• Dynamic models of credit ratings and default probabilities 

    Hirani, Pranav (University of Missouri--Columbia, 2007)
    [ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT AUTHOR'S REQUEST.] The upheaval in the capital markets since 1997 has highlighted the need for orderly stress testing of banks' portfolios, including both their trading ...
  • Econometric methods for improved measures of financial risk 

    Kim, Moohwan (University of Missouri--Columbia, 2011)
    Faced with the current financial crisis, several US and foreign banks and investment firms have failed due to excessive losses. The Value-at-Risk (VaR) was a widely-used risk model that was problematic. We evaluate competing ...
  • The fiscal responsiveness to economic fluctuations 

    Kim, Jin Myung, 1970- (University of Missouri--Columbia, 2009)
    In this paper I investigate the pattern of the fiscal responsiveness with economic development and the determinants of the fiscal responsiveness for 79 central governments during 1972 ~ 2007. For the analysis, I estimate ...