Blog: Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability. (arXiv:1301.6069v1 [q-fin.RM])

Quantitative Finance at arXiv 142 days ago

News: Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability. (arXiv:1301.6069v1 [q-fin.RM])

142 days ago - q-fin updates on arXiv.org

Based on the work of Suzuki (2002), we consider a generalization of Merton's asset valuation approach (Merton, 1974) in which two firms are linked by cross-ownership of equity...

Blog: Merton vs. Low Vol

Falkenblog 240 days ago

Blog: Banks Still in Negative Vega Zone

Falkenblog 261 days ago

News: Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads -- by Hui Chen, Yu Xu, Jun Yang

282 days ago - National Bureau of Economic Research Working Papers

We build a dynamic capital structure model to study the link between firms' systematic risk exposures and their time-varying debt maturity choices, as well as its implications...

Blog: Why are Volatility and Bad News Positively Correlated?

Falkenblog 394 days ago

Blog: Empirical Evidence for the Structural Recovery Model

Econophysics Forum 460 days ago

Blog: Empirical Evidence for the Structural Recovery Model. (arXiv:1203.3188v1 [q-fin.RM])

Quantitative Finance at arXiv 461 days ago

News: Empirical Evidence for the Structural Recovery Model. (arXiv:1203.3188v1 [q-fin.RM])

461 days ago - q-fin updates on arXiv.org

While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability...

News: Bankers Can?t Avoid Risk by Hiding It

587 days ago - Paul Wilmott's Blog

(A version of this was first published on Bloomberg.com on May 24, 2011.) One of the supposed silver linings of our recent economic disaster was the idea that we finally under...