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Stubbs, Eric; Gupta, Francis - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005134906

Agricultural Applications of Value-at-Risk Analysis: A Perspective

Manfredo, Mark R.; Leuthold, Raymond M. - EconWPA - 1998

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period …. This paper provides a "state-of-the-art" review of VaR estimation techniques and empirical findings found in the finance … literature. The ability of VaR estimates to represent large losses associated with tail events varies among procedure, confidence …

Persistent link: https://www.econbiz.de/10005076967

Collateral-Based Lending in Emerging Markets: Evidence from Thailand

Menkhoff, Lukas; Neuberger, Doris; Suwanaporn, Chodechai - EconWPA - 2005

This paper examines the role and determinants of collateral in emerging markets compared to mature ones. Analyzing a data set of 560 credit files of Thai commercial banks, we find that both the incidence and degree of collateralization are higher there than in developed markets. Thai banks use...

Persistent link: https://www.econbiz.de/10005134744

A Scoring Model of the Risk of Costly Arrears at a Microfinance Lender in Bolivia

Schreiner, Mark - EconWPA - 2001

Can scoring models help microfinance lenders in poor countries as much as they have helped credit-card lenders in rich countries? I model the probability that loans from a microlender in Bolivia had arrears of 15 days or more. Although arrears in microfinance depend on many factors difficult to...

Persistent link: https://www.econbiz.de/10005118773

Scoring Drop-Out at a Microlender in Bolivia

Schreiner, Mark - EconWPA - 2001

This paper presents a scoring model that predicts the risk of drop-out for borrowers at a microfinance lender in Bolivia. Drop-out risk was greater for women, manufacturers, newer borrowers, and those with more arrears. Out-of-sample tests suggest that scoring may help microfinance lenders to...

Persistent link: https://www.econbiz.de/10005118802

Lag Length Estimation in Large Dimensional Systems

Gonzalo, Jesus; Pitarakis, Jean-Yves - EconWPA - 2001

general to specific testing strategies for lag length estimation in VAR's. We show that AIC's well known overparameterization …

Persistent link: https://www.econbiz.de/10005119087

The Forecasting Accuracy of Five Time Series Models: Evidence from the Portuguese Car Market

Ramos, Francisco F. R. - EconWPA - 1996

employ a random-walk with drift (Naive), a univariate ARIMA, a near-VAR and a general BVAR. The out-of- sample forecasts are … measures I find the forecasts from the near-VAR and the BVAR models really more accurate. With regard to these models, I could … say that the BVAR model is the best for longer forecasts (12-steps ahead), while the n-VAR is superior over the shorter …

Persistent link: https://www.econbiz.de/10005119118