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Cocos, Contagion and Systemic Risk
Chan, Stephanie; Wijnbergen, Sweder van - Tinbergen Instituut - 2014
CoCo’s (contingent convertible capital) are designed to convert from debt to equity when banks need it most. Using a Diamond-Dybvig model cast in a global games framework, we show that while the CoCo conversion of the issuing bank may bring the bank back into compliance with capital...
Persistent link: https://www.econbiz.de/10011255852
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Testing for Stock Market Contagion: A Quantile Regression Approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - Tinbergen Instituut - 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile … contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of …
Persistent link: https://www.econbiz.de/10011257623
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Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Tinbergen Instituut - 2014
Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on “Advances in Financial Risk Management and Economic Policy Uncertainty” is to highlight some areas of research in...
Persistent link: https://www.econbiz.de/10011255921
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Aggregating Credit and Market Risk: The Impact of Model Specification
Lucas, Andre; Verhoef, Bastiaan - Tinbergen Instituut - 2012
We investigate the effect of model specification on the aggregation of (correlated) market and credit risk. We focus on the functional form linking systematic credit risk drivers to default probabilities. Examples include the normal based probit link function for typical structural models, or...
Persistent link: https://www.econbiz.de/10011256003
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Econometric Analysis of Financial Derivatives: An Overview
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10011256249
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Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Instituut - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>
Persistent link: https://www.econbiz.de/10011256590
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10011256696
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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - Tinbergen Instituut - 2013
We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily returns for constituents of the S&P 500 index. We assess the...
Persistent link: https://www.econbiz.de/10011257409
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Frontiers in Time Series and Financial Econometrics: An Overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - Tinbergen Instituut - 2015
Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...
Persistent link: https://www.econbiz.de/10011257486
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A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - Tinbergen Instituut - 2014
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10011257506