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hedge funds, performance measurement, loss aversion, behavioral finance

credit cycles, business cycles, defaults, credit risk, procyclicality, multivariate unobserved component models

Option hedging, discrete time, portfolio approach, preference free valuation, hedging errors, Arbitrage Pricing Theory

credit risk, pro-cyclicality, capital requirements, dynamic models, common factors, credit cycles, time varying parameters

loss aversion, hedge funds, performance measurement, behavioral finance

financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods

financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods

Credit cycles, Business cycles, Bank lending conditions, Unobserved component models, Intensity models

hedge funds, portfolio optimization, downside risk, expected shortfall

downside-risk, stochastic programming, asset allocation, value-at-risk, time diversification, asset/liability management.

Asset pricing, beta, downside risk, upside risk, cash flow risk, discount rate risk

defaults; Markov switching, misspecification, quantile forecast, Expectation-Maximization, simulated maximum likelihood, importance sampling

political economy, inefficient markets, market anomalies, calendar effects

Nonhomogeneous semi-Markov processes, transition matrix, Volterra integral equations, separability, credit risk

Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value

Unobserved components, credit cycles, duration model, generator matrix, Monte Carlo likelihood

credit risk, regime switching, latent variable models, factor models

hedge funds, nonlinear systematic risk factors, option factors, stability

defaults, Markov switching, default regimes

financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods, doubly stochastic default times

sovereign credit risk, higher order moments, time-varying parameters, financial stability

Credit risk, multivariate unobserved component models, importance sampling, non-Gaussian state space models

dynamic models, time-varying parameters, non-linearity, exponential family, marked point processes, copulas

Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting Conditional Default Probabilities

Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting

dynamic dependence, multivariate Student's t distribution, copula

risk aggregation, credit risk, market risk, link function, diversification, reduced form models, structural models

risk aversion, preference uncertainty, risk-taking, optimal asset allocation

panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model

Portfolio choice, long and short-term asset allocation, trend-cycle decomposition, GMM under short-sale constraints

non-Gaussian state space modeling, nonlinear panel data model, binomial time series, recidivism behavior, continuous time modelling

Efficient price;, Financial markets, High-frequency data, Kalman filter, Unobserved components time series models

fractional integration, correlation, student's t copula, time-varying dependence, multivariate volatility

Kalman filter, Monte Carlo maximum likelihood, numerical integration, stochastic copula, stochastic conditional duration, stochastic volatility

financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods

Generalised autoregressive score model, Importance sampling, Model confidence set, Nonlinear state space model, Weibull-gamma mixture

Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility

volatility clustering, Generalized Autoregressive Score model, kernel density estimation, density forecast evaluation

systemic risk, dynamic equicorrelation model, generalized hyperbolic distribution, Law of Large Numbers

nonlinear non-Gaussian state space model, Bayesian inference, Monte Carlo estimation, Metropolis-Hastings algorithm, mixture of student's t-distributions

Catastrophic insurance losses, Copula and dependence, Diversification