For the treatment of specific interest rate risk, a risk model is suggested, quantifying and combining both market and credit risk components consistently. The market risk model is based on credit spreads derived from traded bond prices. Though traded bond prices reveal a maximum amount of...

In this paper we propose a new four-parameters distribution with increasing, decreasing, bathtub-shaped and unimodal failure rate, called as the exponentiated Weibull–Poisson (EWP) distribution. The new distribution arises on a latent complementary risk problem base and is obtained by...

Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the...

In this article, we present the EM-algorithm for performing maximum likelihood estimation of an asymmetric linear calibration model with the assumption of skew-normally distributed error. A simulation study is conducted for evaluating the performance of the calibration estimator with...

Missing observations in dependent variables is a common feature of many financial applications. Standard ad hoc missing value imputation methods invariably fail to deliver efficient and unbiased parameter estimates. A number of recently developed classical and Bayesian iterative methods are...

The stock price is assumed to follow a jump-diffusion process which may exhibit time-varying volatilities. An econometric technique is then developed for this model and applied to high-frequency time series of stock prices that are subject to microstructure noises. Our method is based on first...