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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
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A macroeconomic reverse stress test
Grundke, Peter; Pliszka, Kamil - 2015
Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...
Persistent link: https://www.econbiz.de/10011334117
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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
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Effectiveness of early retirement disincentives : individual welfare, distributional and fiscal implications
Bönke, Timm; Kemptner, Daniel; Lüthen, Holger - 2016
In aging societies, information on how to reform pension systems is essential to policy makers. This study scrutinizes effects of early retirement disincentives on retirement behavior, individual welfare, pensions and public budget. We employ administrative pension data and a detailed model of...
Persistent link: https://www.econbiz.de/10011440834
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Analysis of equilibrium automobile holding in Israel with aggregate discrete choice models
Manski, Chaerles F. - 1982
Persistent link: https://www.econbiz.de/10003528658
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Multiproduct firms and discrete choice models of demand : existence and uniqueness of the Bertrand-Nash equilibrium
Favory, Thomas - 2020
Persistent link: https://www.econbiz.de/10012601627
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Why so sluggish? : analyzing the determinants of price adjustments in the service sector using survey microdata
Polydoro, Angelo; Ardeo, Vagner Laerte - 2018
In this article, we study how the economic environment for firms in the service sector affects their price adjustments by using a novel dataset from the Services Survey of the Brazilian Institute of Economics from the Getulio Vargas Foundation (FGV). The set of variables from the survey includes...
Persistent link: https://www.econbiz.de/10012061481
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Disentangling economic recessions and depressions
Candelon, Bertrand; Metiu, Norbert; Straetmans, Stefan - 2013
We propose a nonparametric test that distinguishes “depressions” and “booms” from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle...
Persistent link: https://www.econbiz.de/10010202869
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Nonparametric estimation in case of endogenous selection
Breunig, Christoph; Mammen, Enno; Simoni, Anna - 2017
potential outcomes. Endogeneity of regressors is also allowed for. In the exogenous and endogenous case, consistent two …
Persistent link: https://www.econbiz.de/10011894721
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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