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Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010

Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …

Persistent link: https://www.econbiz.de/10010838036

Endogenizing Model Risk to Quantile Estimates

Alexander, Carol; Sarabia, Jose Maria - Henley Business School, University of Reading - 2010

We quantify and endogenize the model risk associated with quantile estimates using a maximum entropy distribution (MED) as benchmark. Moment-based MEDs cannot have heavy tails, however generalized beta generated distributions have attractive properties for popular applications of quantiles....

Persistent link: https://www.econbiz.de/10010838057

An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal

Jin, Xisong; Simone, Francisco Nadal De - Central Bank of Luxembourg - 2012

The estimation of banks? marginal probabilities of default using structural credit risk models can be enriched incorporating macro-financial variables readily available to economic agents. By combining Delianedis and Geske?s model with a Generalized Dynamic Factor Model into a dynamic t-copula...

Persistent link: https://www.econbiz.de/10010826820

Augoregressive Conditional Kurtosis

Brooks, Chris; Burke, Simon P.; Persand, Gita - Henley Business School, University of Reading - 2002

This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and...

Persistent link: https://www.econbiz.de/10005558309