In this paper, we explain why a nonparametric approach based on a betakernel [Renault, Scaillet (2004)] will lead to significant bias when appliedto recovery rate distributions. This is due to a specific feature of thesedistributions, which admit strictly positive weights at 100 %...

In this paper we explain how to use the rating histories provided by theinternal scoring systems of banks and by rating agencies in order to predictthe future risk of a given borrower or of a set of borrowers. The method isdeveloped following the steps suggested by the Basle Committee. To...

In this paper, we consider an incomplete market framework and explain how to usejointly observed prices of the underlying asset and of some derivatives written on this assetfor an efficient pricing of other derivatives. This question involves two types of momentrestrictions, which can be written...