Related papers: Credit Ratings: Heterogeneous Effect on Capital St…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
In high-dimensional sparse regression, would increasing the signal-to-noise ratio while fixing the sparsity level always lead to better model selection? For high-dimensional sparse regression problems, surprisingly, in this paper we answer…
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky…
It is known that the hazard ratio lacks a useful causal interpretation. Even for data from a randomized controlled trial, the hazard ratio suffers from built-in selection bias as, over time, the individuals at risk in the exposed and…
Many causal and structural effects depend on regressions. Examples include policy effects, average derivatives, regression decompositions, average treatment effects, causal mediation, and parameters of economic structural models. The…
Some reasons for high leverage are analytically investigated by decomposing leverage into meaningful components. The results in this work can be used for remedial action as a next step of data analysis.
In this paper we study the problems of estimating heterogeneity in causal effects in experimental or observational studies and conducting inference about the magnitude of the differences in treatment effects across subsets of the…
Although various citation-based indicators are commonly used to help research evaluations, there are ongoing controversies about their value. In response, they are often correlated with quality ratings or with other quantitative indicators…
University rankings are increasingly adopted for academic comparison and success quantification, even to establish performance-based criteria for funding assignment. However, rankings are not neutral tools, and their use frequently…
There is an increasing interest in estimating heterogeneity in causal effects in randomized and observational studies. However, little research has been conducted to understand heterogeneity in an instrumental variables study. In this work,…
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
We introduce a simple approach for testing the reliability of homogeneous generators and the Markov property of the stochastic processes underlying empirical time series of credit ratings. We analyze open access data provided by Moody's and…
The domain of hedge fund investments is undergoing significant transformation, influenced by the rapid expansion of data availability and the advancement of analytical technologies. This study explores the enhancement of hedge fund…
Does euro adoption affect long-run economic growth? Existing evidence is mixed, reflecting limited treated countries, long horizons that challenge inference, and heterogeneity across member states. We estimate causal dynamic and…
Banks and financial institutions all over the world manage portfolios containing tens of thousands of customers. Not all customers are high credit-worthy, and many possess varying degrees of risk to the Bank or financial institutions that…
As online shopping becomes ever more prevalent, customers rely increasingly on product rating websites for making purchase decisions. The reliability of online ratings, however, is potentially compromised by the so-called herding effect:…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
We study a panel data model with general heterogeneous effects where slopes are allowed to vary across both individuals and over time. The key dimension reduction assumption we employ is that the heterogeneous slopes can be expressed as…
Treatment effect heterogeneity is of a great concern when evaluating policy impact: "is the treatment Pareto-improving?", "what is the proportion of people who are better off under the treatment?", etc. However, even in the simple case of a…
Epidemiological approaches for examining human health responses to environmental exposures in observational studies often control for confounding by implementing clever matching schemes and using statistical methods based on conditional…