What began as a single COVID-19 case in China in late 2019 quickly spread around the globe in the first quarter of 2020. While the impact on the world\'s health systems is unknown, the economic toll remains also remains unknown as the world grapples with an unprecedented global recession. This...

This paper develops a quantitative model of trade, military conflicts, and defense spending. Trade liberalization between two countries reduces probability of an armed conict between them, causing both to cut defense spending. This in turn causes a domino effect on defense spending by other...

A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

In this note, a class of nonlinear dynamic models under rational expectations is studied. A particular solution is found using a model reference adaptive technique via an extended Kalman filtering algorithm, for which initial conditions knowledge only is required. -- Nonlinear dynamic systems ;...

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. The approximation is based on regular and singular expansions with respect to the small volatility and contains a low-dimensional integration. The model in hand...

We develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. Assuming that the portfolio is priced by the backward (American) Monte-Carlo method, our approach allows calculating the credit exposure as a pricing...

Despite the importance of Berry et al.(1995)'s model of demand for differentiated products (BLP hereafter), there are few results about its finite sample behavior. In theory, simulation experiments provide a tool to answer such questions but computational and numerical difficulties have...

In this paper, the author uses geometrical and topological aspects of Exploratory Data Analysis (EDA) to examine Standard and Poor's (S&P), MSCI's and Thomson Reuters' (TRI) ways of determining which stocks are growth and which are value. The results of the analysis are that two of the firms -...

Regulators in the U.S. and Europe have called for quantitative risk retention requirements to address some of the shortcomings of securitized products, which contributed to the credit crisis but remain an integral component of financial markets. The paper explores the conflicts in the...