5 papers
Credit Capacity and the Propagation of Funding Shocks: Evidence from U.S. and Brazilian Financial Intermediaries
Ayush Jha, Ali Jaffri, Frank Fabozzi
Why do similar funding shocks generate sharply different credit outcomes across countries? We develop and estimate a dynamic structural model in which intermediary credit capacity…
On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
Nolan Alexander, Frank Fabozzi
This paper develops a decomposition of standard Risk Contribution (RC) into two economically interpretable components: inherent risk and correlation risk. Using a leave-one-out rep…
The Financial Market of Environmental Indices
Thisari K. Mahanama, Abootaleb Shirvani, Svetlozar Rachev +1
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mit…
Option pricing using a skew random walk pricing tree
Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev +1
Motivated by the Corns-Satchell, continuous time, option pricing model, we develop a binary tree pricing model with underlying asset price dynamics following Itô-Mckean skew Browni…
A New Set of Financial Instruments
Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev +1
In complete markets, there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is f…