Related papers: Defining, Estimating and Using Credit Term Structu…
Robust yield curve estimation is crucial in fixed-income markets for accurate instrument pricing, effective risk management, and informed trading strategies. Traditional approaches, including the bootstrapping method and parametric…
Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been on the magnitude of investment loss and not on the dimension…
This paper introduces the notions of stability, ultimate boundedness, and positive invariance for stochastic systems in the view of risk. More specifically, those notions are defined in terms of the worst-case Conditional Value-at-Risk…
This theoretical model contains concept, equations, and graphical results for venture banking. A system of 27 equations describes the behavior of the venture-bank and underwriter system allowing phase-space type graphs that show where…
After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the…
We describe a general framework for measuring risks, where the risk measure takes values in an abstract cone. It is shown that this approach naturally includes the classical risk measures and set-valued risk measures and yields a natural…
This paper presents a novel methodology for evaluating the boundedness, stability, and instability of some vector nonlinear systems with multiple time-varying delays and variable coefficients. The proposed technique develops two scalar…
Diffusion models have recently shown considerable potential in solving Bayesian inverse problems when used as priors. However, sampling from the resulting denoising posterior distributions remains a challenge as it involves intractable…
Assessment of risk levels for existing credit accounts is important to the implementation of bank policies and offering financial products. This paper uses cluster analysis of behaviour of credit card accounts to help assess credit risk…
Topological Data Analysis (TDA) provides a toolkit for the study of the shape of high dimensional and complex data. While operating on a space of persistence diagrams is cumbersome, persistence norms provide a simple real value measure of…
We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk cannot be ensured simultaneously. We then propose a simple…
Classic stochastic volatility models assume volatility is unobservable. We use the Volatility Index: S&P 500 VIX to observe it, to easier fit the model. We apply it to corporate bonds. We fit autoregression for corporate rates and for risk…
This paper provides a formal econometric framework behind the newly developed difference-in-discontinuities design (DiDC). Despite its increasing use in applied research, there are currently limited studies of its properties. We formalize…
We introduce a continuous-time framework for the prediction of outstanding liabilities, in which chain-ladder development factors arise as a histogram estimator of a cost-weighted hazard function running in reversed development time. We use…
We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allows to tailor classical mean regressions to adverse…
We develop a mathematical theory for a class of compressible viscoelastic rate-type fluids with stress diffusion. Our approach is based on the concepts used in the nowadays standard theory of compressible Newtonian fluids as…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises. Financial cycles have a well defined…
Regression discontinuity (RD) is a widely used quasi-experimental design for causal inference. In the standard RD, the assignment to treatment is determined by a continuous pretreatment variable (i.e., running variable) falling above or…
Mean-deviation models, along with the existing theory of coherent risk measures, are well studied in the literature. In this paper, we characterize monotonic mean-deviation (risk) measures from a general mean-deviation model by applying a…