WorldCat Identities

Packham, Natalie

Works: 3 works in 3 publications in 2 languages and 6 library holdings
Roles: Author
Publication Timeline
Most widely held works by Natalie Packham
Credit gap risk in a first passage time model with jumps by Natalie Packham( Book )

1 edition published in 2009 in English and held by 1 WorldCat member library worldwide

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models, we consider a model that addresses these issues. The principal idea is to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility. Using a representation of the credit quality process as a time-changed Brownian motion, one can derive formulas for conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy-driven Ornstein-Uhlenbeck process. The model can be implemented efficiently using a technique called Panjer recursion. Calibration to a wide range of dynamics is supported. We illustrate the effectiveness of the model by valuing a leveraged credit-linked note
Incentive schemes, private information and the double-edged role of competition for agents by Christina E Metz( )

1 edition published in 2014 in English and held by 0 WorldCat member libraries worldwide

This paper examines the effect of imperfect labor market competition on the efficiency of compensation schemes in a setting with moral hazard, private information and risk-averse agents. Two vertically differentiated firrms compete for agents by offering contracts with fixed and variable payments. Vertical differentiation between firms leads to endogenous, type-dependent exit options for agents. In contrast to screening models with perfect competition, we find that existence of equilibria does not depend on whether the least-cost separating allocation is interim efficient. Rather, vertical differentiation allows the inferior firm to offer (cross-)subsidizing fixed payments even above the interim efficient level. We further show that the efficiency of variable pay depends on the degree of competition for agents: For small degrees of competition, low-ability agents are under-incentivized and exert too little effort. For large degrees of competition, high-ability agents are over-incentivized and bear too much risk. For intermediate degrees of competition, however, contracts are second-best despite private information
Determinants of the onshore and offshore Chinese Government yield curves by Horst Löchel( )

1 edition published in 2013 in German and held by 0 WorldCat member libraries worldwide

Audience Level
Audience Level
  Kids General Special  
Audience level: 0.96 (from 0.95 for Incentive ... to 0.97 for Determinan ...)