Most dynamic programming methods deployed in the portfolio choice literature involve recursions on an approximated value function. The simulation-based method proposed recently by Brandt, Goyal, Santa-Clara, and Stroud (Review of Financial Studies, 18, 831–873, 2005), relies instead on...

The paper studies the effects that tax rate changes have on the cost of capital when firms follow target leverage ratios. We show that changes in individual income tax rates are neutral. The focus therefore is on the effects of changes in marginal corporate tax rates. These effects are computed...

This study extends the method of Guermat and Harris (2002), the Power EWMA (exponentially weighted moving average) method in conjunction with historical simulation to estimating portfolio Value-at-Risk (VaR). Using historical daily return data of three hypothetical portfolios formed by...

Estimation of Default Probabilities is critical to the correct pricing of credit derivatives and determining the appropriate level of reserves to support credit risky activities (Basel II). Given that credit default swaps (CDS) reflect the market consensus on default probability (with a direct...

W ostatnich latach coraz wiekszego znaczenia nabiera mozliwoœc badania zjawisk bezpoœrednio nieobserwowalnych. Problem obserwowalnoœci zjawisk moze wystapic zarowno z powodu trudnoœci dokonania dokladnego pomiaru, jak i ze wzgledu na nature niektorych zjawisk zlozonych (poziom zycia, kapital...