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This paper proposes a new model for calculating VaR where the user is free to choose any probability distributions for daily changes in the market variables and parameters of the probability distributions are subject to updating schemes such as GARCH. Transformations of the probability distributions are assumed to be multivariate normal. The model is(More)
We propose a simple dynamic model that is an attractive alternative to the (static) Gaussian copula model. The model assumes that the hazard rate of a company has a deterministic drift with periodic impulses. The impulse size plays a similar role to default correlation in the Gaussian copula model. The model is analytically tractable and can be represented(More)
We find substantial positive economies of scale in asset management using a newly available pension plan database: Large plans outperform small ones by 30-40 bps/year. We test whether plans make hypothesized changes on the intensive margin (within asset class) or the extensive margin (across asset classes) as they grow, and find that both channels are(More)
Eight World Health Organization (WHO) feeding indicators (FIs) and Demographic and Health Survey data for children <24 months were used to assess the relationship of child feeding with stunting and underweight in 14 poor countries. Also assessed were the correlations of FI with country gross national income (GNI). Prevalence of underweight and stunting(More)
This paper is concerned with the implementation of the LIBOR market model and its extensions. It develops and tests a simple analytic approximation for calculating the volatilities used by the market to price European swap options from the volatilities used by the market to price interest rate caps. The approximation is found to be very accurate for the(More)