The survivorship bias in credit risk modeling is the bias that results in parameter estimates when the survival of a company is ignored. We study the statist...

We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...

This paper develops a dynamic model to determine a firm's optimal risk management strategy when it faces uncertainty about its future profitability and inves...