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Full-Text Articles in Statistics and Probability

Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu Nov 2009

Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu

Research Collection School Of Economics

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact ¯nite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion …


Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, And Systemic Risk By Battiston, Delli Gatti, Gallegati, Greenwald And Stiglitz: Discussion, Carlo Drago Sep 2009

Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, And Systemic Risk By Battiston, Delli Gatti, Gallegati, Greenwald And Stiglitz: Discussion, Carlo Drago

Carlo Drago

No abstract provided.


The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo Sep 2009

The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo

Carlo Drago

No abstract provided.


The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo Jul 2009

The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo

Paolo Santella

No abstract provided.


The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo Jul 2009

The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo

Carlo Drago

No abstract provided.


The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo Jan 2009

The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo

Paolo Santella

No abstract provided.


The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo Jan 2009

The Italian Chamber Of Lords Sits On Listed Company Boards. An Empirical Analysis Of Italian Listed Company Boards From 1998 To 2006 - Presentation (Powerpoint Format), Paolo Santella, Carlo Drago, Andrea Polo

Carlo Drago

No abstract provided.


Financial Distress And Idiosyncratic Volatility: An Empirical Investigation, Lorán Chollete, Jing Chen, Rina Ray Jan 2009

Financial Distress And Idiosyncratic Volatility: An Empirical Investigation, Lorán Chollete, Jing Chen, Rina Ray

Lorán Chollete

No abstract provided.


Financial Implications Of Extreme And Rare Events, Lorán Chollete, Dwight Jaffee Jan 2009

Financial Implications Of Extreme And Rare Events, Lorán Chollete, Dwight Jaffee

Lorán Chollete

No abstract provided.


Dependence Of Macro Variables In The Us Economy, Lorán Chollete, Cathy Ning Jan 2009

Dependence Of Macro Variables In The Us Economy, Lorán Chollete, Cathy Ning

Lorán Chollete

No abstract provided.


Modeling International Financial Returns With A Multivariate Regime-Switching Copula, Lorán Chollete, Andreas Heinen, Alfonso Valdesogo Jan 2009

Modeling International Financial Returns With A Multivariate Regime-Switching Copula, Lorán Chollete, Andreas Heinen, Alfonso Valdesogo

Lorán Chollete

No abstract provided.


Evaluating Earnings Management With Derivatives And The Use Of Accounting Accruals: A Quasi Experimental Approach, Margot S. Geagon Jan 2009

Evaluating Earnings Management With Derivatives And The Use Of Accounting Accruals: A Quasi Experimental Approach, Margot S. Geagon

Walden Dissertations and Doctoral Studies

Most companies listed on the S&P 500 index have reported smoothed earnings since the 1990s inspiring questions from regulators about the accuracy of financial statements. In 1998, the Financial Accounting Standards Board issued SFAS No. 133 (Accounting for Derivative Instruments and Hedging Activities) to establish accounting and reporting standards for derivative instruments. In 2002, the Sarbanes-Oxley Act (SOX) was issued to eradicate earnings management activities and improve transparency in financial reporting. Although many studies have been conducted to evaluate changes in reporting requirements, much less is known about the effectiveness of these regulations on earning smoothing with discretionary accruals (DA) …