Showing 1 - 10 of 46
Basel II imposes regulatory capital on banks related to the default risk of their credit portfolio. Banks using an internal rating approach compute the regulatory capital from pooled probabilities of default. These pooled probabilities can be calculated by clustering credit borrowers into...
Persistent link: https://www.econbiz.de/10008460561
For estimating the parameters of models for financial market data, the use of robust techniques is of particular interest. Conditional forecasts, based on the capital asset pricing model, and a factor model are considered. It is proposed to consider least median of squares estimators as one...
Persistent link: https://www.econbiz.de/10008460562
According to the latest Basel framework of Banking Supervision, financial institutions should internally assign their borrowers into a number of homogeneous groups. Each group is assigned a probability of default which distinguishes it from other groups. This study aims at determining the...
Persistent link: https://www.econbiz.de/10008465249
Basel II imposes regulatory capital on banks related to the de- fault risk of their credit portfolio. Banks using an internal rating approach compute the regulatory capital from pooled probabilities of default. These pooled probabilities can be calculated by clustering credit borrowers into...
Persistent link: https://www.econbiz.de/10004998347
We present an international portfolio optimization model where we take into account the two different sources of return of an international asset: the local returns denominated in the local currency, and the returns on the foreign exchange rates. The explicit consideration of the returns on...
Persistent link: https://www.econbiz.de/10008592379
Calibrating option pricing models to market prices often leads to optimisation problems to which standard methods (like such based on gradients) cannot be applied. We investigate two models: Heston’s stochastic volatility model, and Bates’s model which also includes jumps. We discuss how to...
Persistent link: https://www.econbiz.de/10008592380
Given a set of time series, it is of interest to discover subsets that share similar properties. For instance, this may be useful for identifying and estimating a single model that may fit conveniently several time series, instead of performing the usual identification and estimation steps for...
Persistent link: https://www.econbiz.de/10008596145
The recent financial crisis has underlined that banks no longer simply accumulate deposits and lend a fraction to their clients. Instead they use interbank markets and structured finance to increase their loan book. This has implications for the understanding of interest rate pass through since...
Persistent link: https://www.econbiz.de/10008629500
Nonlinear nonstationary models for time series are considered, where the series is generated from an autoregressive equation whose coe±cients change both according to time and the delayed values of the series itself, switching between several regimes. The transition from one regime to the next...
Persistent link: https://www.econbiz.de/10008629501
Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...
Persistent link: https://www.econbiz.de/10008629502