Now showing items 1-3 of 3

    • Contingent Convertible Bonds And Public Policy: A New Approach 

      Pearkes, George (2012-05-14)
      I investigate financial instruments called contingent convertible bonds (CoCos). CoCos are designed to recapitalize banks during financial crises. Regulation would mandate their issuance. I survey the structure of financial ...
    • Essays on Markov-Switching Dynamic Stochastic General Equilibrium Models 

      Foerster, Andrew Thomas (2011)
      This dissertation presents two essays on Markov-Switching dynamic stochastic general equilibrium models.The first essay is "Perturbation Methods for Markov-Switching Models," which is co-authored with Juan Rubio-Ramirez, ...
    • Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads 

      Oh, D; Patton, Andrew J (Economic Research Initiatives at Duke (ERID) Working Paper, 2013-05-23)
      This paper proposes a new class of copula-based dynamic models for high dimension conditional distributions, facilitating the estimation of a wide variety of measures of systemic risk. Our proposed models draw on successful ...