Related papers: Modelling interest rates by correlated multi-facto…
Compartmental models are valuable tools for investigating infectious diseases. Researchers building such models typically begin with a simple structure where compartments correspond to individuals with different epidemiological statuses,…
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite…
Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline…
To improve nonparametric estimates of lifetime distributions, we propose using the increasing odds rate (IOR) model as an alternative to other popular, but more restrictive, ``adverse ageing'' models, such as the increasing hazard rate one.…
This paper gives examples of explicit arbitrage-free term structure models with L\'evy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a L\'evy process…
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would enable regulators to introduce suitable policies to mitigate…
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market…
This work is attached to the BRICS 2013 competition. We propose a two-stage model for dealing with the temporal degradation of credit scoring models. This methodology produced motivating results in a 1-year horizon. We anticipate that it…
In the independent component model, the multivariate data is assumed to be a mixture of mutually independent latent components, and in independent component analysis (ICA) the aim is to estimate these latent components. In this paper we…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion…
Relationship lending is broadly interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify the strength of a lending relationship, while simple statistics such as the…
Risk sensitive decision making finds important applications in current day use cases. Existing risk measures consider a single or finite collection of random variables, which do not account for the asymptotic behaviour of underlying…
Level, slope, and curvature are three commonly-believed principal components in interest rate term structure and are thus widely used in modeling. This paper characterizes the heterogeneity of how misspecified such models are through time.…
This paper studies high-dimensional curve time series with common stochastic trends. A dual functional factor model structure is adopted with a high-dimensional factor model for the observed curve time series and a low-dimensional factor…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a…
The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my…
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator,…
There is increasing evidence that one of the most difficult problems in trying to control the ongoing COVID-19 epidemic is the presence of a large cohort of asymptomatic infectives. We develop a SIR-type model taking into account the…