Browsing by Thesis Advisor "Miller, Douglas, 1965-"
Now showing items 1-3 of 3
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Dynamic models of credit ratings and default probabilities
(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
(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
(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 ...