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Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model

Robben, Jens; Antonio, Katrien; Devriendt, Sander - In: Risks : open access journal 10 (2022) 2, pp. 1-33

We aim to assess the impact of a pandemic data point on the calibration of a stochastic multi-population mortality … buckets. To be compliant with the design and calibration strategy of the Li and Lee model, we transform the weekly mortality …, like COVID-19 in the year 2020, we weigh this data point in either the calibration or projection step. Obviously, the more …

Persistent link: https://www.econbiz.de/10012805929

Hidden Markov model for stock selection

Nguyen, Nguyet; Nguyen, Dung - In: Risks : open access journal 3 (2015) 4, pp. 455-473

The hidden Markov model (HMM) is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for...

Persistent link: https://www.econbiz.de/10011402656

Consumer bankruptcy prediction using balanced and imbalanced data

Brygała, Magdalena - In: Risks : open access journal 10 (2022) 2, pp. 1-13

imbalanced dataset. The research on consumer bankruptcy prediction is of paramount importance as it aims to build statistical … households: two learning samples (imbalanced and balanced) and two testing samples (imbalanced and balanced) from the Survey of …

Persistent link: https://www.econbiz.de/10012805903

Conditional variance forecasts for long-term stock returns

Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22

squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the …

Persistent link: https://www.econbiz.de/10012127861

Using cutting-edge tree-based stochastic models to predict credit risk

Halteh, Khaled; Kumar, Kuldeep; Gepp, Adrian - In: Risks : open access journal 6 (2018) 2, pp. 1-13

Credit risk is a critical issue that affects banks and companies on a global scale. Possessing the ability to accurately predict the level of credit risk has the potential to help the lender and borrower. This is achieved by alleviating the number of loans provided to borrowers with poor...

Persistent link: https://www.econbiz.de/10011867384

Use of neural networks to accommodate seasonal fluctuations when equalizing time series for the CZK/RMB exchange rate

Rowland, Zuzana; Lazaroiu, Gheorghe; Podhorská, Ivana - In: Risks : open access journal 9 (2021) 1/1, pp. 1-21

The global nature of the Czech economy means that quantitative knowledge of the influence of the exchange rate provides useful information for all participants in the international economy. Systematic and academic research show that the issue of estimating the Czech crown/Chinese yuan exchange...

Persistent link: https://www.econbiz.de/10012422880