loss aversion models. The goal of this paper is to assess empirically which of them fits the observed excess returns best … theoretical dynamic generated by these models with the observed dynamic. I find that the external habit model and a loss aversion … loss aversion model with a reference level based on expected consumption and, to some extend, the internal habit model …

We develop a tailor made semiparametric asymmetric kernel density estimator for the estimation of actuarial loss … procedure performs well relative to alternative estimators. An application to operational loss data illustrates the proposed …

stabilization of the homeowner’s net wealth, price the instruments, and quantify the expected decrease in the mortgage default risk …

mortgage servicing data set and compare the resulting loss distributions to a well-known benchmark, i.e. the loss distribution … from CreditRisk+ as commonly applied in the industry. The conditional loss distribution and risk measures for a large … mortgage portfolio are shown to be greatly sensitive to the prevailing socio-economic scenario. We present evidence that …

seemingly weaker one-step H-hypothesis. Furthermore, we provide a canonical construction of a loss process in this setup and …