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A severity function approach to scenario selection
Mokinski, Frieder - 2017
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10011755965
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The determinants of CDS spreads : evidence from the model space
Pelster, Matthias; Vilsmeier, Johannes - 2016
We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature,...
Persistent link: https://www.econbiz.de/10011561899
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Robustness and informativeness of systemic risk measures
Löffler, Gunter; Raupach, Peter - 2013
Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal … expected shortfall, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …
Persistent link: https://www.econbiz.de/10009720895
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The connection of stock markets between Germany and the USA : new evidence from a co-integration study
Eberts, Elke - 2003
Persistent link: https://www.econbiz.de/10013428568
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Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse
Ziegler, Andreas; Eberts, Elke; Schröder, Michael; … - 2003
Persistent link: https://www.econbiz.de/10013428577
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Anticipating business-cycle turning points in real time using density forecasts from a VAR
Schreiber, Sven - 2014 - This version: January 2014
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...
Persistent link: https://www.econbiz.de/10010233998
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Analysis of nonlinear comovement of benchmark Thai government bond yields
Rewat Khanthaporn - 2022
Persistent link: https://www.econbiz.de/10013429426
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Shock around the clock - on the causal relations between international shock markets, the strength of causality and the intensity of shock transmission : an econometric analysis
Dornau, Robert - 1998
This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible...
Persistent link: https://www.econbiz.de/10013428145
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Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets
Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999
Persistent link: https://www.econbiz.de/10001399859
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Do financial market experts know their theory? : new evidence from survey data
Brückbauer, Frank - 2022 - This draft: April 2022
Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...
Persistent link: https://www.econbiz.de/10013175639