… h forecasts instead of simple 1-h forecasts. At noon each day in the test period we forecast tail
quantiles for the price change over the following 24 h… 1-h forecasts to get 24-h forecasts for …

… In the simplified model, the default probability is a simple function of the stock price volatility
and the leverage ratio and Byström (2006) shows how the CreditGrades model can be deduced …

… This means that the asymptotic distribution of (normalized) maxima for the non-IID series is
in fact a GEV distribution; more specifically, it is the GEV distribution H Y (y), which we would …

In this paper I discuss how blockchains potentially could affect the way credit risk is modeled,
and how the improved trust and timing associated with blockchain-enabled real-time …

In the study reported, the CreditGrades model was used to calculate credit default swap
spreads and the spreads were compared with empirically observed CDS spreads for eight …

The aim of this paper is to highlight a potentially very fruitful link between micro-entrepreneurs
and international capital markets. It discusses the role structured finance and credit …

The Nordic Power Exchange (Nord Pool), the first multinational exchange for electricity trading,
has existed since January 1996. Spot and futures contracts are traded on this exchange …

Background Patients with hip osteoarthritis (OA) typically suffer joint pain, and often experience
muscular weakness. We hypothesized that substantial atrophy would manifest in multiple …

Bitcoin is the world’s largest cryptocurrency by market capitalization. Bitcoin is also extremely
volatile, and predicting the volatility of any currency or asset is one of the most fundamental …

This paper applies the Merton [Merton, R., 1974. On the pricing of corporate debt: the risk
structure of interest rates. J. Finance 2 (2), 449–470] default probability model to the firms in the …