A recently introduced accounting standard, namely the International Financial Reporting Standard 9, requires banks to build provisions based on forward-looking expected loss models. When there is a significant increase in credit risk of a loan, additional provisions must be charged to the income...

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

Despite the vast academic literature on modelling stochastic volatility, many finance practitioners still use the simple "RiskMetrics" approach of J. P. Morgan (1997), based on the exponentially weighted moving average (EWMA) volatility combined with the $\sqrt{h}$-rule for scaling volatility...