This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data...

This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model...

In many economic applications it is desirable to make future predictions about the financial status of a company. The focus of predictions is mainly if a company will default or not. A support vector machine (SVM) is one learning method which uses historical data to establish a classification...

Selected Paper prepared for presentation at the Southern Agricultural Economics Association Annual Meeting, Orlando, FL, February 6-9, 2010

Many economic applications have found quantile models useful when the explanatory variables may have varying impacts throughout the distribution of the outcome variable. Traditional quantile estimators provide conditional quantile treatment effects. Typically, we are interested in unconditional...

A sequence of real numbers (<I>x_n</I>) is Benford if the significands, i.e. the fraction

China’s household saving rate has increased markedly since the mid-1990s and the age-savings profile has become U-shaped. We find that rising income uncertainty and pension reforms help explain both of these phenomena. Using a panel of Chinese households covering the period 1989-2006, we...