The paper discusses similarities and differences between NDC and the French and German point systems. The study focuses on how these systems differ when there is an external shock (demographic, economic, or other) and discusses the possible consequences of moving from the point system to NDC....

This paper assesses the impact on growth and the inter-generational redistributive effects of some possible pension reforms in France using a dynamic general equilibrium model with overlapping generations. Results suggest that a reform increasing the effective average retirement age by 1.25...

We analyse the economic impact of a simultaneous aging shock in two countries. The countries are identical in all respects except the financing scheme of their public pension system. While one relies on capitalization, the other one relies on a pay-as-you-go scheme. We show that the two...

In this paper we model intra-daily seasonality in the shape of the residual distribution of the standard ACD model, which is estimated using diurnally (seasonally) adjusted duration data. Specifically, for two of the three companies in our sample, the shapes of the residual distribution for...

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modeling and Management” (RMM2011). The papers cover the following topics: currency hedging...

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive definite. Using this approach we can disentangle the...