Credit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial crisis. Thus, methods for measuring credit risk,...

Welfare gains to long-horizon investors may derive from time diversification that exploits non-zero intemporal return correlations associated with predictable returns. Real estate may thus become more desirable if its returns are negatively serially correlated. While it could be important for...

This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an ambiguity-averse investor with multiple priors when the expected return of a risky asset is unobservable and follows a hidden Markov chain. The investor's beliefs over investment opportunities are...

The 2007-2008 financial crises has made it painfully obvious that markets may quickly turn illiquid. Moreover, recent experience has shown that distress and lack of active trading can jump around between seemingly unconnected parts of the financial system contributing to transforming isolated...

This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with Du e and Epstein (1992a)'s recursive preferences who worries about model misspecification (model uncertainty) and wants to seek robust decision rules. The expected excess return of a...

This study explores the information content of HML and SMB by linking the Fama-French factors to shocks in the state variables which predict future investment opportunities. It shows that the HML factor contains information about shocks to default spread. Moreover, the Fama-French model explains...

Current discussions about public and private pension plans often state that the stock market is less risky in the long run than in the short run. Pension plans with their rather long planning horizon are therefore asked to increase the allocation to the stock market. Such statements, however,...

This paper focuses on the legal environment, particularly the insolvency system, that would influence the success of Philippine Special Purpose Vehicles (SPVs), also known as asset management companies (AMCs) in other countries. Since SPVs will have to operate under a given insolvency regime...

Das Jahr 2020 war voller Überraschungen und das zeichnet sich auch an den Finanzmärkten ab. Der plötzliche und enorme Schock der Coronavirus-Pandemie und die Maßnahmen zu ihrer Eindämmung haben die Weltwirtschaft in eine schwere Rezession gestürzt. Nach Prognosen der Weltbank wird die...

We provide a new theory for nodewise regression when the residuals from a fitted factor model are used to apply our results to the analysis of maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. We introduce a new hybrid model where factor models are...