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Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

Persistent link: https://www.econbiz.de/10011431503

Forecasting aggregate productivity using information from firm-level data

Bartelsman, Eric J.; Wolf, Zoltán - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10011378362

Denial and alarmism in collective action problems

Förster, Manuel; Weele, Joël J. van der - 2018

We analyze communication about the social returns to investment in a public good. We model two agents who have private information about these returns as well as their own taste for cooperation, or social preferences. Before deciding to contribute or not, each agent submits an unverifiable...

Persistent link: https://www.econbiz.de/10011801387

Pros and cons of "backing winners" in innovation policy

Butter, Frank A. G. den; Jo, Seung-gyu - 2009

game theory of the firm. A theoretical case for picking winners through a preferential innovative policy is discussed in a …

Persistent link: https://www.econbiz.de/10011377579

Tainted food, low-quality products and trade

Viaene, Jean-Marie; Zhao, Laixun - 2010

This paper examines international trade in tainted food and other low-quality products. Wefirst find that for a large class of environments, free trade is the trading system that conveysthe highest incentives to produce non-tainted high-quality goods by foreign exporters.However, free trade...

Persistent link: https://www.econbiz.de/10011379610

Continuous time trading in markets with adverse selection

Janssen, Maarten C. W.; Karamychev, Vladimir A. - 2000

We investigate the nature of the adverse selection problem in a market for adurable goodwhere trading and entry of new buyers and sellers takes place in continuoustime. In thecontinuous time model equilibria with properties that are qualitativelydifferent from thestatic equilibria, emerge....

Persistent link: https://www.econbiz.de/10011304379

Credit rationing effects of credit value-at-risk

Slijkerman, Jan Frederik; Smant, David Jan Cornelis; … - 2004

Banks provide risky loans to firms which have superior information regarding the quality of their projects. Due to asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem of low quality, i.e. high risk, loans and therefore...

Persistent link: https://www.econbiz.de/10011334832

Competition for a prize

Noll, Rob van der - 2006

I present a model in which individuals compete for a prize by choosing to apply or not. Abilities are private information and in attempt to select the best candidate, the committee compares applicants with an imperfect technology. The choice of application cost, size of the prize and use of...

Persistent link: https://www.econbiz.de/10011348717

Dynamic insurance and adverse selection

Janssen, Maarten C. W.; Karamychev, Vladimir A. - 2001

We take a dynamic perspective on insurance markets under adverseselection and study a generalized Rothschildand Stiglitz model where agents may differ with respect to theaccidental probability and their expenditure levels incase an accident occurs. We investigate the nature of dynamicinsurance...

Persistent link: https://www.econbiz.de/10011318577

Unsecured and secured funding

Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018

We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and...

Persistent link: https://www.econbiz.de/10011818292

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