Related papers: Are all Credit Default Swap Databases equal?
The reliability of the results of network meta-analysis (NMA) lies in the plausibility of key assumption of transitivity. This assumption implies that the effect modifiers' distribution is similar across treatment comparisons. Transitivity…
Causal relationships are commonly examined in manufacturing processes to support faults investigations, perform interventions, and make strategic decisions. Industry 4.0 has made available an increasing amount of data that enable…
Database management systems are today's most reliable mean to organize data into collections that can be searched and updated. However, many DBMS systems are available on the market each having their pros and cons in terms of reliability,…
Repeated multi-unit auctions, where a seller allocates multiple identical items over many rounds, are common mechanisms in electricity markets and treasury auctions. We compare the two predominant formats: uniform-price and discriminatory…
This paper examines the valuation and hedging of standard equity protection swap (EPS) products proposed by Xu et al.. To account for financial crises and counterparty default risk, we develop pricing frameworks based on Merton's…
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage of such a model is that we can study the…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
We report empirical evidences on the existence of a conditional dynamics driving the evolution of financial assets which is found in several markets around the world and for different historical periods. In particular, we have analyzed the…
In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recovery rate (RR) for each pair of industry factor and credit rating grade, and these derived TSDP and…
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
Information retrieval (IR) benchmarks typically follow the Cranfield paradigm, relying on static and predefined corpora. However, temporal changes in technical corpora, such as API deprecations and code reorganizations, can render existing…
A database D may be inconsistent wrt a given set IC of integrity constraints. Consistent Query Answering (CQA) is the problem of computing from D the answers to a query that are consistent wrt IC . Consistent answers are invariant under all…
The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA), Liquidity…
We study competitive dynamic pricing among multiple sellers, motivated by the rise of large-scale experimentation and algorithmic pricing in retail and online marketplaces. Sellers repeatedly set prices using simple learning rules and…
The hypothesis that committed revolving credit lines with fixed spreads can provide firms with interest rate insurance is a standard feature of models on these credit facilities' interest rate structure. Nevertheless, this hypothesis has…
Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Underlying data sets are affected by non-stationarities and trends, we also apply…
Accurately assessing software vulnerabilities is essential for effective prioritization and remediation. While various scoring systems exist to support this task, their differing goals, methodologies and outputs often lead to inconsistent…
The present study investigates the price (co)volatility of four dairy commodities -- skim milk powder, whole milk powder, butter and cheddar cheese -- in three major dairy markets. It uses a multivariate factor stochastic volatility model…
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the 2-year period 1994-95 and (ii) 1-day price fluctuations…