The aim of this paper is to study the impact of stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based...

The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical...

Purpose – The aim of this paper is to study the impact of equity returns volatility of reference entities on credit-default swap rates using a new dataset from the Japanese market. Design/methodology/approach – Using a copula approach, the paper models the different relationships that can...

The aim of this paper is to study the impact of structure of dependency on the pricing of multi-name credit derivatives such as collateralised debt obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based...

The aim of this article is to develop a methodology to estimate the interest rate yield curve and its dynamics in the Tunisian bond market, which is considered as an illiquid market with a low trading volume. To achieve this, first, we apply the cubic spline interpolation method to deal with the...

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification<i> versus</i> domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and securities. The asset allocation problem is to maximize the expected utility from terminal wealth of a bank's shareholders over a finite...

The objective of this article is to investigate the behaviour of the time-varying volatility in 11 Middle East and North African (MENA) countries’ stock market using a three-state Markov regime switching model over the period from 30 October 2006 to 21 October 2011. We find that MENA...

Purpose – Since equity markets have a dynamic nature, the purpose of this paper is to investigate the performance of a revision procedure for domestic and international portfolios, and provides an empirical selection strategy for optimal diversification from an American investor's point of...

Purpose –Since equity markets have a dynamic nature, the purpose of this paper is to investigate the performance of a revision procedure for domestic and international portfolios, and provides an empirical selection strategy for optimal diversification from an American investor's point of...