Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over time. In particular,...

In this note we use doubly stochastic processes (or Cox processes) in order to model the evolution of the stochastic force of mortality of an individual aged x. These processes have been widely used in the credit risk literature in modelling the default arrival, and in this context have proved...

On average, the role of export-credit operations (ECOs) in the Brazilian economy has been modest: during the 1985-89 period they involved only 2.57 per cent of total Brazilian imports, highly concentrated in "equipment" (excluding transport, but including government services), "cereals" and...

ESG (Environmental, Social and Governance) assets provide risk diversification even to investors who do not have green preferences. Acquiring information on those assets is an additional cost, that can nullify the diversification benefit. We prove that, if returns are predictable and shocks in...