A recent article of Flesaker and Hughston introduces a one factor interest rate model called the rational lognormal model. This model has a lot to recommend it including guaranteed finite positive interest rates and analytic tractability. Consequently, it has received a lot of attention among...

Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White [2012] introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's...

Purpose – The purpose of this paper is to describe a generalization of the familiar two-sample t-test for equality of means to the case where the sample values are to be given unequal weights. This is a natural situation in financial risk modeling when some samples are considered more reliable...