‎The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in R‎. ‎Agliardi‎, ‎A comprehensive structural model for defaultable fixed-income bondsو Quant‎. ‎Finance 11 (2011)‎, ‎no‎. ‎5‎, ‎749--762.) into a comprehensive unified model of structural and reduced form models‎. ‎In our model the bond holders receive the deterministic co...

In this paper, I propose a general pricing framework that allows the risk−neutral dynamics of loss given default (LQ) and default probabilities (λQ) to be separately and sequentially discovered. The key is to exploit the differentials in LQ exhibited by different securities on the same underlying firm. By using equity and option data, I show that one can efficiently extract pure measures of λQ ...

A small enterprise’s credit rating is employed to measure its probability of defaulting on a debt, but, for small enterprises, financial data are insufficient or even unreliable. Thus, building a multi criteria credit rating model based on the qualitative and quantitative criteria is of importance to finance small enterprises’ activities. Till now, there has not been a multicriteria credit risk...

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional density hypothesis. In this Itô-jump process model, we give a decomposition of the corresponding stoc...

IMPORTANCE Resting-state functional connectivity magnetic resonance imaging has great potential for characterizing pathophysiological changes during the preclinical phase of Alzheimer disease. OBJECTIVE To assess the relationship between default mode network integrity and cerebrospinal fluid biomarkers of Alzheimer disease pathology in cognitively normal older individuals. DESIGN, SETTING, ...

This paper develops a quantitative general equilibrium model of sovereign default with heterogenous agents to account for spillover of default risk across countries. Borrowers (sovereign governments) and foreign lenders (investors) in the model face financial frictions, which endogenously determine each agent’s credit condition. Due to lack of enforcement in sovereign debt, borrowing constraint...

This paper presents valuation of inventory-reorder options in a competitive environment with defaultable suppliers. Analysis of a single period model of a supply chain with two suppliers, a retailer, and exogenous sources of defaults, leads to a number of surprising observation on the effects of the supplier credit risk and competition on the value of the deferment option, retailer’s procuremen...

Markov chain Monte Carlo (MCMC) algorithms for Bayesian computation for Gaussian process-based models under default parameterisations are slow to converge due to the presence of spatialand other-induced dependence structures. The main focus of this paper is to study the effect of the assumed spatial correlation structure on the convergence properties of the Gibbs sampler under the default non-c...

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data ...