is to evaluate and model the risks of corn and soybean production. This study focuses on the risk of revenue variability that arises from changes in prices, yields shortfalls or both. There are several models for price and yield risk factors for corn and soybeans. For...

Persistent link: https://www.econbiz.de/10009443274

Joint Distributions of Time to Default with Application to the Pricing of Credit Derivatives

Zhang, Min - 2008

loss distribution of the large portfolio by using the Gaussian copula. We derive several asymptotic approximations to the … loss distribution of the Gaussian copula. Every approximation is compared with the exact loss distribution by using the … variables that have a multivariate Student's t distribution. We study the loss distribution of the large portfolio by using the …

Persistent link: https://www.econbiz.de/10009431293

Modelling the distribution of credit losses with observable and latent factors

Jiménez Zambrano, Gabriel; Mencía González, Javier - 2007

This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the … effects between sectors. In addition, we also model the distributions of the Exposure at Default and the Loss Given Default …

Persistent link: https://www.econbiz.de/10012530162

Three Essays on Asset Pricing

Wang, Zhiguang - 2009

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...

Persistent link: https://www.econbiz.de/10009460573

Individual QoS versus aggregate QoS: A loss performance study

Xu, Ying; Guérin, Roch A - 2005

This paper explores the differences that can exist between individual and aggregate loss guarantees in an environment … resources, e.g., bandwidth or buffer, required to ensure that all individual loss measures remain below their desired target …. This paper's contributions are in developing analytical models that enable the evaluation of individual loss probabilities …

Persistent link: https://www.econbiz.de/10009439223