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Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...
ELSEVIER SCIENCE BV2019
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
Sharing economy platforms such as Airbnb and Uber face a major challenge in the form of peer-to-peer discrimination based on sensitive personal attributes such as race and gender. As shown by a recent study under controlled settings, reputation systems can ...
Nonisothermally fusion bonded butt joints were prepared by overmolding thermoplastic elastomers (TPEs) onto isotactic polypropylene (iPP) inserts in order to investigate the effect of processing conditions on the bond strength and interfacial microstructur ...
2018
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Public funding agencies aim to fund novel breakthrough research to promote the radical scientific discoveries of tomorrow. Identifying the profiles of scientists being financed to pursue their research is therefore crucial. This paper shows that the fundin ...
We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
Hoboken2024
In late December 1973, the United States enacted what some would come to call “the pitbull of environmental laws.” In the 50 years since, the formidable regulatory teeth of the Endangered Species Act (ESA) have been credited with considerable successes, ob ...
2023
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...
