Table of contents
Match Funding Prepayable Assets with Callable Debts Using Simulated Prepayment Bounds
SHIJUN LIU, PETER A. MOZERA majority of the loan products produced by modern financial intermediaries (e.g., banks) provide borrowers with an option to prepay loans. The institutions issuing these products…
Risk Disaggregation and Credit Risk Valuation in a Merton Framework
HAYETTE GATFAOUIAn investor in a corporate obligation is exposed to the default risk of the obligor. In this article, the author adapts the dynamic valuation framework to disaggregate systematic…
A Review of Stochastic Volatility Processes: Properties and Implications
DIMITRIS PSYCHOYIOS, GEORGE SKIADOPOULOS, PANAYOTIS ALEXAKISThe volatility of a financial asset is an important input for financial decision‐making in the context of asset allocation, option pricing, and risk management. The authors…
Calculating Quantile‐Based Risk Analytics with L‐Estimators
HELMUT MAUSSERQuantile‐based measures of risk, e.g., value at risk (VaR), are widely used in portfolio risk applications. Increasing attention is being directed toward managing risk, which…
The Risk Finance of Class Action Settlement Pressure
J.B. HEATONMost high‐stakes litigation settles prior to the trial verdict being achieved. This apparent class action settlement pressure raises an interesting risk finance question addressed…
Insuring Callable Bonds: Selecting the Right Payment Plan
ANDREW KALOTAY, LESLIE ABREOBond insurance is commonly employed to reduce the cost of issuing debt. Since interest and principal payments of insured issues are guaranteed by a highly rated counterparty…
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1526-5943Online date, start – end:
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Emerald Publishing LimitedOpen Access:
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- Nawazish Mirza