This paper provides theoretical results for the design of contracts used in the market for
residential household mortgages and mortgage securities. Critical elements in the problem …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

While the proportional hazard model is recognized to be statistically meaningful for
analyzing and estimating financial event risks, the existing literature that analytically deals …

Systemic risk management problems have plagued the US mortgage funding system
resulting in market failures associated with the collapse of the 'savings and loan'industry in …

現在の金融市場はデリバティブ取引の飛躍的な成長に伴い, 株式, 為替, 金利などのオプションや
クレジット・デフォルト・スワップ (credit default swap: 以下, CDS) の流動性が拡大すると共に …

Este trabalho propõe a avaliação de risco de crédito de empresas brasileiras de capital
aberto e com ações negociadas em bolsa utilizando um modelo de hazard (ou duração) …