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Case Western Reserve University - Department of Banking & Finance
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Interest Rate Derivatives, Swaptions, Volatility Structures, Pricing, Hedging
GARCH option models, stochastic volatility models with jumps, pricing and hedging options
Term Structure of Credit Spreads, Level, Slope, and Curvature of Credit Spreads, Forecasting Future Credit Spreads, Out of sample Predictions, Macro Variables, Firm Risk Variables
Bank risk, Estimation of credit spread Curves, Determinants of credit spread changes
Asset Pricing, Correlation, Time-varying Correlation, Price of Correlation Risk
Markovian HJM Models, Credit Derivatives, Default Clustering, Counterparty Credit Risk
Term Structure, Inflation-Indexed Securities
Term structure of interest rates, infl ation expectations, asset pricing
Interest Rate Derivatives, Swaptions, Delta and Gamma Neutral Hedging, Unspanned Stochastic Volatility, Spanning
subordinated debt, banks, asset pricing
Subordinated debt, banks, asset pricing
contract design, screening, buyback contract
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Resilient supply chains, supply risk, supply disruptions, competition
deposit insurance, regulation, banks, options
deposit insurance, synamic model, volatility, capital structure
deposit insurance, dynamic model, volatility, capital structure
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