This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

In this article we examine how model selection in neural networks can be guided by statistical procedures such as hypotheses tests, information criteria and cross validation. The application of these methods in neural network models is discussed, paying attention especially to the identification...

In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...

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...

Health-related quality of life assessment is important in the clinical evaluation of patients with metastatic disease that may offer useful information in understanding the clinical effectiveness of a treatment. To assess if a set of explicative variables impacts on the health-related quality of...

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...