The discounting of very long-term cash-flows is crucial for the valuation of long-term investment projects. In this paper, we analyze the market prices of US government bonds with very long-term time-to-maturity, and emphasize some statistical specificities of very long-term zero-coupon rates,...

By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows distinguishing the exogenous and endogenous default dependence. We prove the...

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

This article proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic...

We introduce Negative Binomial Autoregressive (NBAR) processes for (univariate and bivariate) count time series. The univariate NBAR process is defined jointly with an underlying intensity process, which is autoregressive gamma. The resulting count process is Markov, with negative binomial...

A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors, an account for the management firm and a provision account. Despite a lack of transparency...

We derive necessary and sufficient conditions for the positive definiteness of the predicted volatility matrix in a bivariate autoregressive volatility specification. These nonlinear inequality restrictions have strong implications in terms of causality between volatilities and covolatilities

This paper extends the analysis in Migration Correlation: Estimation Method and Application to the French Companies Rated by the Banque de France and provides a methodology for valuing dependent defaults based on the latent variable approach. This methodology underlies all models derived from...

This paper extends to the multiasset framework the closed-form solution for options with stochastic volatility derived in Heston (1993) and Ball and Roma (1994). This extension introduces a risk premium in the return equation and considers Wishart dynamics for the process of the stochastic...

This paper reveals that the class of affine term structure models introduced by Duffie and Kan (1996) is much larger than it has been usually considered in the literature. We study fundamental risk factors, which represent multivariate risk aversion of the consumer or the volatility matrix of...