We investigate the common practice of estimating the dependence structure between credit default swap prices on multi‐name credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for...

The complementarity of two renewable energy sources, namely hydro and wind, is investigated. We consider the diversification effect of wind power to reduce the risk of water inflow shortages, an important energy security concern for hydropower-based economic zones (e.g. Québec and Norway). Our...

We examine the relation between credit spreads on industrial bonds and the underlying Treasury term structure. We use zero-coupon spot rates to eliminate the coupon bias and to allow for a consistent study both within and across the different credit ratings. Our results indicate that the level...

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990–2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full range of CTA classifications is provided, and it is found that the median lifetime of CTAs...

This article examines the performance of the junior tranche of a Collateralized Fund Obligation (CFO), i.e. the residual claim (equity) on a securitized portfolio of hedge funds. We use a polynomial goal programming model to create optimal portfolios of hedge funds, conditional to investor...

In a one-period setting Green (1984) demonstrates that convertible debt perfectly mitigates the asset substitution problem by curbing shareholders’ incentive to increase risk. This is because claimholders design the capital structure precisely when the risk-shifting opportunity is available....

This article examines the performance of the junior tranche of a collateralized fund obligation (CFO), i.e. the residual claim (equity) on a securitized portfolio of hedge funds. We use a polynomial goal programming model to create optimal portfolios of hedge funds, conditional to investor...

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cram´er-von Mises test statistic. Finite sample properties...

Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on "blanket tests", i.e., those whose implementation requires neither an arbitrary categorization of the data nor any strategic choice of smoothing...

Specification procedures for testing the null hypothesis of a Gaussian distribution for the innovations of GARCH models are compared using simulations. More precisely, Cramér–von Mises and Kolmogorov–Smirnov type statistics are computed for empirical processes based on the standardized...