This study investigates how insurers contribute to systemic risk in the global financial
system. In a modeling framework embracing publicly traded and nonpublic firms, the …

This article analyses the consequences of the narrative construction of the group of
countries that has been grouped as 'PIIGS'(P ortugal, I reland, I taly, G reece and S pain) for …

Real options analysis is an adequate tool with which to value companies and projects under
investment uncertainty. Nevertheless, the estimation of the volatility to be employed in the …

The internal ratings–based (IRB) approach (based on a single risk factor model) was
designed by the Basel Committee on Banking Supervision (BCBS) to determine banks' …

This paper looks at the asset correlation bias resulting from firms' assets and liabilities being
denominated in different currencies. It focuses on the time-variation in the bias and on the …

This article examines a crucial source of specification risk when calibrating a typical industry-
type, Merton-based credit portfolio model. It emerges from the necessity of having to choose …

This article examines a crucial source of specification risk when calibrating a typical industry-
type, Merton-based credit portfolio model. It emerges from the necessity of having to choose …

This article explores asset correlation estimation among firms with foreign exchange
exposure. In most credit risk models, the exchange rate risk is ignored-that is, the borrowing …

This paper examines the extraction of the empirical asset correlation for three datasets of
monthly defaults on loans and credit cards obtained from the SARB from February 2006 to …

This study examines the extraction of the empirical asset correlation for three datasets using
both the Beta and Vasicek distributions over a static period of time, as well as a rolling …