The aim of this paper is to develop a model for analyzing multiple response models for count
data and that may take into account complex correlation structures. The model is specified …

In this paper we develop a contingent claims framework for determining the financial value
of professional football players. Contingent claims style modelling is used to develop two …

The Basel II Accord requires banks to establish rigorous statistical procedures for the estimation
and validation of default and ratings transition probabilities. This raises great technical …

Recent studies have strongly criticised conventional VaR models for not providing a coherent
risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk …

Although property markets represent a large proportion of total wealth in developed
countries, the real‐estate derivatives markets are still lagging behind in volume of trading and …

In this study, we test the herding towards a market consensus in the main financial industries
of the United States and the Eurozone equity markets. We find that herding is more likely to …

In this paper, we gauge the degree of interconnectedness and quantify the linkages between
global and other systemically important institutions, and the global financial system. We …

Based upon contingent claims methodology and standard techniques in statistical modeling
and stochastic calculus, we develop a framework for determining the financial value of …

The housing sector is the largest spot market in the world without a developed derivative
contract to serve the risk management needs of market participants. This paper describes the …

New methods are developed here for pricing the main real estate derivatives — futures and
forward contracts, total return swaps, and options. Accounting for the incompleteness of this …