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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

Distribution-invariant dynamic risk measures

Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001917139

Measures for the structure of clustering and admissibilities of its algorithm

Takeuchi, Akinobu; Yadohisa, Hiroshi; Inada, Koichi - 2001

The problem of selecting a clustering algorithm from the myriad of algorithms has been discussed in recent years. Many researchers have attacked this problem by using the concept of admissibility (e.g. Fisher and Van Ness, 1971, Yadohisa, et al., 1999). We propose a new criterion called the...

Persistent link: https://www.econbiz.de/10009615418

Convex measures of risk and trading constraints

Föllmer, Hans; Schied, Alexander - 2001

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...

Persistent link: https://www.econbiz.de/10009615426

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

Manipulation in political stock markets : preconditions and evidence

Hansen, Jan; Schmidt, Carsten; Strobel, Martin - 2001

Political stock markets (PSM) are sometimes seen as substitutes for opinion polls. On the bases of a behavioral model, specific preconditions were drawn out under which manipulation in PSM can weaken this argument. Evidence for manipulation is reported from the data of two separate PSM during...

Persistent link: https://www.econbiz.de/10009614875

How accurate do markets predict the outcome of an event? : the Euro 2000 soccer championships experiment

Schmidt, Carsten; Werwatz, Axel - 2002 - Rev.

For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and factors that are responsible for the quality of the...

Persistent link: https://www.econbiz.de/10009621415

The term structure of interest rates when the growth rate is unobservable

Riedel, Frank - 1997

The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term structure is flat and deterministic. When agents do not observe the...

Persistent link: https://www.econbiz.de/10009659628

Measurement error, biases, and the validation of complex models

Carroll, Raymond J.; Galindo, Christian D. - 1997

There are three major points to this article: 1. Measurement error causes biases in regression fits. The line one would … exposure with error. 2. The effects of measurement error vary from study-to-study. It is dangerous to take measurement error … corrections derived from one study and apply them to data from entirely different studies or populations. 3. Measurement error can …

Persistent link: https://www.econbiz.de/10009631751

Predictive accuracy of political stock markets : empirical evidence from a European perspective

Berlemann, Michael; Schmidt, Carsten - 2001

In a meta study of 25 political stock markets conducted in Germany in the last decade we analyze their predictive success. Although the predictions of political stock markets are highly correlated with the corresponding polls, the markets are able to aggregate additional information. One...

Persistent link: https://www.econbiz.de/10009614879