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Indexzertifikat oder ETF? Eine entscheidungstheoretische Analyse
Klein, Christian; Kundisch, Dennis - In: Metrika 19 (2008) 3, pp. 353-370
Private investors increasingly use passive investment strategies, i.e. investment methods that try to replicate a stock market index as accurate as possible. In this paper we compare retail index certificates and exchange traded funds. Both investment products promise a performance that...
Persistent link: https://www.econbiz.de/10010995156
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A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
Bertail, Patrice; Haefke, Christian; Politis, Dimitris N.; … - Department of Economics and Business, Universitat … - 2001
In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary abd strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...
Persistent link: https://www.econbiz.de/10005827491
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Credit risk management in banks: Hard information, soft Information and manipulation
Godbillon-Camus, Brigitte; Godlewski, Christophe - Volkswirtschaftliche Fakultät, … - 2005
The role of information’s processing in bank intermediation is a crucial input. The bank has access to different types … a bank relationship, is qualitative and non verifiable, therefore manipulable, but produces more precise estimation of … to the banker but requires particular organizational modifications within the bank, as it allows to reduce capital …
Persistent link: https://www.econbiz.de/10005836711
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Hedging Effectiveness under Conditions of Asymmetry
Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...
Persistent link: https://www.econbiz.de/10005837212
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Methodology Concerning the Utilization of the Value at Risk
ANGHELACHE, Gabriela-Victoria; NEGRU, Andreea; KRALIK, … - In: Romanian Statistical Review Supplement 60 (2012) 4, pp. 162-169
The value at risk (VaR) represents an estimate, at a certain level of probability and under normal conditions of the market, for the maximal level of value loss that may be recorded by a portfolio of financial assets over an established time horizon. Originally, the VaR methodology has been used...
Persistent link: https://www.econbiz.de/10010598324
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VALUE AT RISK: AGRICULTURAL PROCESSOR PROCUREMENT AND HEDGING STRATEGIES
Hawes, Cullen R.; Wilson, William W.; Dahl, Bruce L. - Department of Agribusiness and Applied Economics, North … - 2005
Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations. The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to...
Persistent link: https://www.econbiz.de/10005806334
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Portfolio optimization for student t and skewed t returns
Hu, Wenbo; Kercheval, Alec - In: Quantitative Finance 10 (2010) 1, pp. 91-105
It is well-established that equity returns are not Normally distributed, but what should the portfolio manager do about this, and is it worth the effort? It is now feasible to employ better multivariate distribution families that capture heavy tails and skewness in the data; we argue that among...
Persistent link: https://www.econbiz.de/10008609625
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A Structure for General and Specific Market Risk
Platen, Eckhard; Stahl, Gerhard - In: Computational Statistics 18 (2003) 3, pp. 355-373
The paper presents a consistent approach to the modeling of general and specific market risk as defined in regulatory documents. It compares the statistically based beta-factor model with a class of benchmark models that use a broadly based index as major building block for modeling. The...
Persistent link: https://www.econbiz.de/10011241300
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Through the Looking Glass: Indirect Inference via Simple Equilibria
Calvet, Laurent; Czellar, Veronika - HEC Paris (École des Hautes Études Commerciales) - 2013
This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. The authors' approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria...
Persistent link: https://www.econbiz.de/10011147722
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Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis
Allen, David E; Boffey, R.R; Powell, R. J. - School of Business, Edith Cowan University - 2011
conditional probability of default which measures extreme credit risk. This paper finds that bank risk was significantly similar … a lower base. Bank risk for both countries was found to be far lower than for global counterparts due to factors such as …
Persistent link: https://www.econbiz.de/10011158975