Offering lower-energy food swaps to customers of online supermarkets could help decrease energy (kcal) purchased and consumed. However, acceptance rates such tend be low. This study aimed see whether framing in terms cost savings or social norms improve likelihood relative health benefits. Participants ( n = 900) were asked shop from a 12-item shopping list simulation supermarket. When target h...

∗This work was completed during our visit to the Isaac Newton Institute for Mathematical Sciences in Cambridge. We thank the organizers of the programme Developments in Quantitative Finance for the kind invitation. †The research of T.R. Bielecki was supported by NSF Grant 0202851 and Moody’s Corporation grant 5-55411. ‡The research of M. Jeanblanc was supported by Zéliade, Itô33, and Moody’s Co...

First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to allow a fluctuating default threshold or equivalently a fluctuating total recovery fraction R. For a given company a particular type of debt has a recovery fract...

When equity default swap (EDS) contracts were first included in a rated collateralized debt obligation (CDO) deal, some critics doubted the originality of the product. In fact, EDSs are equivalent to already existing binary barrier options on equity, except the premium is not paid upfront, but over time, and conditional on the trigger event not having occurred. Therefore, as opposed to existing...

This paper documents an increase in the correlation of credit default swap (CDS) spread changes during the credit crisis and investigates the source of that increase. One possible explanation is that correlations increased because fundamental values became more correlated during the crisis. Alternatively, correlations may have increased because of contagion, rather than because of an increase i...

Theory predicts that the accounting information transparency affects credit spreads. Given that one of the putative benefits of International Financial Reporting Standards (IFRS) is transparency of accounting information, this study evaluates the impact of IFRS on the pricing of credit spreads in the over-the-counter Credit Default Swap (CDS) market. Using a difference in differences methodolog...

We introduce a discrete time no-arbitrage model with observable covariates, which allows for a closed form solution for the value of credit default swaps (CDS). The default intensity is speci…ed as a quadratic function of the covariates, ensuring that the intensity function is always positive. The model yields economically plausible results in terms of …t, sign of coe¢ cients and statistical si...

Using the industry benchmark CreditGrades model to analyze credit default swap (CDS) spreads across a large number of companies during the 2007–09 credit crisis, the authors demonstrate that the performance of the model can be significantly improved by calibrating it with option-implied volatility rather than with historical volatility. Moreover, the advantage of using option-implied volatility...

The arbitrage-free range of values of the loss leg of an nth-to-default swap, and the arbitrage-free range of premium payments for such a swap, are derived for homogeneous baskets of arbitrary numbers of reference entities. Elementary arbitrage arguments are given which show that arbitrage opportunities exist if the prices lie outside of the bounds, and analyses of both a discrete-time model an...

This Working Paper should not be reported as representing views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. In this paper we examine equilibrium price relationships and pric...