We propose a hybrid model of portfolio credit risk where the dynamics of the underlying
latent variables is governed by a one factor GARCH process. The distinctive feature of such …

We give a comprehensive review of credit term structure modeling methodologies. The
conventional approach to modeling credit term structure is summarized and shown to be …

… Berd Senior Vice President Lehman Brothers 212-526-2629 arthur.berd@lehman.com …
The convexity premium for the recovery swap rate is intimately related with the DDS digital …

We present a continuous-time maximum likelihood estimation methodology for credit rating
transition probabilities, taking into account the presence of censored data. We perform rolling …

Digital default swaps are different from conventional (floating recovery) swaps because they
transfer different types of risk. Conventional swaps transfer default loss risk, while digitals …

In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct …

Objective: The aim of the study was to determine incidence and prevalence rates and long-term
trends in incidence of anorexia nervosa by identifying all persons residing in the …

We suggest an empirical model of investment strategy returns which elucidates the importance
of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in …

We give a detailed account of correlations between credit sector/quality and treasury curve
factors, using the robust framework of the Barclays POINT® Global Risk Model. Consistent …

To determine the relationship between insulin sensitivity and β-cell function, we quantified the
insulin sensitivity index using the minimal model in 93 relatively young, apparently healthy …