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Model risk of risk models
Danielsson, Jon; James, Kevin R.; Valenzuela, Marcela; … - London School of Economics (LSE) - 2014
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...
Persistent link: https://www.econbiz.de/10011163510
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Capturing the time-varying drivers of an epidemic using stochastic dynamical systems
Dureau, Joseph; Kalogeropoulos, Konstantinos; Baguelin, Marc - London School of Economics (LSE) - 2013
Epidemics are often modeled using non-linear dynamical systems observed through partial and noisy data. In this paper, we consider stochastic extensions in order to capture unknown influences (changing behaviors, public interventions, seasonal effects, etc.). These models assign diffusion...
Persistent link: https://www.econbiz.de/10010746158
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Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras; Hautsch, Nikolaus - Center for Financial Studies - 2013
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order …
Persistent link: https://www.econbiz.de/10010958506
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - Center for Financial Studies - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010958791
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Portfolio credit risk of default and spread widening
Zhao, Hongbiao - London School of Economics (LSE) - 2011
consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula …
Persistent link: https://www.econbiz.de/10010745286
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Studies on credit risk concentration : an overview of the issues and a synopsis of the results from the Research Task Force project
Duellmann, Klaus (contributor) - 2006
Persistent link: https://www.econbiz.de/10003424668
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International framework for liquidity risk measurement, standards and monitoring : consultative document
2009 - Dec. 2009
Persistent link: https://www.econbiz.de/10008653493
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Analysis of the trading book quantitative impact study
2009
Persistent link: https://www.econbiz.de/10008653495
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Messages from the academic literature on risk measurement for the trading book
2011
This report summarises the findings of an ad hoc working group that reviewed the academic literature relevant to the regulatory framework for the trading book. This project was carried out in the first half of 2010 acting upon a request from the Trading Book Group to the Research Task Force of...
Persistent link: https://www.econbiz.de/10009238143
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Quantitative Auswirkungsstudie 3: nationale Wahlrechte : zur Anwendung durch deutsche Kreditinstitute zum Ausfüllen der QIS 3-Fragebögen : für Kreditinstitute, die Angaben zum Stan...
2002 - [Elektronische Ressource], Übers. der Deutschen Bundesbank
Persistent link: https://www.econbiz.de/10001781950