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Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes
Jaschke, Stefan R. - 2001
Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...
Persistent link: https://www.econbiz.de/10009614286
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Low-probability insurance decisions : the role of concern
Schade, Christian D.; Kunreuther, Howard; Kaas, Klaus Peter - 2002
On the basis of a real high stakes insurance experiment with small probabilities of losses, we demonstrate that concern … is a more important driver of WTP for insurance than subjective probability estimates when there is ambiguity surrounding … probability insurance "puzzle" well known from the literature, where a part of individuals pays too much and a part nothing for …
Persistent link: https://www.econbiz.de/10009621421
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Hedging and portfolio optimization in illiquid financial markets
Bank, Peter; Baum, Dietmar - 2002
analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …
Persistent link: https://www.econbiz.de/10009625800
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Random times at which insiders can have free lunches
Imkeller, Peter - 2001
We consider models of time continuous financial markets with a regular trader and an insider who are able to invest into one risky asset. The insider's additional knowledge consists in his ability to stop a random time which is inaccessible to the regular trader, such as the last passage of a...
Persistent link: https://www.econbiz.de/10009614874
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ExploRing persistence in financial time series
Lee, David - 2000
Persistent link: https://www.econbiz.de/10009611548
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Simultaneous over- and underconfidence : evidence from experimental asset markets
Maciejovsky, Boris; Kirchler, Erich - 2001
In this paper individual overconfidence within the context of an experimental asset market is investigated. Overall, 72 participants traded one risky asset on six markets of 12 participants each. The results indicate that individuals were not generally overconfident. Moreover, overconfidence was...
Persistent link: https://www.econbiz.de/10009614297
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Money and banks : some theory and empirical evidence for Germany
Holtemöller, Oliver - 2002
. -- monetary policy ; Endogenous money ; industrial organization approach to banking theory ; money multiplier ; vector error …
Persistent link: https://www.econbiz.de/10009620766
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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...
Persistent link: https://www.econbiz.de/10009612011
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Dumb software agents on an experimental asset market
Grossklags, Jens; Schmidt, Carsten; Siegel, Jonathan - 2000
We have analyzed the impact of agents and their trading strategies on an experimental electronic market. Therefore, we added an XML-interface to an existing electronic market and implemented artificial agents which acted as elements of disturbance in the trading process. These artificial traders...
Persistent link: https://www.econbiz.de/10009612027
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A minimal financial market model
Platen, Eckhard - 2000
The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a minimal number of factors that characterise the dynamics of the different denominations of the deflator. It models asset prices essentially as functionals of square root and...
Persistent link: https://www.econbiz.de/10009612032