Packham, Natalie
Overview
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 timechanged 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 Lévydriven OrnsteinUhlenbeck 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 creditlinked note
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 timechanged 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 Lévydriven OrnsteinUhlenbeck 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 creditlinked note
Incentive schemes, private information and the doubleedged 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 riskaverse agents. Two vertically differentiated firrms compete for agents by offering contracts with fixed and variable payments. Vertical differentiation between firms leads to endogenous, typedependent exit options for agents. In contrast to screening models with perfect competition, we find that existence of equilibria does not depend on whether the leastcost 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, lowability agents are underincentivized and exert too little effort. For large degrees of competition, highability agents are overincentivized and bear too much risk. For intermediate degrees of competition, however, contracts are secondbest despite private information
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 riskaverse agents. Two vertically differentiated firrms compete for agents by offering contracts with fixed and variable payments. Vertical differentiation between firms leads to endogenous, typedependent exit options for agents. In contrast to screening models with perfect competition, we find that existence of equilibria does not depend on whether the leastcost 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, lowability agents are underincentivized and exert too little effort. For large degrees of competition, highability agents are overincentivized and bear too much risk. For intermediate degrees of competition, however, contracts are secondbest 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
1 edition published in 2013 in German and held by 0 WorldCat member libraries worldwide
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