Based on a large micro data set of loan accounts consisting of restructured and non-restructured loans we investigate the ability of loan-specific and macroeconomic covariates to predict the probability of default (PD). We seek to investigate whether differences in the PD between the two...

Cover -- Half-title -- Title -- Copyright -- Dedication -- Contents -- List of figures -- List of tables -- List of contributors -- Preface -- Acknowledgements -- Michael Magdalinos 1949-2002 -- Introduction -- 1 Conditional Heteroskedasticity Models with Pearson Family Disturbances -- 1...

In this paper we investigate whether the currency risk is priced in international stock markets. We suggest a parsimonious version of the international capital asset pricing model with an EGARCH-M (1,1) specification of the second moments' dynamics of stock and currency returns, assuming that...

This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic. By exploiting a log-linear relationship of the optimal exercise boundary with respect to volatility changes, we derive an integral representation...