Certain types of corporate social responsibility (CSR) activities can generate an ‘insurance-like’ benefit for firms (Godfrey, 2005). Thus far, this risk management hypothesis has been verified for the effects of firm-specific negative events. We argue that this insurance-like benefit of...

Economic problems such as large claims analysis in insurance and value-at-risk in finance, requireassessment of the probability P of extreme realizations Q. This paper provided a semi-parametricmethod for estimation of extreme (P, Q) combinations for data with heavy tails. We solve the...

This paper addresses new trends in quantitative geography research. Modern social science research - including economic and social geography - has in the past decades shown an increasing interest in micro-oriented behaviour of actors. This is inter alia clearly reflected in spatial interaction...

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...

This discussion paper led to an article in the <I>Journal of Applied Econometrics</I> (2005). Vol. 20, issue 2, pages 311-323.<P> Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles...</p></i>

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

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...

This discussion paper led to an article in the <I>Journal of Business and Economic Statistics</I> (2008). Vol. 26, issue 4, pages 510-525.<p> We model 1981–2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and...</p></i>