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Love and Death : A Freund Model with Frailty

Gouriéroux, Christian; Lu, Yang - Centre de Recherche en Économie et Statistique … - 2013

dependence is usually taken into account in the actuarial literature by introducing an Archimedean copula. This practice implies …

Persistent link: https://www.econbiz.de/10010857712

A Asymptotic Total Variation Test for Copulas

Fermanian, Jean-David; Radulovic, Dragan; Wegkamp, Marten - Centre de Recherche en Économie et Statistique … - 2013

We propose a new goodness-of-fit test for copulas, based on empirical copula processes and nonparametric bootstrap … counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed … by orthants is extended by test statistics based on the supremum of the empirical copula process indexed by families of …

Persistent link: https://www.econbiz.de/10010747006

The pricing of portfolio credit risk

Tarashev, Nikola A.; Zhu, Haibin - Bank for International Settlements (BIS) - 2006

Equity and credit-default-swap (CDS) markets are in disagreement as to the extent to which asset returns co-move across firms. This suggests market segmentation and casts ambiguity about the asset-return correlations underpinning observed prices of portfolio credit risk. The ambiguity could be...

Persistent link: https://www.econbiz.de/10005187738

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Dubecq, Simon; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

Persistent link: https://www.econbiz.de/10010548475

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Huang, Xin; Zhou, Hao; Zhu, Haibin - Bank for International Settlements (BIS) - 2009

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...

Persistent link: https://www.econbiz.de/10005000221

Explaining credit default swap spreads with equity volatility and jump risks of individual firms

Zhu, Haibin; Zhang, Benjamin Yibin; Zhou, Hao - Bank for International Settlements (BIS) - 2005

A structural model with stochastic volatility and jumps implies particular relationships between observed equity returns and credit spreads. This paper explores such effects in the credit default swap (CDS) market. We use a novel approach to identify the realized jumps of individual equity from...

Persistent link: https://www.econbiz.de/10005121436

Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis

Huang, Xin; Zhou, Hao; Zhu, Haibin - Bank for International Settlements (BIS) - 2010

This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as...

Persistent link: https://www.econbiz.de/10008609839

The bank lending channel revisited

Disyatat, Piti - Bank for International Settlements (BIS) - 2010

A central proposition in research on the role that banks play in the transmission mechanism is that monetary policy imparts a direct impact on deposits and that deposits, insofar as they constitute the supply of loanable funds, act as the driving force of bank lending. This paper argues that the...

Persistent link: https://www.econbiz.de/10008609840

Estimation Adjusted VaR

Gouriéroux, Christian; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2012

Standard risk measures, such as the Value-at-Risk (VaR), or the Expected Shortfall, have to be estimated and their estimated counterparts are subject to estimation uncertainty. Replacing, in the theoretical formulas, the true parameter value by an estimator based on n observations of the Profit...

Persistent link: https://www.econbiz.de/10010575237

Multi-level Conditional VaR Estimation in Dynamic Models

Franck, Christian Francq; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2014

We consider joint estimation of conditional Value-at-Risk (VaR) at several levels, in the framework of general conditional heteroskedastic models. The volatility is estimated by Quasi-Maximum Likelihood (QML) in a first step, and the residuals are used to estimate the innovations quantiles in a...

Persistent link: https://www.econbiz.de/10010796244