Usage of Monte Carlo simulation for pricing requires a well defined and accurate market implied distribution of risk factors. Overlay, on top of these simulated risk factors, one can also generate conditional prices based on the set of underlying risk factors at future time horizons. The ability...

The theoretical relationship between informational efficiency and efficiency in the assignment is reviewed in this document. Two improvements are proposed with respect to the traditional empirical methodology that is currently used to test market efficiency in the weak form. The first one is to...

What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searching for most powerful tests, to wild practitioners, blindly reporting p-values and claiming statistical significance...

We establish 16 good practice principles for modelling defined contribution pension plans. These principles cover the following issues: model specification and calibration; modelling quantifiable uncertainty; modelling member choices; modelling member characteristics, such as occupation and...

The policy measures taken to address the coronavirus pandemic have plunged the global economy into the greatest recession since the 1930s. These measures were motivated in the first instance by the experience in regions where the virus was uncontained and resulted in overwhelmed medical systems...

We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using weak convergence of compound renewal processes to Lévy...

I introduce the time-varying GARCH-in-mean (TVGARCH-in-mean) model and propose an estimation strategy for the stochastic time-varying risk premium parameter. A Monte Carlo study shows that the proposed algorithm has good finite sample properties. Using monthly excess returns on the CRSP index, I...

We explore a century-long dataset with a Markov-switching structural VAR to estimate state-dependent government spending multipliers. We show that the multiplier values are statistically larger during recessions than during expansions. However, the multipliers are always smaller than 1. Our...

In this article, we build on Chernobai et al. [1]'s procedure for modelling left-truncated data via a compound non-homogeneous Poisson process. The contribution we make is that we modify the fitting process introduced so that it is systematically applicable in the context of data that is not...

We investigate whether outliers in cross-country samples and the common methods we use to address them affect the trustworthiness of our empirical results. Our analysis begins by documenting recent international business (IB) research practices in the identification and treatment of outliers. We...