This paper examines granularity adjustments to parameter estimators in a default risk model with cohorts. The model is an extension of the Vasicek model (Vasicek, 1991) and includes a general factor and cohort specific factors. The granularity adjustments derived in the paper concern the mean...

The Wishart Autoregressive (WAR) process is a dynamic model for time series of multivariate stochastic volatility. The WAR naturally accommodates the positivity and symmetry of volatility matrices and provides closed-form non-linear forecasts. The estimation of the WAR is straighforward, as it...

This paper introduces the Dynamic Additive Quantile (DAQ) model that ensures the monotonicity of conditional quantile estimates. The DAQ model is easily estimable and can be used for computation and updating of the Value-at-Risk. An asymptotically efficient estimator of the DAQ is obtained by...