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~person:"Lucas, André"
~subject:"Forecasting model"
~subject:"Geldpolitik"
~subject:"Portfolio selection"
~type_genre:"Arbeitspapier"
~type_genre:"Aufsatzsammlung"
~type_genre:"Hochschulschrift"
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Forecasting model
Geldpolitik
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Theorie
92
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32
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32
Credit risk
23
Kreditrisiko
23
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Lucas, André
Svensson, Lars E. O.
80
Woodford, Michael
71
Artus, Patrick
63
Marcellino, Massimiliano
59
Pesaran, M. Hashem
56
Corsetti, Giancarlo
55
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53
Galí, Jordi
52
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47
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45
Honkapohja, Seppo
44
Wieland, Volker
44
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43
Kehoe, Patrick J.
43
Kilian, Lutz
42
Evans, George W.
41
Orphanides, Athanasios
41
Gupta, Rangan
40
Härdle, Wolfgang
39
McAleer, Michael
37
Reis, Ricardo
37
Bacchetta, Philippe
34
Hyndman, Rob J.
34
Goodhart, Charles A. E.
33
Platen, Eckhard
33
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32
Williams, John C.
32
Aizenman, Joshua
31
Hefeker, Carsten
31
Pierdzioch, Christian
31
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31
Smets, Frank
31
Dijk, Herman K. van
30
Peydró, José-Luis
30
Ravazzolo, Francesco
30
Uribe, Martín
30
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29
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29
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29
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ECONIS (ZBW)
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1
Global credit risk :
world
, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
-
2015
area sovereign debt crises. We find that macro and default-specific
world
factors are a primary source of default …
Persistent link: https://www.econbiz.de/10010484886
Saved in:
2
Global credit risk :
world
, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
-
2016
Persistent link: https://www.econbiz.de/10011618479
Saved in:
3
Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
-
2011
components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the
world
. Credit risk conditions …
Persistent link: https://www.econbiz.de/10009006653
Saved in:
4
The information in systemic risk rankings
Nucera, Federico
;
Schwaab, Bernd
;
Koopman, Siem Jan
; …
-
2015
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...
Persistent link: https://www.econbiz.de/10010532581
Saved in:
5
Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
Persistent link: https://www.econbiz.de/10008771823
Saved in:
6
Modeling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad
;
Vaart, Aad W. van der
;
Lucas, André
-
2006
Persistent link: https://www.econbiz.de/10003392203
Saved in:
7
Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models
Banachewicz, Konrad
;
Lucas, André
-
2007
Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...
Persistent link: https://www.econbiz.de/10011372502
Saved in:
8
Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2010
We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...
Persistent link: https://www.econbiz.de/10011379607
Saved in:
9
Systemic risk diagnostics
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
, and the rest of the
world
. Controlling for global,region-specific, and industry effects, we construct coincident measures …
Persistent link: https://www.econbiz.de/10011382067
Saved in:
10
Analytic decision rules for financial stochastic programs
Siegmann, Adriaan Hendrik
;
Lucas, André
-
2000
-
This version: May 1, 2000
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10011303296
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