The aim of this paper is to develop a model for analyzing multiple response models for count
data and that may take into account complex correlation structures. The model is specified …

In this paper we develop a contingent claims framework for determining the financial value
of professional football players. Contingent claims style modelling is used to develop two …

… Let R ζt be the score of the representative obligor 6 at time t. We replace D jt with R ζt , so
that Eq. (2) becomes(4) D j t + 1 = μ ζ t + … Note that we do not observe R ζt and w t …

… Following the literature, we construct the market portfolio return R m , t as the equally weighted
average of the N returns in the aggregate market portfolio at time t. The calculation of R m …

Recent studies have strongly criticised conventional VaR models for not providing a coherent
risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk …

… E t − 1 ( R t i | R t system < C ) where R t i is the return of financial institution i at time t and R t
… and market returns as follows:(11) R t system = σ t system × ε t system (12) R t i = σ t i ε t i = σ …

Although property markets represent a large proportion of total wealth in developed
countries, the real‐estate derivatives markets are still lagging behind in volume of trading and …

The housing sector is the largest spot market in the world without a developed derivative
contract to serve the risk management needs of market participants. This paper describes the …

… As previously noted, we will make extensive use of the valuation formulas established in
Tunaru et al. (2005). Their methodology makes an important distinction between valuations …

This paper introduces forward-looking measures of the network connectedness of fears in
the financial system arising due to the good and bad beliefs of market participants about …