In this study, we derive an analytical solution for expected loss and the higher moment of the discounted loss distribution for a collateralized loan. To ensure nonnegative values for intensity and interest rate, we assume a quadratic Gaussian process for default intensity and discount interest...

<Para ID="Par1">We evaluate the expected loss and the standard deviation of loss of a bank loan, considering the bank’s strategic control of the expected return on the loan. Assuming that the bank supplies an additional loan to minimize the expected loss of the total loan, we provide analytical formulations...</para>

This paper examines the marginal distributions of stocks and bonds, and a copula between the movement of stock prices and interest rates. Because some widely used aggregation methods such as variance-covariance tend to underestimate the risk of an aggregated portfolio, a copula is utilized for...

In this study, we derive an analytical solution for the expected loss and the higher moment of the discounted loss distribution for a collateralized loan. To ensure non-negative values for the intensity and interest rate, we assume a quadratic Gaussian process for the default intensity and...

This paper estimates fiscal policy feedback rules in Japan, the United States, and the United Kingdom for more than a century, allowing for stochastic regime changes. Estimating a Markov-switching model by the Bayesian method, we find the following: First, the Japanese data clearly reject the...

We offer a model of currency carry trades in which carry traders earn positive excess returns if they successfully coordinate on supplying excessive capital to a target economy. The interest-rate differential between their funding currency and the target currency is their coordination device. We...

In the conduct of monetary policy, there exists a risk-return tradeoff between financial conditions and financial stability, which complements the traditional inflation-real activity tradeoff of monetary policy. The tradeoff exists even if monetary policy does not target financial stability...