A data-cloning SMC² method is proposed as a general purpose optimization routine for estimating latent variable models by maximum likelihood. The latent variables are first marginalized out by SMC at any fixed parameter value, and the model parameters are then estimated by density tempered SMC....

Corporate credit default swap (CDS) premium is the market price of credit risk posed by a corporate obligor. Although corporate CDS are commonly used for risk benchmarking in accounting and credit risk management, liquid CDS are limited to less than 500 corporate names globally. CDS users must...

Corporate credit default swap (CDS) premium is the market price of credit risk posed by a corporate obligor. Although corporate CDS are commonly used for risk benchmarking in accounting and credit risk management, liquid CDS are limited to less than 500 corporate names globally. CDS users must...

This paper identifies a key cause for the documented diversification discount, namely diversified firms being traded at a discount relative to focused firms. We attribute such empirical findings to different distributions of diversified firms vis-à-vis focused firms over leverage in the data...

It is well known that as the time interval between two consecutive observations shrinks to zero, a properly constructed GARCH model will weakly converge to a bivariate diffusion. Naturally the European option price under the GARCH model will also converge to its bivariate diffusion counterpart....

Defaults in a credit portfolio of many obligors or in an economy populated with firms tend to occur in waves, reflecting their sharing of common risk factors and/or having systemic linkages via credit chains. One popular approach to characterizing defaults in is the Poisson intensity model...