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Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins-Monro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical...

Persistent link: https://www.econbiz.de/10005858875

Resolving Macroeconomics Uncertainty in Stock and Bond Markets

Beber, Alessandro; Brandt, Michael W. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied...

Persistent link: https://www.econbiz.de/10005858394

Globally Evolutionarily Stable Portfolio Rules

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper examines a dynamic model of a financial market with endogenous asset prices determined by short run equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially reinvested. The traders use fixed-mix investment strategies (portfolio rules),...

Persistent link: https://www.econbiz.de/10005858779

When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

Persistent link: https://www.econbiz.de/10009305103

Methodology and change : problems of applied social science research techniques in the Commonwealth Caribbean

Lindsay, Louis (contributor) - 1978

Persistent link: https://www.econbiz.de/10002354993

Shrinkage estimation of large covariance matrices: Keep it simple, statistician?

Ledoit, Olivier; Wolf, Michael - 2021

Under rotation-equivariant decision theory, sample covariance matrix eigenvalues can be optimally shrunk by recombining sample eigenvectors with a (potentially nonlinear) function of the unobservable population covariance matrix. The optimal shape of this function reflects the loss/risk that is...

Persistent link: https://www.econbiz.de/10012588496

Complex mortgages

Amromin, Gene; Huang, Jennifer; Sialm, Clemens; Zhong, … - 2010

Complex mortgages became a popular borrowing instrument during the bullish housing market of the early 2000s but vanished rapidly during the subsequent downturn. These non-traditional loans (interest only, negative amortization, and teaser mortgages) enable households to postpone loan repayment...

Persistent link: https://www.econbiz.de/10010292189

Costa Rica: The Next Stage-Reform without Volatility. A Report

Zamora, Rodrigo Bolaños - 1999

This study assesses macroeconomic volatility in Costa Rica, based largely on politically weak governments` inability or unwillingness to effect key reforms. Notable problems include volatility-prone fiscal and monetary policy, structurally weak public finances due to large domestic debts and...

Persistent link: https://www.econbiz.de/10010327135

Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off

Donaldson, Glen; Kamstra, Mark - 2004

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. The authors seek to learn something about both of these issues by investigating...

Persistent link: https://www.econbiz.de/10010397639

Fine tuning of health insurance regulation: Unhealthy consequences for an individual insurer

Schoder, Johannes; Sennhauser, Michèle; Zweifel, Peter - 2009

This paper sheds light on some unexpected consequences of health insurance regulation that may pose a big challenge to insurers' risk management. Because mandated uniform contributions to health insurance trigger risk selection efforts risk adjustment (RA) schemes become necessary. A good deal...

Persistent link: https://www.econbiz.de/10010315557

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