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A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
Government Bond (GB) model Corporate Bond (CB) model Term Structure of Default Probabilities (TSDP) Recovery Rate (RR) Credit Default Swap (CDS) business portfolio, credit risk management
2012/9/14
In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recov-ery rate (RR) for each pair of industry factor and credit r...
Segmentation analysis on a multivariate time series of the foreign exchange rates
finite multivariate Gaussian mixture Jensen-Shannon divergence variance-covariance matrix cross-sectional analysis
2012/6/2
This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is emp...
Calibration of Chaotic Models for Interest Rates
Positive interest rate models Wiener chaos model calibration
2011/7/4
In this paper we calibrate chaotic models for interest rates to market data using a
polynomial{exponential parametrization for the chaos coecients. We identify a subclass of one{
variable models th...
Drive for Show, Putt for Dough: Rates of Return to Golf Skills, Events Played, and Age on the PGA Tour
Golf Skills Events Played Age on the PGA Tour
2009/11/30
The “winner take all” structure of professional golf, where there i
substantial incentive to perform at one's highest ability, invites investigation
into the rates of return to golf skills on the PG...
Bonds with volatilities proportional to forward rates
bond market HJM condition linear volatitlity
2010/11/2
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence
and non-existence of the...
On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
optimal stopping simulation based algorithms entropy with bracketing increments of empirical processes
2010/11/2
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of qu...
Persistence in US Interest Rates: Is it Stable Over Time?
Fractional integration interest rates persistence
2010/9/7
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 throu...
On the Persistence of Real Interest Rates: New Evidence from Long-Horizon Data
Real interest rate CCAPM local-to-unity half-life
2010/9/7
Since the paper of Rose (1988), a large literature has emerged on testing the stationarity of real interest rates using a variety of econometric procedures. In this study, we emphasize that the low po...
A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates
State space model Dynamic factor anal-ysis Kalman filter Method of scoring Unobserved com- ponent estimation
2014/3/18
The paper formulates and estimates a single-factor multi-variate time series model. The model is a dynamic gen-eralization of the multiple indicator (or factor analysis) model. ...