This paper is dedicated to recovery and residual value risks' modelling issues of automotive lease portfolios. First, loss-given-default distributions are estimated and compared for different samples based on risk drivers. Second, the residual value risk is approached through a resampling...

We use recent results on the Generalized Dynamic Factor Model (GDFM) with block structure to provide a data-driven definition of unobservable market liquidity and to assess the complementarity of two observed liquidity measures: daily close relative spreads and daily traded volumes for a sample...

Companies need to decide on the optimal amounts of cash to hold. Although this problem has long been acknowledged as a major issue for corporations, new advances in the finance literature have not been fully implemented in this area. We propose here what we believe is the first modelization of a...

We develop a structural model of credit risk in a network economy, where any firm can lend to any other firm, so that each firm is subject to counterparty risk either from direct borrowers or from remote firms in the network. This model takes into account the role of each firm's cash management....

Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk...