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Correlated default with incomplete information
Giesecke, Kay - 2001
We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe … liquidated. Bond investors form instead a prior on these thresholds. Stochastic dependence between default events is induced … correlation measure, which overcomes the limitations of existing covariance based measures. A case study is examined, where …
Persistent link: https://www.econbiz.de/10009621426
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Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay (contributor); Weber, Stefan (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919109
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...
Persistent link: https://www.econbiz.de/10009612026
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Forecasting the real output using fractionally integrated techniques
Gil-Alaña, Luis A. - 2001
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...
Persistent link: https://www.econbiz.de/10009613608
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Canonical correlation statistics for testing the cointegration rank in a reversed order
Breitung, Jörg - 1998
In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r …
Persistent link: https://www.econbiz.de/10009578561
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Correlation risk premia for multi-asset equity options
Fengler, Matthias R. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919088
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Estimating covariance matrices using estimating functions in nonparametric and semiparametric regression
Carroll, Raymond J.; Iturria, Stephen J.; Gutierrez, … - 1997
We use ideas from estimating function theory to derive new, simply computed consistent covariance matrix estimates in nonparametric regression and in a class of semiparametric problems. Unlike other estimates in the literature, ours do not require auxiliary or additional nonparametric...
Persistent link: https://www.econbiz.de/10009631747
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Do banks crowd in or out business ethics? : an indirect evolutionary analysis
Güth, Werner - 1998 - Rev.
The evolution of trustworthiness as a major aspect of business ethics depends crucially on whether it can be signaled. If this is impossible, only opportunistic traders will survive. Whereas previous studies have analysed detection agencies (Güth and Kliemt, 1994 and 1998) or have substituted...
Persistent link: https://www.econbiz.de/10009578022
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Assessing the discriminatory power of credit scores
Kraft, Holger; Kroisandt, Gerald; Müller, Marlene - 2002
We discuss how to assess the performance for credit scores under the assumption that for credit data only a part of the defaults and nondefaults is observed. The paper introduces a criterion that is based on the difference of the score distributions under default and nondefault. We show how to...
Persistent link: https://www.econbiz.de/10009626674
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Credit scoring using semiparametric methods
Müller, Marlene; Rönz, Bernd - 1999
Persistent link: https://www.econbiz.de/10009582414