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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10010564003
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Uncertainty of Multiple Period Risk Measures
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...
Persistent link: https://www.econbiz.de/10005198007
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A Corrected Value-at-Risk Predictor
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2008
In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.
Persistent link: https://www.econbiz.de/10005651967
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"The Financial Crisis Viewed from the Perspective of the “Social Costs” Theory"
Wray, L. Randall - Levy Economics Institute - 2011
money and finance should not matter much, the alternative tradition-from Veblen and Keynes to Galbraith and Minsky …-provides the basis for developing an approach that puts money and finance front and center. Including the theory of social costs … also generates policy recommendations more appropriate to an economy in which finance matters. …
Persistent link: https://www.econbiz.de/10008876439
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"Causes of Financial Instability: Don’t Forget Finance"
Bezemer, Dirk J. - Levy Economics Institute - 2011
Given the economy's complex behavior and sudden transitions as evidenced in the 2007–08 crisis, agent-based models are widely considered a promising alternative to current macroeconomic practice dominated by DSGE models. Their failure is commonly interpreted as a failure to incorporate...
Persistent link: https://www.econbiz.de/10008925707
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The evaluation criteria of the venture capital investment activity: An interactive assessment
Siskos, Jean; Zopounidis, Constantin - Université Paris-Dauphine (Paris IX) - 1987
In this paper the modelling of venture capital decision making is being attempted, using a multicriteria decision support system (the Minora system) based on the interactive use of the Uta ordinal regression model. First, a review of the literature on the evaluation criteria for venture capital...
Persistent link: https://www.econbiz.de/10010764094
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"What Do We Know About the Labor Share and the Profit Share? Part II: Empirical Studies"
Giovannoni, Olivier - Levy Economics Institute - 2014
In this second part of our study we survey the rapidly expanding empirical literature on the determinants of the functional distribution of income. Three major strands emerge: technological change, international trade, and financialization. All contribute to the fluctuations of the labor share,...
Persistent link: https://www.econbiz.de/10010775077
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The Role of Forensic Economists in the Social Control of Business in France
Pélisse, Jérôme; Charrier, Emmanuel - Université Paris-Dauphine (Paris IX) - 2011
financé experts: to what extent does the French legal and judicial framework of forensic expertise contribute to regulate …
Persistent link: https://www.econbiz.de/10010861606
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Actual share repurchases, timing and liquidity
Hamon, Jacques; Ginglinger, Edith - Université Paris-Dauphine (Paris IX) - 2007
Research on the impact of open market share repurchases has been hindered by the lack of data available on actual share repurchases in many countries, including the US. Using a previously unused database containing detailed information on 36,848 repurchases made by 352 French firms, we show that...
Persistent link: https://www.econbiz.de/10010744750
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Investigation financière et juricomptabilitè. Guide des bonnes pratiques
Charrier, Emmanuel; Roy, Manon; Leclerc, Guylaine - Université Paris-Dauphine (Paris IX) - 2012
First French book about investigative and forensic accounting. The authors are listed forensic experts, in Canada and France. A normative and practiclal book, well-experienced.
Persistent link: https://www.econbiz.de/10010706778