From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...

The dates of U.S. business cycle are reported by NBER with a considerable delay, so an early notion of turning points is of particular interest. This paper proposes a novel sequential approach designed for timely signaling these turning points. A directional cumulated sum decision rule is...

While most economists agree that the recent worldwide financial crises evolved as a consequence of the US house price bubble, the related literature yet failed to deliver a consensus on the question when exactly the bubble started developing. The estimates in the literature range in between 1997...

Dickey-Fuller control charts aim at monitoring a random walk until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical...

Methods of Statistical Process Control (SPC) are used for detecting deviations from regular processing. SPC is applied in manufacturing implementations where statistical tools are used to monitor the performance of production processes in order to identify and correct considerable changes in the...

The range control chart and the X bar control chart are the well known and the most popular tools for detecting out- of-control signals in the Statistical Quality Control (SQC). The control charts has shown his worth in the manufacturing industry. In this study we have applied the range and the...

The recent U.S. house price bubble and the subsequent deep financial crisis have renewed the interest in reliable identification methods for asset price bubbles. While there is a growing number of studies focussing on the detection of U.S. regional bubbles, estimations of the likely starting...

While most economists agree that the recent worldwide financial crises evolved as a consequence of the US house price bubble, the related literature yet failed to deliver a consensus on the question when exactly the bubble started developing. The estimates in the literature range in between 1997...

Statistical process control is an excellent quality assurance tool to improve the quality of manufacture and ultimately scores on end-customer satisfaction. SPC uses process monitoring charts to record the key quality characteristics (KQCs) of the component in manufacture. This paper elaborates...