Search Results - subject:"Poisson Process"

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2006

We present a two-factor stochastic default intensity and interest rate model for pricing single-name default swaptions. The specific positive square root processes considered fall in the relatively tractable class of affine jump diffusions while allowing for inclusion of stochastic volatility...

Persistent link: https://www.econbiz.de/10005558331

On Maximal Inequalities for some Jump Processes

Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

determining the best constants in maximal inequalities for a compound Poisson process with linear drift and exponential jumps. … determining the best constants in maximal inequalities for a compound Poisson process with linear drift and exponential jumps. 1 … with the process X that solves the stochastic differential equation (2.1) driven by a compound Poisson process with …

Persistent link: https://www.econbiz.de/10005784853

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

Persistent link: https://www.econbiz.de/10005825661

Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications

Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...

Persistent link: https://www.econbiz.de/10005826571

Recent Dynamics of Crude Oil Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2006

Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...

Persistent link: https://www.econbiz.de/10005826574

A note on the risk management of CDOs

Laurent, Jean-Paul - HAL - 2006

The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such as CDS while default risk is kept under control thanks to...

Persistent link: https://www.econbiz.de/10008794771

A stochastic approach to the relation between the impact factor and the uncitedness factor

Burrell, Quentin L. - In: Journal of Informetrics 7 (2013) 3, pp. 676-682

Empirical analysis of the relationship between the impact factor – as measured by the average number of citations – and the proportion of uncited material in a collection dates back at least to van Leeuwen and Moed (2005) where graphical presentations revealed striking patterns. Recently Hsu...

Persistent link: https://www.econbiz.de/10010795224

Nonparametric estimation and bootstrap confidence intervals for the optimal maintenance time of a repairable system

Gilardoni, Gustavo L.; Oliveira, Maristela D. de; … - In: Computational Statistics & Data Analysis 63 (2013) C, pp. 113-124

assumed to follow a nonhomogeneous Poisson process with an increasing intensity function. This paper departs from the usual …

Persistent link: https://www.econbiz.de/10010871468

On the sampling distribution of Allan factor estimator for a homogeneous Poisson process and its use to test inhomogeneities at multiple scales

Serinaldi, Francesco; Kilsby, Chris G. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 5, pp. 1080-1089

show persistence in a range of space and/or time scales. For a homogeneous Poisson process, the relationship between AF and …

Persistent link: https://www.econbiz.de/10010872678

Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

Azcue, Pablo; Muler, Nora - In: Computational Statistics 77 (2013) 2, pp. 177-206

claim amount follows a compound Poisson process. Our goal is to minimize the ruin probability of the company assuming that …

Persistent link: https://www.econbiz.de/10010847475