This paper extends the one-factor Gaussian copula model, the standard market model for valuing CDOs, based on the multivariate Wang transform. Unlike the existing models, our model calibrates the parameter associated with a risk adjustment for default threshold, not correlation parameter, which...

A commentary on Patrick Messerlin's article "Agricultural Trade Liberalization."Yoichi Suzuki joined the Japanese Foreign Ministry in 1975, after having studied international public law at Hitotsubashi University, Tokyo. He also studied at and graduated from the Ecole Nationale...

A commentary on Patrick Messerlin's article "Agricultural Trade Liberalization."Yoichi Suzuki joined the Japanese Foreign Ministry in 1975, after having studied international public law at Hitotsubashi University, Tokyo. He also studied at and graduated from the Ecole Nationale d'Administration,...

This paper proposes a jump-diffusion model, in closed form, to price corporate debt securities, senior and junior, with the same maturity and violation of the absolute priority rule. We take the structural approach that the firm's asset value follows a jump-diffusion process in a stochastic...

We consider a consistent pricing model of government bonds, interest-rate swaps and basis swaps in one currency within the no-arbitrage framework. To this end, we propose a three yield-curve model, one for discounting cash flows, one for calculating LIBOR deposit rates and one for calculating...

This paper proposes an efficient model for the term structure of interest rates when the interest rate takes very small values. We make the following choices: (i) we model the short-term interest rate, (ii) we assume that once the interest rate reaches zero, it stays there and we have to wait...

It is well known that the Wang transform [Wang, S.S., 2002. A universal framework for pricing financial and insurance risks. Astin Bull. 32, 213-234] for the pricing of financial and insurance risks is derived from Bühlmann's economic premium principle [Bühlmann, H., 1980. An economic premium...