In credit risk models, the loss given default (LGD)1 is either incorporated deterministically (as in Credit Risk+) or stochastically (as in CreditMetrics). In the latter case, the LGD may be drawn ...

This is a preview. Log in through your library . Abstract The aim of this paper is that of giving a finer insight into the analytic foundations of vector autoregressive models (VAR) in comparison with ...

Firms suspended dividend payments in unprecedented numbers in response to the outbreak of the Covid-19 pandemic. We develop a multivariate dynamic econometric model that allows dividend suspensions to ...

The Dynamic Structural Econometrics (DSE) summer school equips early and mid-stage PhD students with tools and hands-on computational instruction in formulating, solving, and estimating dynamic ...

The field of econometrics and statistical methods encompasses a suite of techniques designed to quantify economic relationships, test theories using real-world data, and forecast future trends. This ...

This is a preview. Log in through your library . Abstract This paper develops a general approach to robust, regression-based specification tests for (possibly) dynamic econometric models. A useful ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...