Related papers: Modelling interest rates by correlated multi-facto…
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…
In this paper, we propose a flexible cure rate model with frailty term in latent risk, which is obtained by incorporating a frailty term in risk function of latent competing causes. The number of competing causes of the event of interest…
This paper develops an inferential theory for state-varying factor models of large dimensions. Unlike constant factor models, loadings are general functions of some recurrent state process. We develop an estimator for the latent factors and…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads…
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. To…
Taking the Fourier integral theorem as our starting point, in this paper we focus on natural Monte Carlo and fully nonparametric estimators of multivariate distributions and conditional distribution functions. We do this without the need…
Many applications in medical statistics as well as in other fields can be described by transitions between multiple states (e.g. from health to disease) experienced by individuals over time. In this context, multi-state models are a popular…
This paper addresses a critical inconsistency in models of the term structure of interest rates (TSIR), where zero-coupon bonds are priced under risk-neutral measures distinct from those used in equity markets. We propose a unified TSIR…
In general, the rates of infection and removal (whether through recovery or death) are nonlinear functions of the number of infected and susceptible individuals. One of the simplest models for the spread of infectious diseases is the SIR…
Using an analog of the boundary element method in engineering and science, we analyze and model unemployment rate in Austria, Italy, the Netherlands, Sweden, Switzerland, and the United States as a function of inflation and the change in…
In this paper, we consider a discrete-time stochastic SIR model, where the transmission rate and the true number of infectious individuals are random and unobservable. An advantage of this model is that it permits us to account for random…
This paper introduces a credit risk rating model for credit risk assessment in quantitative finance, aiming to categorize borrowers based on their behavioral data. The model is trained on data from Experian, a widely recognized credit…
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR)…
The initial Climate-Extended Risk Model (CERM) addresses the estimate of climate-related financial risk embedded within a bank loan portfolio, through a climatic extension of the Basel II IRB model. It uses a Gaussian copula model…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
In this paper, we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
We propose a stochastic SIR model, specified as a system of stochastic differential equations, to analyse the data of the Italian COVID-19 epidemic, taking also into account the under-detection of infected and recovered individuals in the…
In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier process while the second one is based on the Ornstein-Uhlenbeck…
The study of international relations by definition deals with interdependencies among countries. One form of interdependence between countries is the diffusion of country-level features, such as policies, political regimes, or conflict. In…