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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

that the use of a Gaussian copula in credit risk stress testing should not by default be dismissed in favor of a heavy …-tailed copula which is widely recommended in the finance literature. Gaussian copula would be the appropriate choice for estimating … 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

A joint top income and wealth distribution

Steiner, Viktor; Zhu, Junyi - 2021

estimation of these two top distributions by using the best data available for Germany. We leverage the bivariate copula to … model. The copula modelling grants the separability in choosing the estimation domain as well as the parametric … model fit with external validation. The copula estimate can help us to perform out-of-sample prediction on the very top of …

Persistent link: https://www.econbiz.de/10012424292

Modeling German unification in a disequilibrium framework

Winker, Peter; Smolny, Werner; Radowski, Daniel - 1999

Unification fundamentally changed the terms of quantitative macroeconomic analysis for Germany. Two main areas concerned are data availability for the eastern part of Germany and structural changes within the behavioural equations after unification. Our paper presents results from the estimation...

Persistent link: https://www.econbiz.de/10013428286

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

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

Core inflation : robust common trend model forecasting

Moreira, Ajax; Migon, Hélio dos Santos - 2015

The monetary authorities need a future measure of inflation trend to keep on tracking the inflation on target. Many alternatives of the core inflation measure have appeared in the recent literature pretending to avoid the deficiencies of the usual headline inflation index as a predictor. This...

Persistent link: https://www.econbiz.de/10012018615

A non-linear multivariate model of the UK real exchange rate

Milas, Costas - 2001

Persistent link: https://www.econbiz.de/10001636887

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....

Persistent link: https://www.econbiz.de/10012250452

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - 2022

This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...

Persistent link: https://www.econbiz.de/10013472790

Testing missing at random using instrumental variables

Breunig, Christoph - 2017

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic's...

Persistent link: https://www.econbiz.de/10011894725

Does the US contagion risk affect foreign direct investment inflows in emerging economies?

Woraphon Yamaka; Paravee Maneejuk - 2022

Persistent link: https://www.econbiz.de/10014320179

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