Each depositor insured to at least $250,000 per insured bank

Affine Structural Models of Corporate Bond Pricing 117kb
Jing-Zhi Huang, Penn State University

Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture It? 810
Robert Jarrow – Haitao Li – Feng Zhao, Cornell University

Pricing Equity Derivatives Subject to Bankruptcy 463kb
Vadim Linetsky, Northwestern University

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies 219kb
Gurdip Bakshi, University of Maryland – Peter Carr, Bloomberg L.P. and Courant Institute – Liuren Wu, Baruch College

The Dynamic of the Volatility Skew: a Kalman Filter Approach 335kb
Mascia Bedendo – Stewart D. Hodges, Financial Options Research Centre

Option Valuation with Long-run and Short-run Volatility Components 578kb
Peter Christoffersen – Kris Jacobs, McGill University and CIRANO - Yintian Wang, McGill University

Measuring Systematic Risk in Recoveries on Defaulted Debt I: Firm-Level Ultimate LGDs 282kb
Michael Gordy – Mark Carey, Federal Reserve Board

Unbiased Capital Allocation in an Asymptotic Single Risk Factor (ASRF) Model of Credit Risk 7,062kb
Paul H. Kupiec, Federal Deposit Insurance Corporation

A Simplified Model of Credit Risk that Measures Concentration Risk and Explicitly Relates Credit Risk to Capital Adequacy and Single Obligor Limits 154kb
Javier Márquez Diez-Canedo, Banco de Mexico

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework 618kb
Miguel A. Ferreira, ISCTE Business School-Lisbon – Jose A. Lopez, Federal Reserve Bank of San Francisco

Employee Stock Options: Much More Valuable Than You Thought 378kb
James E. Hodder, University of Wisconsin-Madison – Jens C. Jackwerth, University of Konstanz

The Strategic Motives for Corporate Risk Management 344kb
Amrita Nain, University of Michigan

Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms 220kb
Haibin Zhu, Bank for International Settlements – Yibin Zhang, Moody’s Investors Service – Hao Zhou, Federal Reserve Board

How Profitable Is Capital Structure Arbitrage? 518kb
Fan Yu, University of California, Irvine

On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models 221kb
Jin-Chuan Duan, University of Toronto – Geneviève Gauthier - Jean-Guy Simonato, HEC

Non Gaussian Investment 249kb
Dilip Madan and Ju-Yi J. Yen, University of Maryland

A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk 298kb
Sanjiv Das, Santa Clara University – Raghu Sundaram, New York University

Futures Prices in a Production Economy with Investment Constraints 308kb
Leonid Kogan, Massachusetts Institute of Technology and NBER – Dmitry Livdan, University of Houston – Amir Yaron, University of Pennsylvania