Credit risk pricing models assume recovery to be at its historical average (historical recovery assumption). However, the effect of this assumption is not completely understood. The heart of this thesis lies in constructing a new pricing model for Credit Default Swaps (CDS), in particularly...

The aim of the paper is to show how studying terms in collocations help to teach and to learn terms of Finance and Banking. The author aims to show how great the difference of collocational ability is between terms that are used in professional discourse and those used in nonprofessional one. In...

The phenomenon of the frequency basis (i.e. a spread applied to one leg of a swap to exchange one floating interest rate for another of a di fferent tenor in the same currency) contradicts textbook no-arbitrage conditions and has become an important feature of interest rate markets since the...

This paper extends the baseline Merton (1974) structural default model, which is intended for static debt spreads, to a setting with dynamic debt, where leverage can be ratcheted up as well as written down through pre-specified exogenous policies. We provide a different and novel solution...

Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency basis (i.e. a spread applied to one leg of a swap to...

Multiple interest rate analysis (MIRA) is the study of all interest rate solutions to the time value of money (TVM) equation. These solutions include not only the orthodox solution produced by a financial calculator or spreadsheet but also the unorthodox solutions that a typical financial...

Based on the existent possible explanations of oil futures term structure, this study provides a more fundamental view, which has a theoretical support from the theory of storage and well-suited intuitions in correspondence with reality. By using structural econometrical models, it divides oil...

The growth optimal portfolio (GOP) plays an important role in finance, in particular in derivative pricing, where it is employed as a num\'eraire portfolio, allowing to price contingent claims directly under the real world probability measure. This paper derives an extension of a time dependent...

This paper focuses on the defaultable lease rate term structure with endogenous default. We combine the competitive lease market argument proposed by Grenadier (1996) and the endogenous default structural model proposed by Leland and Toft (1996) to examine the interaction between lessee's...

This paper can be divided in two sections. First, based on the price model in “Noise trader risk in financial market” by J. Bradford Delong et al. (1987), we analyze the implications to Value at Risk and probability of default in option-theoretic model. We find that bubbles are ill-impounded...