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A financial risk meter for China
Wang, Ruting; Althof, Michael; Härdle, Wolfgang - 2021
This paper develops a new risk meter specifically for China - FRM@China - to detect systemic financial risk as well as … the most popular financial risk measure, FRM@China has less noise. It also emitted a risk signature much earlier than the … CBOE FIX VIX index in the 2020 COVID pandemic. In addition, FRM@China uses a single quantile-lasso regression model to …
Persistent link: https://www.econbiz.de/10012745144
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A Financial Risk Meter for China
Wang, Ruting; Althof, Michael; Härdle, Wolfgang - 2021
This paper develops a new risk meter specifically for China – FRM@China – to detect systemic financial risk as well as … the most popular financial risk measure, FRM@China has less noise. It also emitted a risk signature much earlier than the … CBOE FIX VIX index in the 2020 COVID pandemic. In addition, FRM@China uses a single quantile-lasso regression model to …
Persistent link: https://www.econbiz.de/10013313703
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A financial risk meter for China
Wang, Ruting; Althof, Michael; Härdle, Wolfgang - 2021
This paper develops a new risk meter specifically for China - FRM@China - to detect systemic financial risk as well as … the most popular financial risk measure, FRM@China has less noise. It also emitted a risk signature much earlier than the … CBOE FIX VIX index in the 2020 COVID pandemic. In addition, FRM@China uses a single quantile-lasso regression model to …
Persistent link: https://www.econbiz.de/10012697483
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CDO surfaces dynamics
Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013
Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by...
Persistent link: https://www.econbiz.de/10009763975
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10003881566
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10003887437
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Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
Hautsch, Nikolaus - 2016
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10013009132
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Copula-Based Factor Model for Credit Risk Analysis
Lu, Meng-Jou - 2017
A standard quantitative method to access credit risk employs a factor model based on joint multi- variate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper proposes to incorporate a state-dependent recovery rate...
Persistent link: https://www.econbiz.de/10012966558
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A dynamic semiparametric factor model for implied volatility string dynamics
Fengler, Matthias (contributor);  … - 2005
A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure...
Persistent link: https://www.econbiz.de/10003036581
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A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
Cao, Ji - 2017
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...
Persistent link: https://www.econbiz.de/10012966262