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Testing Probability Calibrations: Application to Credit Scoring Models

Blöchlinger, Andreas; Leippold, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The validation of probability calibration is an inherently difficult task. We develop a testing procedure for credit …

Persistent link: https://www.econbiz.de/10005858376

Economic Benefit of Powerful Credit Scoring

Blöchlinger, Andreas; Leippold, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper, we study the economic benets from using credit scoring models. We contribute to the literature by … relating the discriminatory power of a credit scoring model to the optimal credit decision. Given the Receiver Operating … Characteristic (ROC) curve of the credit scoring model, we derive a) the profit-maximizing cutoff regime and b) the pricing curve. In …

Persistent link: https://www.econbiz.de/10005858876

Wishart Quadratic Term Structure Models

Sufana, R.; Gourieroux, C. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper reveals that the class of affine term structure models introduced by Duffie and Kan (1996) is much larger than it has been usually considered in the literature. We study "fundamental" risk factors, which represent multivariate risk aversion of the consumer volatility matrix of the...

Persistent link: https://www.econbiz.de/10005857969

Too risk averse for Prospect Theory?

Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We observe that the standard variant of Prospect Theory cannot describe very risk-averse choices in simple lotteries. This makes it diffcult to accommodate it with experimental data. Using an exponential value function can solve this problem and allows to cover the whole spectrum of risk-averse...

Persistent link: https://www.econbiz.de/10005858200

Loss Aversion with a State-dependent Reference Point

De Giorgi, Enrico; Post, Thierry - Institut für Schweizerisches Bankwesen <Zürich> - 2008

This study investigates loss aversion when the reference point is state-dependent.Using a state-dependent structure, prospects are more attractive if they depend positively on the reference point and are less attractive in case of negative dependence. In addition, the structure is neutral in the...

Persistent link: https://www.econbiz.de/10005858208

Aversion Analysis

Allard, Marie; Bronsard, Camille; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Due to their underlying assumptions, the standard concepts of risk aversion and preference for the present are generally defined separately and represented by scalar measures, and this implies many shortcomings. More specifically, if measured by a scalar, the risk aversion remains unchanged,...

Persistent link: https://www.econbiz.de/10005858445

Two Paradigms and Nobel Prizes in Economics : A Contradiction or Coexistence?

Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year 2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory. Can these two apparently...

Persistent link: https://www.econbiz.de/10005858578

Learning and Asset Prices under Ambiguous Information

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We propose a new continuous time framework to study asset prices under learning and ambiguity aversion. In a partial information Lucas economy with time additive power utility, a discount for ambiguity arises if and only if the elasticity of intertemporal substitution (EIS) is above one. Then,...

Persistent link: https://www.econbiz.de/10005858768

Does Prospect Theory Explain the Disposition Effect?

Hens, Thorsten; Vlcek, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The disposition effect is the observation that investors hold winning stocks too long and sell losing stocks too early. A standard explanation of the disposition effect refers to prospect theory and in particular to the asymmetric risk aversion according to which investors are risk averse when...

Persistent link: https://www.econbiz.de/10005858770

Dynamic General Equilibrium and T-Period Fund Separation

Gerber, Anke; Hens, Thorsten; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We consider a dynamic general equilibrium model with incomplete markets in which we derive conditions for separating the savings decision from the asset allocation decision. It is shown that with logarithmic utility functions this separation holds for any heterogeneity of discount factors while...

Persistent link: https://www.econbiz.de/10005858771