This article discuses the identification of Generalised Rational Expectations Models. It is shown that the necessary and sufficient conditions for local identification of the Quasi-Structural Form (Q-SF) derive from the first derivatives of the Non-Linear Instrumental Variables (NLIV) criterion....

Stochastic volatility models such as those of Heston [Rev. Financial Stud., 1993, 6(2), 327-343] and Hull and White [J. Finance, 1987, 42(2), 281-300] are often used to model volatility risk in the pricing and hedging of contingent claims on risky assets. Recent empirical evidence has shown that...

In this paper we consider an argument, often used in the City and the press, that mergers take place more because of the availability of finance than for strong economic reasons. In particular, we focus on the availability of finance part of this argument and suggest that the financial sector...

This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...

This paper contributes to the primarily empirical literature by conducting the first extensive empirical analysis of the impact of the degree of co-movement in the main standardized credit default swap (CDS) indices on the group of large complex financial institutions (LCFIs). We attempt to...