Archives for LFIN

Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps Laura Ballotta, Cass Business School This paper proposes an integrated pricing framework for CVA of equity and commoditiy products. The given framework, in fact, generates dependence endogenously, allows for...

IMMAQ, together with LSM, is organizing a talk with Paul de Grauwe (LSE) where he will present his latest book, The Limits of the Market: The Pendulum between Government and Market. The event will be held at UCL (Place de l'Université 1, 1348 Louvain-la-Neuve) on Wednesday, November 15,...

Health Insurance, Portfolio Choice, and Retirement Incentives Enrico Biffis, Imperial College London We study portfolio choice and labor market participation in a continuous time setting when agents face health shocks, medical expenses, and an uncertain lifetime. We consider different...

Expected Term Structures Andrea Buraschi, Imperial College London This paper studies the properties of bond risk premia in the cross-section of subjective expectations. We exploit an extensive dataset of yield curve forecasts from financial institutions and document a number of novel...