This book reviews recent approaches for partial identification of average treatment effects with instrumental variables in the program evaluation literature, including Manski’s bounds, bounds based on threshold crossing models, and bounds based on the Local Average Treatment Effect (LATE)...

1. Einleitung -- 1.1 Motivation und Ziele -- 1.2 Gang der Arbeit -- 2 Grundlagen finanzwirtschaftlicher Ratings -- 2.1 Einleitung -- 2.2 Definition eines Ratings -- 2.3 Anwendungsgebiete von Ratings -- 2.4 Funktionen des Ratings -- 3 Ratings in der Kreditwirtschaft -- 3.1 Einleitung -- 3.2...

Modellierung der Abhängigkeiten zwischen Ausfall, Verlustrate und Forderungshöhe bei Ausfall mit Faktoren und Copulae -- Multivariate Erweiterung des Heckman-Schätzers, um der Stichprobenselektion seitens der Verlustrate und der Forderungshöhe gerecht zu werden -- Empirische Befunde zur...

This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing...

Softcover version of the second edition Hardcover.Incorporates a new author, Dr. Chris O'Donnell, who brings considerable expertise to the project in the area of performance measurement. Numerous topics are being added and more applications using real data, as well as exercises at the end of the...

Statistical Methods to Develop Rating Models -- Estimation of a Rating Model for Corporate Exposures -- The Shadow Rating Approach - Experience from Banking Practice -- Estimating Probabilities of Default for Low Default Portfolios -- Transition Matrices: Properties and Estimation Methods -- A...

The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rate derivatives and has been built on the framework of modelling forward rates. For the conceptual understanding of the model a strong background in the fields of mathematics, statistics, finance...

This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...

Preliminaries -- and Overview -- Demand Theory Under Review -- Quantile Regression: A Robust Alternative to Least Squares -- Analyses of Data from BLS Consumer Expenditure Surveys -- Description of Data Used from the Ongoing BLS Consumer Expenditure Surveys -- Stability of U.S. Consumption...

In spite of the widespread use of the concept of potential output in economic theory and empirical applications as well as in economic policy debates, the historical background and the assumptions inherent to this concept are rarely made transparent, let alone critically questioned. Against this...