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Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?

Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015

), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

Persistent link: https://www.econbiz.de/10011419593

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …

Persistent link: https://www.econbiz.de/10010405480

Financial frictions and global spillovers

Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Persistent link: https://www.econbiz.de/10010493885

The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants

Fischer, Henning; Stolper, Oscar - 2019

This paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) model, we document that the dynamic impact of spread determinants varies substantially with market conditions. In periods of...

Persistent link: https://www.econbiz.de/10011979160

Shadow-rate VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023

VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as censored observations of a latent shadow-rate process,...

Persistent link: https://www.econbiz.de/10014320745

Product innovation and product innovation marketing : theory and microeconometric evidence

Kaiser, Ulrich - 2001

This paper derives a three stage Cournotoligopoly game for product innovation, expenditure on introducing the product and competition on the product market. Product innovation is assumed to increase consumer utility but is effective only if the innovating firm invests in marketing, so that...

Persistent link: https://www.econbiz.de/10013428414

Strategic complementarities between different types of ICT-expenditures

Kaiser, Ulrich - 2003

Persistent link: https://www.econbiz.de/10013428579

Costs and benefits of waste soils removal

Becker, Nir; Qimḥî, Ayyāl; Argaman, Eli - 2020

Persistent link: https://www.econbiz.de/10013367395

Can open sourcing lead to inferior standards?

Koerselman, Kristian - 2008

I investigate the effect of open source on standardization outcomes in a market with positive network externalities. In a closed source world, it seems reasonable to assume that the probability of a standard being chosen is positively correlated with its quality. Open source may weaken or invert...

Persistent link: https://www.econbiz.de/10012502981

Refugee Migration and the Politics of Redistribution: Do Supply and Demand Meet?

Matakos, Konstantinos; Savolainen, Riikka; Tukiainen, Janne - 2020

Voter demand for less redistribution in the face of mass migration maps into actual outcomes insofar as politicians supplying these policies respond to it. We study whether establishing new asylum-seeker centers influences redistributive outcomes in Finnish local elections - a country where...

Persistent link: https://www.econbiz.de/10012503085