Coval, Jurek, and Stafford (2009, CJS hereafter) claim that senior CDX tranches, which resemble economic catastrophe bonds, are overpriced relative to index options. We show that this result is due to their problematic calibration procedure and restrictive model assumptions. A simple correction...

The current large empirical literature on interest rate modeling typically focuses on the in-sample performance and ignores the out-of-sample performance of existing models. We fill the gap in this literature by providing probably the first comprehensive empirical study (to our knowledge) of the...

Numerous studies have shown that the simple random walk model outperforms all structural and time series models in forecasting the conditional mean of exchange rate changes. However, in many important applications, such as risk management, forecasts of the probability distribution of exchange...

The Eastern Europe and Central Asia region has the world's fastestgrowing HIV epidemic. Although still concentrated, the epidemic has diversified, affecting several key populations in many countries. This change has increased the number of people in need, the ways the epidemic can spread, and...