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It Pays to Violate: How Effective are the Basel Accord Penalties?

Veiga, B. da; Chan, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...

Persistent link: https://www.econbiz.de/10008484079

A simple test for GARCH against a stochastic volatility

Franses, Ph.H.B.F.; Leij, M.J. van der; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2005

The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved … volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and … which can be used to test GARCH against SV. We discuss model representation, parameter estimation and a simple test for …

Persistent link: https://www.econbiz.de/10005696115

Structure and Asymptotic theory for Nonlinear Models with GARCH Errors

Chan, F.; McAleer, M.J.; Medeiros, M.C. - Erasmus University Rotterdam, Econometric Institute - 2011

- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10008800914

Global Business Cycles and Credit Risk

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - CESifo - 2005

The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...

Persistent link: https://www.econbiz.de/10005765811

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - CESifo - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10005766168