Search for dissertations about: "default contagion"
Found 5 swedish dissertations containing the words default contagion.
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1. Pricing Portfolio Credit Derivatives
Abstract : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. READ MORE
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2. Taxes, Nudges, and Conformity : Essays in Labor and Behavioral Economics
Abstract : This thesis consists of four papers summarized as follows.Do Payroll Tax Cuts Raise Youth Employment? We study whether payroll tax reductions are an effective means to raise youth employment. In 2007, the Swedish employer-paid payroll tax was cut on a large scale for young workers, substantially reducing labor costs for this group. READ MORE
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3. Feasible computation of generalized linear mixed models with application to credit risk modelling
Abstract : This thesis deals with developing and testing feasible computational procedures to facilitate the estimation of and carry out the prediction with the generalized linear mixed model (GLMM) with a scope of applying them to large data sets. The work of this thesis is motivated from an issue arising incredit risk modelling. READ MORE
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4. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios
Abstract : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. READ MORE
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5. A neuroimaging perspective on the emotional sleepy brain
Abstract : Sleep has been shown to be important for a number of emotional functions. Brain correlates to the effect of sleep deprivation on emotion have been studied in the last decades and increased amygdala reactivity has been proposed as one possible mechanism. READ MORE