This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an informational efficient one (similar to Campbell and Kyle...

Estimating the Credit Valuation Adjustment (CVA) for unlisted companies is a challenging issue since the risk neutral default probability cannot be estimated either from CDS par spread or from equity stock. This work proposes a calibration method that easily estimates the market risk premium...

This work presents a theoretical and empirical evaluation of the Anderson-Darling test when the sample size is limited. The test can be applied in order to back-test the risk factor dynamics in the context of counterparty credit risk modelling. We show the limits of this test when back-testing...