Adam Metzler

Wilfrid Laurier University - Department of Mathematics

Canada

SCHOLARLY PAPERS

7

DOWNLOADS

799

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Model Risk and the Design of CDO Tranches

Number of pages: 49 Posted: 23 Aug 2010
Adam Metzler
Wilfrid Laurier University - Department of Mathematics
Downloads 200 (280,699)

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Credit ratings, stochastic correlation, random factor loadings, credit risk, asset-backed securities, collateralized debt obligations, structured finance

2.

Measuring Financial Advice: Aligning Client Elicited and Revealed Risk

Financial Planning Review 5, no. 4 (2022): e1151.
Number of pages: 51 Posted: 24 May 2021 Last Revised: 20 Feb 2024
University of British Columbia - Okanagan Campus, Wilfrid Laurier University, Wilfrid Laurier University, University of Western Ontario - Richard Ivey School of Business and Wilfrid Laurier University - Department of Mathematics
Downloads 123 (420,762)

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Risk measures, Value-at-risk, Portfolio management, Financial advice, Client-advisor relationship

3.

Learning About Financial Health in Canada

Number of pages: 39 Posted: 10 Jan 2020 Last Revised: 13 Jul 2020
Adam Metzler, Yuhao Zhou and Chuck Grace
Wilfrid Laurier University - Department of Mathematics, Wilfrid Laurier University, Canada and University of Western Ontario - Richard Ivey School of Business
Downloads 120 (428,677)
Citation 1

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cluster analysis, financial well-being

4.

A General Importance Sampling Algorithm for Estimating Portfolio Loss Probabilities in Linear Factor Models

Number of pages: 23 Posted: 29 Jan 2015
Alexandre Scott and Adam Metzler
University of Western Ontario and Wilfrid Laurier University - Department of Mathematics
Downloads 113 (448,463)

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importance sampling, rare event simulation, Monte Carlo, Kullback- Leibler divergence, exponential tilts, normal copula, t copula, portfolio loss, condi- tional independence, cross-entropy method

5.

Valuation and Analysis of Zero-Coupon Contingent Capital Bonds

Number of pages: 45 Posted: 30 Apr 2014
Adam Metzler and R. Mark Reesor
Wilfrid Laurier University - Department of Mathematics and Wilfrid Laurier University
Downloads 112 (451,363)
Citation 1

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Contingent capital, CoCo Bonds, Structural Models, Optional Sampling Theorem

6.

A First Approximation to the Cost of Contingent Capital for Canadian Banks

Number of pages: 27 Posted: 02 May 2014
Jingya Li, Adam Metzler and R. Mark Reesor
Applied Mathematics at The University of Western Ontario, Wilfrid Laurier University - Department of Mathematics and Wilfrid Laurier University
Downloads 92 (516,453)
Citation 2

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7.

Capital Structural Models and Contingent Convertible Securities

Number of pages: 63 Posted: 08 Feb 2024
Di Meng, Adam Metzler and R. Mark Reesor
Wilfrid Laurier University - Department of Mathematics, Wilfrid Laurier University - Department of Mathematics and Wilfrid Laurier University
Downloads 39 (788,590)

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Capital structural model, Contingent Convertible Securities, Discontinuous asset value process, Calibration