Adam Metzler

Wilfrid Laurier University - Department of Mathematics

Canada

  • Wilfrid Laurier University - Department of Mathematics

SCHOLARLY PAPERS

6

DOWNLOADS

653

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (6)

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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 180 (257,043)

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

2.

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 107 (385,657)

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

3.

Measuring Financial Advice: Aligning Client Elicited and Revealed Risk

Number of pages: 51 Posted: 24 May 2021
John R.J. Thompson, Longlong Feng, R. Mark Reesor, Chuck Grace and Adam Metzler
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 102 (398,552)

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

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 101 (401,190)

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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.

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 82 (457,303)
Citation 2

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6.

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 81 (460,642)
Citation 1

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cluster analysis, financial well-being