Nord Pool, the first multinational exchange for electricity trading, has existed since January
1996. Typical characteristics of electricity prices on Nord Pool are a very high volatility and a …

… In the simplified model, the default probability is a simple function of the stock price volatility
and the leverage ratio and Byström (2006) shows how the CreditGrades model can be deduced …

Financial risk management typically deals with low-probability events in the tails of asset
price distributions. To capture the behavior of these tails, one should therefore rely on models …

The Nordic Power Exchange (Nord Pool), the first multinational exchange for electricity trading,
has existed since January 1996. Spot and futures contracts are traded on this exchange …

The aim of this paper is to highlight a potentially very fruitful link between micro-entrepreneurs
and international capital markets. It discusses the role structured finance and credit …

Popular approaches to default probability estimation are often based on the approach
initially described in Merton [1974]. By explicitly modeling a firm's market value, market value …

Hall and Miles (1990) suggest an approach of estimating default probabilities of banks
using stock market information, and in this paper we apply an aggregated version of their …

In risk management, modelling large numbers of assets and their variances and covariances
in a unified framework is often important. In such multivariate frameworks, it is difficult to …

This paper analyzes regional differences across Chinese regions, employing an optimum
currency area framework. Empirically, we consider the cross-sectional correlation measure of …

In the literature one can find a number of different methods to evaluate covariance matrix
forecasts, and in choosing among these one has to consider what the actual purpose of the …