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A New Prepayment Model (with Default): An Occupation-time Derivative Approach

Sharp, Nicholas; Johnson, Paul; Newton, David; Duck, Peter - In: The Journal of Real Estate Finance and Economics 39 (2009) 2, pp. 118-145

Persistent link: https://www.econbiz.de/10005005676

An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options

Sharp, Nicholas; Newton, David; Duck, Peter - In: The Journal of Real Estate Finance and Economics 36 (2008) 3, pp. 307-342

Persistent link: https://www.econbiz.de/10005716727

Credit portfolio risk: Using the grouped t-copula Student-t copula models can be oversimplistic when used to describe credit portfolios. This is a new, generalised model that clusters individual risk factors within various geographical sectors.

Daul, Stéphane; Giorgi, Enrico De; Lindskog, Filip; … - In: Risk : managing risk in the world's financial markets 16 (2003) 11, pp. 73-76

Persistent link: https://www.econbiz.de/10007029826

Oil Price Shocks and Stock Return Predictability

Sørensen, Lars Qvigstad - 2009

Recent research has documented that oil price changes lead the aggregate market in most industrialized countries, and has argued that it represents an anomaly - an underreaction to information that investors can profit from. I identify oil price changes that are caused by exogenous events and...

Persistent link: https://www.econbiz.de/10012719298