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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 ...
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 ...
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 ...