I develop a model of firm-dynamics which provides a theoretical characterization as well as a new empirical test for inefficient firm exit. When applied to European firm-level data, my test results suggest that firm exit is less efficient in lower income countries. I show that the model can be...

I develop a model of firm-dynamics which provides a theoretical characterization as well as a new empirical test for inefficient firm exit. When applied to European firm-level data, my test results suggest that firm exit is less efficient in lower income countries. I show that the model can be...

Developing analytic techniques for potential future exposure (PFE) of a general type transaction and applying it to credit value adjustment (CVA) and wrong way risk (WWR). The solutions provide a transparent and computationally friendly analytic formulas and good quality analytic estimates of...

Comparing alternatives for a simultaneous incorporation of intra and inter correlations into the credit portfolio loss distribution within the asymptotic single risk factor (ASRF) model and showing that the resulting distribution depends on the type of a dominant correlation: whether it is of...

This paper presents a methodology to analyze the Value at Risk (VaR) backtesting probability values to detect the soundness of the VaR model, the integrity of the VaR input and output as well as providing information about the type of the risk that a subportfolio is exposed to in every trading...