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Joint Distributions of Time to Default with Application to the Pricing of Credit Derivatives

Zhang, Min - 2008

weighted least squares of the mark to market. The base correlation curve implied from the Gaussian copula is skewed. The base … correlation curve implied from the Student's t copula is also skewed unless we allow varying degrees of freedom. Since the implied … base correlations of the individual tranches are not consistent, it is impossible to interpolate the base correlation for a …

Persistent link: https://www.econbiz.de/10009431293

Analysis of carbon mitigation policies: feed-in tariffs, energy and carbon price interactions and competitive distortions on carbon markets

Johanna Reichenbach - 2011

I study several policy instruments for carbon mitigation with a focus on subsidies for renewable energies, emission taxes and emission allowances. In Chapter 1, I analyze the optimal design and the welfare implications of two policies consisting of an emission tax for conventional fossil-fuel...

Persistent link: https://www.econbiz.de/10009429024

Essays on International Finance and Risk Sharing

Liu, Edith X. - 2010

The potential for economic agents to minimize risk through diversification is central to the study of finance. This dissertation analyzes the ability to diversify risks in an international context by studying risk sharing opportunities on two dimensions, consumption growth and portfolio wealth....

Persistent link: https://www.econbiz.de/10009439199

Essays on Agency in International Finance.

Mukherjee, Rahul - 2010

Firms and investors often operate in environments with market imperfections and agency frictions. It is common wisdom that the effects of these microeconomic frictions are amplifed or mitigated by the quality of economic institutions in a country. Yet little is known about the precise channels...

Persistent link: https://www.econbiz.de/10009477490

Drought Analysis Based on Copulas

Chen, Lu; Singh, Vijay P; Guo, Shenglian - 2011

Droughts produce a complex set of negative economic, environmental, and social impacts across a country or region. Using monthly standardized Precipitation Index (SPI) values, drought characteristics, namely, drought duration, severity, interval time and minimum SPI values, were determined. Two...

Persistent link: https://www.econbiz.de/10009430735

The interdependence of financial markets - econometric modeling and estimation

Baur, Dirk - 2003

the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than … the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than …

Persistent link: https://www.econbiz.de/10009475336

Kreditportfoliomanagement - Die Bedeutung von Korrelationen für die Bewertung von Kreditausfallrisiken

Lipponer, Alexander - 2000

default correlations is implemented. A Monte-Carlosimulation tool is used to examine how this 'correlation effect' varieswith …

Persistent link: https://www.econbiz.de/10009476196

Time to burn: Modeling wildland arson as an autoregressive crime function.

Prestemon, J.P.; Butry, D.T. - 2005

Six Poisson autoregressive models of order p [PAR(p)] of daily wildland arson ignition counts are estimated for five locations in Florida (1994-2001). In addition, a fixed effects time-series Poisson model of annual arson counts is estimated for all Florida counties (1995-2001). PAR(p) model...

Persistent link: https://www.econbiz.de/10009429523

Agricultural contracting and the scale of production.

Key, N. - 2004

, where it persists even among large commercial operations. Six theoretical explanations for the observed correlation between …

Persistent link: https://www.econbiz.de/10009429545

Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

Dunbar, Kwamie; Edwards, Albert J. - 2007

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …

Persistent link: https://www.econbiz.de/10009430120