G - Financial Economics
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Estimation of the Default Risk of Publicly Traded Canadian Companies
Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. -
Can Affine Term Structure Models Help Us Predict Exchange Rates?
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.