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Modeling the FIBOR/EURIBOR Swap Term Structure : An Empirical Approach

Blaskowitz, Oliver; Herwartz, Helmut; de Cadenas … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the …

Persistent link: https://www.econbiz.de/10005862104

Adaptive Forecasting of the EURIBOR Swap Term Structure

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …

Persistent link: https://www.econbiz.de/10005860579

Auswirkungen der IFRS Umstellung auf die Risikoprämie vonUnternehmensanleihen - Eine empirische Studie für Deutschland, Österreich und die Schweiz

Kiefer, Kerstin; Schorn, Philipp - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Reduziert eine IFRS-Umstellung die Informationsdefizite der Fremdkapitalgeber und somit auch die Risikoprämie von Unternehmensanleihen? Entgegen bisherigen empirischen Untersuchungen betrachten wir den Zusammenhang zwischen Offenlegung und Kapitalkosten für Fremdfinanzierung. Folglich...

Persistent link: https://www.econbiz.de/10005860842

The Bayesian Additive Classification Tree Applied to Credit Risk Modelling

Zhang, Junni L.; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

We propose a new nonlinear classification method based on a Bayesian "sum-of-trees" model, the Bayesian Additive Classification Tree (BACT), whichextends the Bayesian Additive Regression Tree (BART) method into the classification context. Like BART, the BACT is a Bayesian nonparametric...

Persistent link: https://www.econbiz.de/10005860755

CDO Pricing with Copulae

Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

Persistent link: https://www.econbiz.de/10005865449

Support Vector Regression Based GARCH Model with Application to ForecastingVolatility of Financial Returns

Chen, Shiyi; Jeong, Kiho; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …

Persistent link: https://www.econbiz.de/10005860742

Value-at-Risk and Expected Shortfall when there is long range dependence

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10005860751

A stochastic volatility Libor model and its robust calibration

Belomestny, Denis; Matthew, Stanley; Schoenmakers, John - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

In this paper we propose a Libor model with a high-dimensional speciallystructured system of driving CIR volatility …

Persistent link: https://www.econbiz.de/10005860831

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

The volatility implied by observed market prices as a function of the strikeand time to maturity form an Implied … Volatility Surface (IV S). Practicalapplications require reducing the dimension and characterize its dynamicsthrough a small … investigating long range dependencein the factor loadings series. Our result reveals that shocks to volatility persistfor a very …

Persistent link: https://www.econbiz.de/10005861020

Time Series Modelling with Semiparametric Factor Dynamics

Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

High-dimensional regression problems which reveal dynamic behavior are typicallyanalyzed by time propagation of a few number of factors. The inference on thewhole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...

Persistent link: https://www.econbiz.de/10005861034