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The renewable energy sector has accomplished remarkable growth rates over the last decade. This paper examines the dynamics of excess returns for the WilderHill New Energy Global Innovation index, which lists firms in the renewable energy sector and is used as a global benchmark. We propose a...
Persistent link: https://www.econbiz.de/10012977030
Public investment into risk reduction infrastructure plays an important role in facilitating adaptation to climate impacted hazards and natural disasters. In this paper, we provide an economic framework to incorporate investment timing and insurance market risk preferences when evaluating...
Persistent link: https://www.econbiz.de/10012977032
We investigate the term structure of sovereign yield spreads for five advanced economies against the US and provide novel insights on the key drivers of the term structure. We show that the spread term structure dynamics are driven by three latent factors, which can be labeled as spread level,...
Persistent link: https://www.econbiz.de/10012969581
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The paper gives a survey on recent developments on the use of numerical methods in rating based Credit Risk Models. Generally such models use transition matrices to describe probabilities from moving from one rating state to the other and to calculate Value-at-Risk figures for portfolios. We...
Persistent link: https://www.econbiz.de/10012736807
We review different methods for simulating credit migrations in a nonparametric and discrete or continuous-time Markov chain framework. We suggest the use of a factor model approach in combination with the use of copulas for the joint dynamics of credit rating changes.While there are several...
Persistent link: https://www.econbiz.de/10012719072
Transition matrices are an important determinant for risk management and VaR calculations in credit portfolios. It is well known that rating migration behavior is not constant through time. It shows cyclical behavior and significant changes over the years. We investigate the effect of changes in...
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