Related papers: On Modeling Economic Default Time: A Reduced-Form …
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…
Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…
Time series foundation models (FMs) have emerged as a popular paradigm for zero-shot multi-domain forecasting. These models are trained on numerous diverse datasets and claim to be effective forecasters across multiple different time series…
Multivariate functional data present theoretical and practical complications which are not found in univariate functional data. One of these is a situation where the component functions of multivariate functional data are positive and are…
This paper proposes a methodology to empirically validate an agent-based model (ABM) that generates artificial financial time series data comparable with real-world financial data. The approach is based on comparing the results of the ABM…
A direct method for calculating default rates by industry and target corporate segments is not possible given the lack of statistical data. The proposed paper considers a model for filtering the dynamics of the probability of default of…
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…
Risk-averse investors often wish to exclude stocks from their portfolios that bear high credit risk, which is a measure of a firm's likelihood of bankruptcy. This risk is commonly estimated by constructing signals from quarterly accounting…
The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank's portfolio of collateralized loans in an economy subject to the climate transition. The economy, organized in sectors, is driven by…
The accelerated failure time (AFT) model is widely used to analyze relationships between variables in the presence of censored observations. However, this model relies on some assumptions such as the error distribution, which can lead to…
This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…
Technical Debt management decisions always imply a trade-off among outcomes at different points in time. In such intertemporal choices, distant outcomes are often valued lower than close ones, a phenomenon known as temporal discounting.…
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…
This paper proposes a new extension of the linear failure rate (LFR) model to better capture real-world lifetime data. The model incorporates an additional shape parameter to increase flexibility. It helps model the minimum survival time…
During the last two years, Europe has been facing a debt crisis, and Greece has been at its center. In response to the crisis, drastic actions have been taken, including the halving of Greek debt. Policy makers acted because interest rates…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is minimised, in accordance with Basel II.…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
Credit risk in the China's bond market has become increasingly evident, creating a progressively escalating risk of default for credit bond investors. Given the current incomplete and inaccurate bond information disclosure, timely tracking…
This paper extends the classical dividend problem by incorporating a novel, path-dependent mechanism of firm default. In the traditional framework, ruin occurs when the surplus process first reaches zero. In contrast, default in our model…